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Panic Mode Continues As Swap Rates Soar

BRAZIL
  • Local assets continuing their plunge on Friday with some DI contracts maturing reaching maximum move allowed by the exchange for a single session.
  • Market continues to adjust pricing for a more uncertain fiscal outlook in the upcoming years after government adjusted the rules around the fiscal cap, allowing additional spending ahead of 2022 election.
  • Scheduled for Tuesday, October IPCA-15 expects annual headline inflation to remain above 10% with an estimate of 10.06% versus 10.05% previously.
  • Brazil DI Swaps
    • Jan '22 +42 bps at 8.29%
    • Jan '23 +97 bps at 11.45%
    • Jan '24 +110 bps at 12.20
    • Jan '26 +90 bps at 12.56%
    • Jan '31 +86 bps at 12.95%
  • USDBRL up 1.32% at 5.7356
  • Brazil Ibovespa down 4355.3 points (-4.04%) at 103699.9

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