Rates Snapshot, Brazil DI Curve Flatter Following Eco. Activity Data

• Brazil Local swaps curve has flattened following the economic activity released this morning. The Brazilian Real weakened following the announced FX swaps auction and added pressure to the front end of the curve. Additionally, the stronger economic activity data may have bolstered the likelihood of the Copom providing a bigger rate hike on Wednesday. The stronger growth figures, however, may have eased pressure in the long end where swap rates are lower by ~8 bps.
• Despite the local holiday in Mexico, the curve has continued Friday's bear steepening:

Brazil DI Swaps:

• 1-yr +9 bps at 4.30%
• 2-yr +11bps at 6.09%
• 5-yr +1 bps at 7.75%
• 10-yr -8 bps at 8.55%

Mexico TIIE Swaps:

• 1-yr +4 bps at 4.32%
• 2-yr +5 bps at 4.56%
• 5-yr +6 bps at 5.42%
• 10-yr +7.5 bps at 6.25%