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Rates Snapshot - Bull Flattening in TIIE Swap Curve

LATAM

Despite the Real strength, DI swap rates are higher across the curve. The rest of the region is exhibiting lower swap curves in line with US yields and local currency strength. Bull flattening in Mexico (10 year swap rates down 18 bps) as the Peso holds onto gains beneath the 100day MA in USDMXN.

  • Brazil DI Swaps:
    • 2-yr +4 bps at 6.51%
    • 5-yr +8 bps at 8.54%
    • 10-yr +7 bps at 9.3%
  • Mexico TIIE Swaps:
    • 2-yr -11 bps at 4.985%
    • 5-yr -15 bps at 5.895%
    • 10-yr -18 bps at 6.65%
  • Chile Camara Swaps:
    • 2-yr -5 bps at 1.38%
    • 5-yr -6 bps at 2.45%
    • 10-yr -4 bps at 3.285%
  • Colombia IBR Swaps:
    • 2-yr -5 bps at 2.93%
    • 5-yr -10 bps at 4.36%
    • 10-yr -6 bps at 5.41%

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