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RATES SNAPSHOT: Flatter DI Curve

LATAM

Flatter DI curve following the Copom 75bps hike. Full reversal from yesterday's move in TIIE swap rates. Decent bear steepening seen in both Mexico and Colombian swaps curves:

Brazil DI Swaps:

  • 1-yr +34 bps at 4.61%
  • 2-yr +19 bps at 6.19%
  • 5-yr +3 bps at 7.67%
  • 10-yr -7 bps at 8.33%

Mexico TIIE Swaps:

  • 1-yr +12 bps at 4.48%
  • 2-yr +19 bps at 4.81%
  • 5-yr +23 bps at 5.71%
  • 10-yr +23.5 bps at 6.58%

Colombia IBR Swaps:

  • 1-yr +5 bps at 2%
  • 2-yr +8.5 bps at 2.58%
  • 5-yr +14.5 bps at 4.11%
  • 10-yr +15 bps at 5.14%

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