Swap Rates: Camara Curve Continues Bull Flattening

LatAm Swap Rates: Camara Curve Continues Bull Flattening, US Yields Drive Regional Curves Higher

• Significant outperformance for the Camara curve continuing its rally in the aftermath of the election. Long end swap rates have fallen by around 45 basis points.
• This comes in direct contradiction to the moves seen in US yields following the renomination of Fed Chair Powell.
• Higher swap rates across the rest of the region with TIIE swap rates rising between 12-14bps, also in line with a lower Peso.
• Brazil DI Swaps:
  • Jan '23 +24 bps at 12.29%
  • Jan '26 +12 bps at 11.95%
  • Jan '31 +9 bps at 11.85%
• Mexico TIIE Swaps:
  • 2-yr +14 bps at 7.08%
  • 5-yr +13 bps at 7.33%
  • 10-yr +12 bps at 7.49%
• Chile Camara Swaps:
  • 2-yr -19 bps at 5.06%
  • 5-yr -30 bps at 5.07%
  • 10-yr -45 bps at 5.18%
• Colombia IBR Swaps:
  • 2-yr +3 bps at 5.75%
  • 5-yr +3 bps at 6.41%
  • 10-yr +4 bps at 6.77%