Feb 26, 2018 - Colombia Local Rates Tracker. Amount. Outstanding. Modified. Duration. Last Price. Î1D. Î1W. Î1M. Î1Q
Latam Fixed Income Strategy Colombia Local Rates Tracker
February 26, 2018
IBR Swaps UVR
REAL RATES
COLTES
NOMINAL RATES
Summary Table
IBR Rate 3-month 6-month 9- month 1-year 18-month 2-year 3-year 4-year 5-year 7-year 8-year 10-year 12-year 15-year 20-year Oct-18 Nov-18 Sep-19 Jul-20 May-22 Jul-24 Aug-26 Apr-28 Sep-30 Jun-32 Apr-19 Mar-21 Feb-23 May-25 Mar-27 Mar-33 Apr-35
Source: Bloomberg (BGN), Itaú
Amount Outstanding
Modified Duration
Last Price
(COP Billions)
(Years)
(% a.a.)
3,432 9,669 13,850 19,500 28,596 26,890 28,779 13,834 17,295 9,064 10,379 19,580 15,729 9,912 5,557 9,299 7,775
0.0 0.2 0.5 0.7 1.1 1.5 2.2 2.8 3.4 4.3 4.7 5.3 5.9 6.5 7.3 0.6 0.7 1.4 2.0 3.4 4.6 6.0 7.0 7.8 8.5 1.1 2.8 4.5 6.2 7.5 11.4 11.5
4.35 4.26 4.26 4.28 4.34 4.54 4.61 4.90 5.15 5.37 5.74 5.89 6.17 6.36 6.62 6.81 4.42 4.49 4.80 5.26 5.79 6.14 6.49 6.72 6.80 7.02 0.93 2.16 2.55 2.78 3.07 3.67 -
Δ1D
Δ1W
Δ1M
0 -4 -1 -2 0 1 1 -1 0 -1 1 0 0 3 2 0 1 -5 -1 -1 0 0 -1 0 -2 0 0 2 5 4 1 0 -
0 -13 2 9 1 -3 26 21 22 24 21 21 13 17 25 1 -22 -20 -7 -9 -5 -2 -6 -6 -8 -3 -12 1 10 13 2 4 -
-23 -14 -2 1 4 7 11 12 16 19 24 22 14 8 13 13 -7 -12 0 10 16 13 12 13 8 16 -15 7 13 5 5 7 -
Δ1Q
Δ1H
Δ1Y
-97 -77 -76 -70 -60 -48 -34 -21 -15 -15 -12 -9 -9 -6 9 -74 -85 -69 -55 -34 -22 -25 -17 -12 -12 -139 -68 -44 -27 -19 2 -
-255 -249 -228 -216 -198 -157 -107 -77 -59 -39 -29 -18 -19 -9 11 21 -186 -166 -148 -109 -70 -51 -43 -30 -24 -94 -44 -41 -32 5 -
(basis points)
-23 -20 -2 1 13 19 23 16 16 16 14 10 4 4 16 16 -30 -20 -9 -4 3 -3 -6 -7 -1 4 -19 -12 -4 15 -
-17.5
1
COLOMBIA- IBR - IBRSwaps Swaps(nominal (nominalrates) rates) COLOMBIA
COLOMBIA- COLTES - COLTESBonds Bonds(nominal (nominalrates) rates) COLOMBIA
IBR Swaps (nominals)
COLTES (nominals)
7.0
7.5 7.0
6.0 5.5
5.0 Last a day before a week before a month before
4.5 4.0 0.0
0.5 1.1 2.2 3.4 4.7 Modified Duration (years)
5.9
7.3
Yield to Maturity (% p.a.)
Yield to Maturity (% p.a.)
6.5
6.5
Last a day before a week before a month before
6.0 5.5 5.0 4.5 4.0 0.6
1.4 3.4 6.0 Modified Duration (years)
7.8
COLOMBIA - COLTES UVR Bonds (inflation linkers)
UVR (linkers) 4.2
Yield to Maturity (% p.a.)
3.7 3.2
Last a day before a week before a month before
2.7 2.2 1.7 1.2 0.7 1.1
2.8
4.5
6.2
7.5
11.4
Modified Duration (years)
Source: Bloomberg (LCPR), Itaú.
2
Forward-Implied Policy Rate Expectations COLOMBIA: Forward-Implied Interest-Rate Expectations SPOT RATES
Terms
FORWARDS Rates Ex-TP
TP =Term Premium (bps)
1y
4.49%
4.09%
40
1y1y
5.05%
4.50%
55
2y1y
5.68%
4.87%
82
3y1y
6.09%
5.04%
105
4y1y
6.55%
5.27%
128
5y5y
7.28%
5.58%
170
6m6m
4.30%
4.00%
30
2-year 4.77%
3-year 5.05%
5-year 5.52%
TERMINAL RATE
FRONT-END
Note: The policy rate currently stands at 4.50%
IBR swaps: implicit rate moves by... 120
b ps 100
100 80 60
44
40 20 0 -20
-14
Swaps pricing Analysts' projections
-22
-40 2018YE
2019YE
Source: Bloomberg, Banrep, Itaú
IBR swaps pricing vs. projections 6.8% 6.3%
% p.a.
Consensus forecast Forward curve pricing Itaú forecast
5.8% 5.3% 4.8% 4.3% 3.8% Feb-18
Feb-19
Feb-20
Feb-21
Source: Bloomberg, Banrep, Itaú
Feb-22
3
Breakeven Inflation Rates (BEIRs)
Last
Δ1D
Δ1W
-3 -3 -5 -5 -2 0 -3 5 -2 -3 -4 -5 -3 -3 -1 -1 -1 -1 -2 -4 -7 -7 3 -3 -1 -4 -5 -9
-2 12 -1 -18 -8 -7 -3 9 14 12 4 -11 -14 -9 -6 -7 -7 -7 31 8 -20 -72 -2 25 15 -12 -71
SPOT BEIRs FORWARD BEIRs
3.72% 3.36% 3.50% 3.69% 3.68% 3.35% 3.67% 3.67% 3.60% 3.38% 3.48% 3.56% 3.71% 3.67% 3.62% 3.35% 3.35% 3.35% 3.52% 2.95% 3.78% 3.86% 3.68% 3.59% 3.59% 2.91% 3.80% 3.78%
Source: Bloomberg (BGN), Itau
Δ1Q
Δ1H
Δ1Y
60 25 23 2 -1 -14 79 58 48 24 30 27 2 -3 -10 -17 -13 -13 17 -24 49 12 -46 47 36 -12 29 -9
-63 -47 -18 -15 -12 -73 -73 -75 -69 -32 -15 -14 -17 -2 -7 -12 -12 -76 -57 80 51 11 -73 -36 -34 35 4
(basis points)
(% a.a.)
Apr-19 Mar-21 Feb-23 May-25 May-27 Mar-33 Apr-35 1Y 18M 2Y 3Y 4Y 5Y 7Y 8Y 10Y 12Y 15Y 20Y 1y1y 2y1y 3y1y 4y1y 5y5y Jan-18/Jan-19 Jan-19/Jan-20 Jan-20 /Jan-21 Jan-21 /Jan-22 Jan-22/Jan-23
Δ1M
9 16 10 7 6 9 10 15 19 18 14 5 8 5 8 9 10 10 29 15 3 -32 12 29 14 9 -34
19 16 -2 -11 132 119 88 24 21 13 -6 -14 -11 -12 -11 -11 44 -105 13 -19 -35 108 49 -100 21 -32
-17.5
4
5.0
Inflation projections: survey vs. assetimplied estimates % annual
Analysts projections BEIRs forwards
4.5 4.0
3.8 3.6
3.7
3.5
3.5
3.6
3.4 3.1
3.1
3.1 2.9
3.0 2.5
2.0 1.5 2018
2019
2020
2021
2022
Source: Bloomberg, Banrep, Latin Consensus, Itaú
Basis (spread vis-à-vis IBR swaps)
COLTES
Basis
Oct-18 Nov-18 Sep-19 Jul-20 May-22 Jul-24 Aug-26 Apr-28 Sep-30
Historical Mean (since 2014)
Last
(bps)
(bps)
57 48 69 85 98 104 115 115 119
-82 -76 -52 -16 28 56 85 103 110
Source: Bloomberg (BGN), Itaú
1D
1W
1M
1Q
1H
1Y
(basis level in previous periods, in bps)
-84 -72 -52 -16 27 56 86 104 113
32 38 31 71 85 93 109 116 110
22 33 33 60 71 83 95 100 97
48 48 53 77 81 93 102 106 92
21 37 52 75 81 78 90 92 91
22 20 60 68 74 83 91 96 87 -17.5
5