Mar 1, 2018 - COLOMBIA - COLTES UVR Bonds (inflation linkers). Source: Bloomberg (LCPR), Itaú. 2. 0.7. 1.2. 1.7. 2.2. 2
Latam Fixed Income Strategy Colombia Local Rates Tracker March 1, 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 14,025 17,295 9,416 10,379 19,580 15,834 9,912 5,764 9,299 8,089
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 6.9 7.8 8.4 1.1 2.8 4.5 6.1 7.5 11.4 11.5
4.34 4.28 4.29 4.29 4.39 4.64 4.72 5.06 5.30 5.50 5.87 6.01 6.30 6.46 6.70 6.91 4.38 4.51 4.84 5.39 5.95 6.33 6.73 6.93 7.03 7.18 0.95 2.20 2.65 2.88 3.15 3.75 3.75
Δ1D
Δ1W
Δ1M
0 0 1 4 4 5 4 3 2
-1 -3 0 5 16 14 8 8 7
-1 -26 1 25 19 16 16 17
Δ1Q
Δ1H
Δ1Y
-72 -127 -56 -26 -15 9 -
-255 -99 -49 -31 -31 3 19
(basis points)
-23 -36 -4 10 12 -
Prices as of 17:10 EST
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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
6.1
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
4.54%
4.14%
40
1y1y
5.24%
4.69%
55
2y1y
5.93%
5.11%
82
3y1y
6.16%
5.11%
105
4y1y
6.69%
5.41%
128
5y5y
7.42%
5.72%
170
6m6m
4.39%
4.09%
30
2-year 4.88%
3-year 5.22%
5-year 5.66%
TERMINAL RATE
FRONT-END
Note: The policy rate currently stands at 4.50%
IBR swaps: implicit rate moves by... 140
b ps 114
120 100 80 60
44
40 20 0 -5
-20
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
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Breakeven Inflation Rates (BEIRs)
Last
Δ1D
Δ1W
Δ1M
-
-2 27 12 4 9 6 7 -3 9 24 27 17 3 7 10 6 6 7 7 51 32 -11 -53 8 39 44 -2 -57
18 33 14 20 29 24 23 19 24 35 34 22 10 26 28 23 24 23 23 51 31 -14 -35 35 46 37 -7 -43
SPOT BEIRs FORWARD BEIRs
3.73% 3.46% 3.58% 3.82% 3.82% 3.43% 3.43% 3.69% 3.69% 3.68% 3.48% 3.57% 3.65% 3.84% 3.80% 3.70% 3.43% 3.43% 3.43% 3.68% 3.09% 3.82% 3.97% 3.75% 3.58% 3.71% 3.09% 3.85% 3.86%
Source: Bloomberg (BGN), Itau
Δ1H
Δ1Y
59 33 26 13 -6 74 56 55 32 35 30 12 7 -5 -9 -6 -6 36 -14 42 11 -41 41 48 0 23 -9
-59 -36 -24 -9 -7 -12 -67 -67 -62 -57 -24 -16 -8 -9 -4 -11 -12 -12 -58 -45 75 12 8 -70 -26 -18 5 -17
(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
Δ1Q
31 25 21 13 33 32 36 25 26 20 5 -12 -40 -67 -67 -67 38 4 27 -5 -99 6 41 9 23 -19
Prices as of 17:10 EST
4
5.0
Inflation projections: survey vs. assetimplied estimates % annual
Analysts projections BEIRs forwards
4.5 4.0 3.7
3.5
3.5
3.8
3.7
3.6 3.4 3.1
3.1 3.1
3.1
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)
56 47 69 85 98 104 115 115 119
-100 -89 -62 -18 27 59 91 108 116
Source: Bloomberg (BGN), Itaú
1D
1W
1M
1Q
1H
1Y
(basis level in previous periods, in bps)
-
17 27 24 66 81 94 109 114 107
25 32 28 60 71 79 87 83 84
41 46 48 74 77 88 98 101 89
25 38 53 77 87 82 94 95 93
25 21 60 68 79 90 103 100 94
Prices as of 17:10 EST
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