Source: Bloomberg (LCPR), Itaú. 2. 3.5. 4.0. 4.5. 5.0. 5.5. 6.0. 6.5. 7.0. 7.5. 0.5. 1.3 .... 3.14%. -8. 21. 71. 30. -1
Latam Fixed Income Strategy Colombia Local Rates Tracker April 27, 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 14,888 17,295 11,249 10,477 19,766 16,779 10,006 6,391 9,388 9,609
0.0 0.2 0.5 0.7 1.1 1.5 2.2 2.9 3.4 4.3 4.7 5.4 6.0 6.6 7.5 0.5 0.5 1.3 1.9 3.3 4.5 5.9 6.9 7.7 8.4 1.0 2.7 4.3 6.0 7.6 11.6 11.8
4.35 4.07 4.04 4.05 4.06 4.28 4.37 4.67 4.89 5.10 5.41 5.56 5.89 6.06 6.29 6.51 3.96 4.15 4.45 4.87 5.44 5.91 6.24 6.43 6.59 6.82 1.61 2.22 2.63 2.82 3.11 3.71 3.72
Δ1D
Δ1W
Δ1M
0 0 1 1 1 2 1 1 -3 1 -1 -2 0 -2 -5 -2 -2 1 0 1 0 -1 -1 -2 1 -1 -11 -2 -1 -1 -1 -1
7 6 8 8 5 7 4 6 1 1 -1 -1 0 1 -1 -1 -3 4 -4 2 3 3 0 0 2 4 -2 0 -1 1 0
5 -14 -15 -15 -15 -15 -18 -18 -17 -16 -22 -24 -19 -18 -19 -19 -15 -13 -21 -24 -18 -16 -13 -22 -15 -9 67 -11 -10 -12 -6 -2
Δ1Q
Δ1H
Δ1Y
-48 -71 -64 -53 -53 -43 -34 -30 -28 -26 -29 -29 -28 -23 -20 -8 -60 -76 -68 -65 -52 -37 -34 -30 -15 -32 -12 -3 4 12
-231 -192 -172 -160 -144 -107 -65 -34 -21 -11 -4 0 1 14 22 47 -164 -132 -119 -83 -36 -13 2 -6 6 2 -83 -62 -42 -40 -30 8 5
(basis points)
-23 -28 -29 -21 -27 -19 -18 -13 -9 -11 -13 -13 -15 -19 -21 -19 -66 -48 -32 -30 -19 -14 -14 -15 -13 -4 53 13 22 10 8 10 12
Prices as of 16:21 EST
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COLOMBIA- IBR - IBRSwaps Swaps(nominal (nominalrates) rates) COLOMBIA
COLOMBIA- COLTES - COLTESBonds Bonds(nominal (nominalrates) rates) COLOMBIA
COLTES (nominals) 7.5
7.0
7.0
6.5 6.0 5.5 5.0 4.5
Last a day before a week before a month before
4.0 3.5 0.0
0.5 1.1 2.2 3.4 4.7 Modified Duration (years)
6.0
7.5
Yield to Maturity (% p.a.)
Yield to Maturity (% p.a.)
IBR Swaps (nominals) 7.5
6.5
Last a day before a week before a month before
6.0 5.5 5.0 4.5 4.0 3.5 0.5
1.3 3.3 5.9 Modified Duration (years)
7.7
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 1.0
2.7
4.3
6.0
7.6
11.6
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
3.97%
3.57%
40
1y1y
4.85%
4.30%
55
2y1y
5.45%
4.63%
82
3y1y
5.71%
4.66%
105
4y1y
6.23%
4.95%
128
5y5y
6.97%
5.27%
170
6m6m
3.99%
3.69%
30
2-year 4.27%
3-year 4.58%
5-year 5.01%
TERMINAL RATE
FRONT-END
Note: The policy rate currently stands at 4.25%
IBR swaps: implicit rate moves by... 120
b ps
109
100 80 60
48
40 20 0
-2
-20
Swaps pricing Analysts' projections
-30
-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% Apr-18
Apr-19
Apr-20
Apr-21
Source: Bloomberg, Banrep, Itaú
Apr-22
3
Breakeven Inflation Rates (BEIRs)
Last
Δ1D
Δ1W
Δ1M
12 2 1 0 1 -1 11 1 7 2 1 0 0 1 -1 -3 -1 -1 2 -8 -1 -2 -3 11 5 -6 -3 -2
-11 13 4 2 0 4 169 -11 -14 8 12 7 3 0 1 3 4 3 3 27 21 -8 -16 4 -41 34 1 -20
-80 3 -4 -1 -13 -4 147 -72 -68 -29 4 0 -4 -10 -12 -5 -4 -5 -5 14 71 -15 -21 -5 -72 77 1 -27
SPOT BEIRs FORWARD BEIRs
2.70% 2.96% 3.15% 3.39% 3.41% 3.12% 3.10% 2.70% 2.70% 2.91% 2.99% 3.11% 3.27% 3.41% 3.42% 3.41% 3.12% 3.10% 3.10% 3.13% 3.14% 3.48% 3.89% 3.55% 2.50% 3.00% 3.16% 3.41% 3.74%
Source: Bloomberg (BGN), Itau
Δ1H
Δ1Y
-46 -21 -23 -31 -25 -20 74 33 -45 -24 -20 -18 -18 -30 -26 -10 -21 -21 -21 -82 -11 -11 -22 -1 -12 -48 2 -28 -41
-43 3 18 37 30 21 24 -45 -34 -21 -4 20 31 37 21 31 17 24 24 2 30 95 74 31 -59 -10 49 47 55
(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
-91 -22 -28 -24 -19 -14 130 -49 -78 -45 -20 -25 -28 -22 -19 -12 -13 -15 -15 -42 30 -38 -42 4 -65 33 -38 -48
Prices as of 16:21 EST
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Inflation projections: survey vs. assetimplied estimates % annual
Analysts projections BEIRs forwards
5.0 4.5 4.0 3.5
3.5 3.5
3.4
3.4 3.1
3.0
3.1 3.2
3.1
3.0 2.5
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)
54 46 66 84 97 103 114 115 118
-92 -77 -53 -20 27 67 95 111 124
Source: Bloomberg (BGN), Itaú
1D
1W
1M
1Q
1H
1Y
(basis level in previous periods, in bps)
-92 -81 -54 -21 28 68 96 113 123
0 -21 -1 26 45 68 79 83 80
-21 -4 13 50 65 86 92 104 97
35 35 29 56 71 84 92 97 95
-3 31 42 69 81 88 92 92 78
22 14 62 69 69 80 78 96 86
Prices as of 16:21 EST
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