Brazil Government Bonds - Yields Curve

COUNTRY • SUMMARY
BRAZIL
Last Update: 3 Dec 2023 0:15 GMT+0

The Brazil 10Y Government Bond has a 10.812% yield.

10 Years vs 2 Years bond spread is 79.5 bp.
Normal Convexity in Long-Term vs Short-Term Maturities.

Central Bank Rate is 12.25% (last modification in November 2023).

The Brazil credit rating is BB-, according to Standard & Poor's agency.

Current 5-Years Credit Default Swap quotation is 146.24 and implied probability of default is 2.44%.

Table of contents

Brazil Yield Curve

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Residual
Maturity
Yield ZC Price Last
Change
Last Chg 1M Chg 6M Last Chg 1M Chg 6M
3 months 12.657% -3.5 bp -196.1 bp 01 Dec
6 months 11.707% -21.7 bp -240.4 bp 01 Dec
9 months 11.054% -31.3 bp -251.1 bp 01 Dec
1 year 10.471% -51.7 bp -243.2 bp 90.52 +0.47 % +2.20 % 01 Dec
2 years 10.017% -73.1 bp -86.4 bp 82.62 +1.34 % +1.57 % 01 Dec
3 years 10.062% -81.9 bp -75.5 bp 75.00 +2.25 % +2.07 % 01 Dec
5 years 10.479% -78.3 bp -66.5 bp 60.76 +3.60 % +3.05 % 01 Dec
8 years 10.684% -77.4 bp -56.0 bp 44.39 +5.72 % +4.10 % 01 Dec
10 years 10.812% -72.1 bp -56.5 bp 35.82 +6.70 % +5.23 % 01 Dec
Last Update: 3 Dec 2023 0:15 GMT+0

Brazil Yield Analysis

Normally, longer-duration interest rates are higher than short-duration. So, the yield curve normally slopes upward as duration increases. For this reason, the spread (i.e. the yield difference) between a longer and a shorter bond should be positive. If not, the yield curve can be flat or inverted.
The curve convexity is measured considering some key bond durations (usually 2 years and 10 years, but also other maturities).

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Residual
Maturity
Yield Spread vs Bond Spread vs
Central Bank
Rate (12.25%)
3 months 1 year 2 years 5 years
10 years 10.812% -143.8 bp
5 years 10.479%
-177.1 bp
2 years 10.017%
-223.3 bp
1 year 10.471%
-177.9 bp
3 months 12.657%
40.7 bp

Focusing on 2 years Government Bond:

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2Y vs 1Y -45.4 bp Yield Curve is inverted in Short-Term Maturities
5Y vs 2Y 46.2 bp Normal Convexity in Mid-Term vs Short-Term Maturities
10Y vs 2Y 79.5 bp Normal Convexity in Long-Term vs Short-Term Maturities

Brazil Credit Ratings

A credit rating is an assessment of the creditworthiness of a borrower (in general terms or with respect to a particular debt or financial obligation). For a deeper analysis of credit ratings, click here Brazil Credit Ratings History

Rating Agency Rating Outlook
Standard & Poor's BB- positive
Moody's Investors Service Ba2 -
Fitch Ratings BB -
DBRS BB -

Brazil Interest Rates

A bank rate is the interest rate at which a nation's central bank lends money to domestic banks, often in the form of very short-term loans.

Interest Rates Value
Central Bank Rate 12.25%

Brazil Credit Default Swaps

The term credit default swap (CDS) refers to a financial derivative that allows an investor to swap or offset their credit risk with that of another investor. To swap the risk of default, the lender buys a CDS from another investor who agrees to reimburse the lender in the case the borrower defaults.

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Credit Default Swap CDS Value Var % 1W Var % 1M Var % 1Y Implied PD(*)
5 Years CDS 146.24 -0.65 % -23.36 % -42.18 % 2.44 %
(*) Implied probability of default, calculated on the hypothesis of a 40% recovery rate.

Brazil 10Y Bond Yield Spread

The Brazil 10Y Government Bond has a 10.812% yield.

A positive spread, marked by , means that the 10Y Bond Yield is higher than the corresponding foreign bond. Instead, a negative spread is marked by a green circle .

Click on the values in "Current Spread" column, for the historical series of the spread.
Click on the "Compare" button, for a report with the full comparison between the two countries, with all the available data.
If data are not all visible, swipe table left
Brazil 10Y vs Current Spread Chg 1M Chg 6M Compare
Countries
vs Japan 10Y 1010.6 bp -51.2 bp -86.1 bp
vs Germany 10Y 845.3 bp -42.3 bp -59.6 bp
vs China 10Y 811.4 bp -74.1 bp -52.9 bp
vs France 10Y 789.1 bp -40.2 bp -61.9 bp
vs Spain 10Y 745.9 bp -38.0 bp -59.9 bp
vs Canada 10Y 736.3 bp -39.3 bp -76.1 bp
vs Italy 10Y 672.2 bp -36.9 bp -67.5 bp
vs United Kingdom 10Y 667.2 bp -53.2 bp -55.2 bp
vs United States 10Y 660.3 bp -35.4 bp -107.6 bp
vs Australia 10Y 641.5 bp -43.9 bp -122.5 bp
vs India 10Y 352.2 bp -69.4 bp -87.1 bp
vs Russia 10Y -139.8 bp -86.1 bp -200.5 bp

Brazil Government Bonds Prices

Price Simulation: bonds with a face value of 100, with different coupon rates.

The highlighted column refers to the zero coupon bond.
Click on for a forecast of the yield.
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Residual
Maturity
Yield Bond Price - with different Coupon Rates Fx
0% 1% 3% 5% 7% 9%
10 years 10.812% 35.82 41.76 53.63 65.50 77.37 89.24
8 years 10.684% 44.39 49.60 60.01 70.42 80.83 91.24
5 years 10.479% 60.76 64.50 71.99 79.48 86.97 94.46
3 years 10.062% 75.00 77.49 82.46 87.43 92.39 97.36
2 years 10.017% 82.62 84.35 87.82 91.29 94.77 98.24
1 year 10.471% 90.52 91.43 93.24 95.05 96.86 98.67
Maturity Date 100.00 100.00 100.00 100.00 100.00 100.00

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