Rates and Curves

The nominal and real yield curves B3 publishes every session, the inflation they imply, and where DI1 futures positions sit. Source: B3 reference rates (b3_reference_rate, daily since 2008-01-02) and the DI1 settlement report (b3_futures_settlement, daily since 2018-01-02). Each tile shows the session it comes from. Further down: the Focus survey against the market breakeven, how much NTN-B investment funds hold, and the global rates backdrop.

Breakeven is derived, not published as a series. It is (1 + nominal) / (1 + real) - 1 at the same B3 fixed vertex, both rates in % a.a. on 252 business days. No interpolation, no smoothing. It includes any inflation risk premium, so it is not a forecast.

Latest Curves

PRE (DI x pré, nominal) and DPL (IPCA coupon, real) on B3's fixed vertices, by business days to the vertex. Daily, updated by the morning ingest run. DPL's first months move with the current month's IPCA projection, not with real rates. Past the last DI1 and DAP maturities B3 extrapolates the last forward rate.

Real Yields and Breakevens Since 2008

Weekly: the last session of each week, at B3's fixed 360-day and 1,800-day vertices. A week with no session is blank. Same method as above.

Market Breakeven vs the Focus Survey

The 1-year breakeven above against the BACEN Focus survey's median forecast for IPCA over the next 12 months (bacen_expectativas, unsmoothed series), read on the same session; weeks with no Focus row that day are blank. Focus starts 2019-01. The two are not the same quantity: the breakeven is a market price and also carries an inflation risk premium, so a gap between them is not a forecast error.

DI1 Open Interest by Maturity

Contracts open per DI1 maturity on the latest session, from B3's daily settlement report. The rate is B3's settlement rate (% a.a., 252 business days). A contract expires on its month's first business day. Context for where the nominal curve is anchored: the PRE curve past the last listed DI1 is extrapolated.

Who Holds NTN-Bs: Investment Funds

NTN-B (Tesouro IPCA+) positions reported by Brazilian investment funds in CVM's monthly portfolio filing (CDA, cvm_fi_cda, block "Títulos Públicos"), at the market value each fund reported. Repo collateral is excluded: it is a loan backed by NTN-Bs, not a holding. Funds only: banks, insurers, pension plans held directly and foreign investors are not in this filing.

The series stops at the last complete month. CVM's newest CDA months are partly filed: from 2026-06 they hold about 60% of the usual funds. The chart ends at the last month with at least 90% of the prior year's median count of holding funds, shown in the Month column below. Monthly, last 36 months.

Global Backdrop

The rates a Brazilian curve is read against, each from its primary publisher (mkt_series): the U.S. Treasury par yield curve (% a.a.), Brent spot from the EIA (USD per barrel, published weekly) and the OFR Financial Stress Index (above zero means stress above its average; published about two business days late). Weekly history takes each series' last observation in the week. VIX is not shown: Cboe requires a licence to publish it, so the OFR index stands in as the stress gauge.