BBVA Local Rates Strategy: LatAm ASW Tracker: Mexico’s 5Y ASW and 2s5s ASW inversion are most stretched; watch Colombia

The asset swap spread (ASW) is the difference between the interest rate swap rate and the yield on a government bond of the same maturity. This report provides a cross-regional and historical review of Asset Swaps Curves in LatAm. The report helps identify historical dislocations in both outright ASW tenors and ASW curves.

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