Credit: iStock
The interest rate market continued to reprice intermediate and long-term maturities this Tuesday, October 6, following Monday’s sharp compression in risk premiums. At 12:58 PM, the January 2029 DI contract traded at 12.47%, down from 12.65% at the previous close. The January 2031 contract stood at 12.53%, compared to 12.70%. These represented additional drops of 18 and 17 basis points, respectively.
The short end of the curve moved in the opposite direction. At 12:57 PM, the January 2027 DI was trading at 13.435%, slightly above the previous close of 13.413%. The divergence across yield curve segments is key: the market reduced the premium required to hold longer-term risk without driving a uniform rate cut across all maturities.
This movement extended the favorable environment for fixed-rate ETFs observed on Monday. 5PRE11 rose 4.86%, NTNF11 gained 3.89%, 3PRE11 advanced 3.37%, and IRFM11 appreciated 2.46%. The dispersion reflects varying exposures to duration, underlying bonds, and interest rate sensitivity. Expectations of tighter fiscal discipline following the first-round election reduced risk premiums on longer-dated maturities, boosting the value of fixed payouts locked into portfolio holdings.
5PRE11 (Itaú Asset): +4.86% on October 5
5PRE11 registered the largest gain among the four analyzed products, accumulating a 6.53% return over the one-month window through Monday. Its benchmark is a portfolio of LTNs (zero-coupon treasury bills) and NTN-Fs (fixed-rate treasury bonds) designed to maintain an average maturity of around five years upon rebalancing. Portfolio average duration stands at approximately 4.5 years.
Tuesday’s further decline in the 2031 DI contract maintained a favorable backdrop for the yield curve segment relevant to this strategy.
Want to follow discussions on indices, strategies, and the ETF market? INDEX 2026, DEX’s annual event, takes place on November 12 in São Paulo. Secure your spot.
NTNF11 (Investo, co-managed with V8 Capital): +3.89% on October 5
NTNF11 advanced 3.89% on Monday and stood up 4.95% over one month. Disclosed holdings as of October 2 indicated a 100% benchmark allocation to NTN-F bonds maturing on January 1, 2031. This breakdown provides a clear rationale: the fund was fully exposed to a fixed-rate bond paying semi-annual coupons with principal maturing in 2031—a segment that experienced a sharp reduction in market-demanded yields.
The January 2031 DI dropped 122 basis points on Monday and fell again on Tuesday. While NTN-F bonds trade at their own rates, the drop in futures contracts for this horizon supported the rally in fixed payouts. Semi-annual coupons accelerate cash flow compared to zero-coupon bonds that pay only at maturity; hence, a 2031 maturity date and a five-year duration sensitivity are not equivalent measures.
3PRE11 (Galapagos Capital): +3.37% on October 5
3PRE11 gained 3.37% on Monday and accumulated 4.58% over one month. The strategy combines LTNs and NTN-Fs to maintain a target average maturity of three years upon rebalancing. Teva’s factsheet indicated a duration of 3.0 years as of October 2. This lower sensitivity relative to 5PRE11 explains its less intense reaction to the previous session’s sharp rate drop.
On Tuesday, further compression in the January 2029 DI reinforced a favorable environment for the belly of the curve. Portfolio appreciation stems from mark-to-market gains on fixed-rate bonds alongside accrued interest earned over time.
IRFM11 (Itaú Asset): +2.46% on October 5
IRFM11 rose 2.46% on Monday, with gains of 3.77% over one month and 11.98% year-to-date. The IRF-M P2 index brings together LTNs and NTN-Fs, weighted by market liquidity and outstanding volume, with rules maintaining an average maturity equal to or greater than 720 days. The portfolio spreads exposure across maturities rather than concentrating in a single issue or matching 5PRE11’s duration profile.
This diversification causes the fund to capture movements across different curve segments. Tuesday provided a concrete example: the 2027 DI rose slightly, while 2029 and 2031 contracts declined. For a multi-maturity portfolio, the net impact depends on the combined effect of these shifts across the bond cash flows.
Informational content. Past performance is no guarantee of future results.
