巴西通胀挂钩国债收益率破8%，中资企业融资成本承压

Rafael Pistelli Gabriel Reis/Valor Concern is mounting among market participants over the deterioration in NTN-Bs, Brazil’s inflation-linked government bonds. Attempts by the National Treasury to avoid adding pressure to the market have had limited effect, with yields climbing further almost every day. Much of the real interest-rate curve through 2037 is now trading above 8%. At least in the near term, investors see no clear catalyst capable of producing a significant decline in risk premiums. The NTN-B market has been under strain for some time. In March, the Treasury intervened with a record volume of bond buybacks as sentiment worsened following the war in Iran. NTN-Bs struggle to find buyers despite 8% yields Treasury warns of tax-exempt bond distortions More recently, it canceled an NTN-B auction on June 22. In the weeks since, offerings of bonds linked to the IPCA consumer price index have been largely symbolic, with only minimal volumes made available. Even so, the market has been unable to sustain any meaningful decline in yields. Data from Anbima, which represents Brazil’s capital and investment markets, show that the yield on the NTN-B maturing in May 2035 rose from 8.08% on Monday (20) to 8.15% the following day. It reached 8.23% on Wednesday (22). The rise in real yields has begun to rival moves in the fixed-rate bond market, where fluctuations are usually much sharper and more volatile than in NTN-Bs. Even indications from the Finance Ministry that the government could tighten fiscal policy have failed to persuade investors to accept lower risk premiums. Valor’s Intraday markets blog learned that, during meetings between the economic team and financial executives in São Paulo last week, officials suggested that some fiscal adjustment could be made if President Luiz Inácio Lula da Silva of the Workers’ Party wins the October election. One of the government’s goals would be to regain investment-grade status by the end of his term in 2030. Measures under discussion include reviewing social benefits, particularly the Continuous Cash Benefit program, known as BPC, and potentially ending its link to the minimum wage. The government could also change the minimum-wage adjustment formula, limiting real growth over time to inflation plus 1%, down from the current ceiling of 2.5%. Fiscal doubts Market participants remain deeply skeptical that a firm fiscal adjustment will be implemented, regardless of the election result. That distrust continues to prevent a more substantial decline in NTN-B premiums. Investors are therefore maintaining defensive positions, even though they acknowledge that risk premiums in the real-rate market are already exceptionally high. Rafael Pistelli, who oversees proprietary market-making activities at Santander’s treasury, said the recent surge in long-term global yields triggered the latest highs. The move has been amplified by unfavorable short-term carry, the absence of foreign investors from the NTN-B market and competition from tax-exempt investment products. Still, Pistelli said the root of the problem lies in Brazil’s fiscal outlook and the lack of signs that the debt-to-GDP ratio is stabilizing. “The root of the problem is macroeconomic. The market sees no clarity over the country’s debt trajectory. Without fiscal stabilization, and with interest rates at their current level, we have an explosive combination,” Pistelli said. “Without visibility over the debt trajectory, and with restrictive monetary policy at a time when we have a 3% inflation target—which is very demanding in the current environment of geopolitical tensions and high global interest rates—the result is an extremely high premium on long-term real interest rates in Brazil.” Historic premiums Only five maturities across the entire NTN-B curve, ranging from 2040 to 2060, are trading below 8%. Even those yields remain historically elevated. On Wednesday, the yield on the bond maturing in August 2050 rose to 7.66% from 7.61%. “The market is demanding an extraordinarily high risk premium because it sees no light at the end of the tunnel for resolving the fiscal situation,” Pistelli said. “I have followed this market for 18 years and have never seen circumstances like these.” Brazil also has domestic factors that magnify the pressure. With the current real interest rate above 10%, holding an NTN-B has become “punitive,” Pistelli said. For many investors, it is easier to remain in instruments tied to the CDI interbank rate and wait for greater clarity, particularly with the election approaching. Competition from tax-exempt funds also helps explain the deterioration, while the lack of foreign participation adds to the imbalance. “NTN-Bs depend heavily on the domestic market, and we have seen a hedge-fund industry suffering from redemptions and weak performance,” Pistelli said. “Pension funds, whose demand tends to be concentrated, accelerated their allocations during 2025 and now have less appetite at the margin.” Weak demand Huang Seen, head of fixed income at Tivio Capital, is also cautious about the short-term outlook for NTN-Bs. He expects demand to remain weak because of both cyclical and structural factors that have reduced the bonds’ appeal. Investors had expected the Central Bank to deliver a larger interest-rate-cutting cycle, but that did not materialize, Seen said. With high real returns still available through CDI-linked investments, demand for NTN-Bs has weakened. Inflation is also expected to ease over the coming months, further reducing the bonds’ short-term carry. Among the structural factors, Seen cited weaker demand from pension foundations, which made significant allocations in recent years, as well as changes in the taxation of private pension funds, traditionally natural buyers of longer-dated government bonds. “We are beginning to see some signs of market dysfunction,” Seen said. “On some days, there is no news that would justify a rise in real yields, yet they continue to deteriorate in a vacuum.” Seen said the Treasury’s recent indication that it could intervene in the NTN-B market may itself have contributed to the latest rise in yields. “By signaling that it could intervene in the market and then not doing so, the Treasury may perhaps have contributed to this deterioration,” he said. “It may have to take more concrete action to reverse the process we have seen over the past few weeks.”