USDBRL 1 year forward points are at 0.32 while SELIC (Brazil central bank rate) is at 13.75% and the CDI (interbank rate) is about 11.50% vs USD swap rates at around 4%.

What is the explanation behind this divergence between the forward rate implied by the interest rate differential and the actual rate.

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    $\begingroup$ What difference do you see between offshore non-delivery FX forwards, and onshore exchange-listed FX futures? $\endgroup$ Mar 8, 2023 at 2:51
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    $\begingroup$ 0.32 should be 3200 points really. Do you refer to the difference between the FWD and Spot? I fail to see the actual problem. What do you expect? $\endgroup$
    – AKdemy
    Mar 8, 2023 at 9:46
  • $\begingroup$ The data source we are using refers to a 'point' as 0.0001 BRL. Is this correct? I.e if spot = 5.1913, the forward points are 0.32, it is also giving 5.1913 as the 1yr forward. e.g see here fxempire.com/currencies/usd-brl/forward-rates $\endgroup$
    – AB123
    Mar 8, 2023 at 10:19
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    $\begingroup$ The data source is wrong. Points will be expressed as *10000. I can only guess but according to your link, the data vendor is xignite, which according to the website does not offer FX outrights in its API but only Spot and points. These should be about 3200 - which will result in 0.32 being added to Spot, and a forward of ~5.5 which is in line with market quotes and covered interest rate parity. I suggest you look at a different source as yours clearly messes up the quotes. $\endgroup$
    – AKdemy
    Mar 8, 2023 at 11:54
  • $\begingroup$ Thank you this is useful! $\endgroup$
    – AB123
    Apr 5, 2023 at 9:23


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