Real rates in anomaly: the rare premium of late 2024

Derivative

The extreme

At the end of 2024, the Radar recorded in market real rates one of the rarest premiums in the entire series. The deviation already showed up in November — a z of +3.43 at ten years and +3.59 at five. In December the picture hardened: the 5- and 10-year real rates and the derivative of the ex-ante real rate marked between 3.82 and 3.88 standard deviations, territory the series almost never visits. The Selic had resumed rising, closing the year at 12.25% a year. It was the cost of domestic money in an anomalous state.

What happened next

The anomalous premium did not unwind — it was ratified by monetary policy. The Selic kept rising: 13.25% in January 2025, 14.25% in March, up to 15.0% in July. What the real-rate anomaly preceded, inside the equity market, was a sharp split of winners. In January the financial sector was rehabilitated, rewarded for living on spread in a high-rate regime: Financials/IBOV jumped from z −1.08 to +0.84. On the other side, real estate funds — the most sensitive to real rates — were punished: IFIX/IBOV sank from 0.00 to −1.20, with the 10-year real rate still at z +3.16 early in the month.

What didn't happen

The real rate in anomaly did not precede a quick normalization, nor did it punish the equity market uniformly. Anyone reading "+3.8 deviations is unsustainable, so it will pull back" would have waited for a relief that never came — the Selic only rose for another seven months. And the high rate did not knock everything down equally: it separated those who profit from it (banks) from those who suffer under it (real estate and cyclicals). The anomaly was not a sign of imminent reversal; it was the description of a regime that deepened.

Honest verdict

The historic deviation in real rates at the end of 2024 was not a stretched rubber band about to snap back — it was the portrait of a tightening that still had road ahead. A rare premium describes the price of risk in the moment; it does not promise the hour at which it gives way.

Continue the story: Two clocks telling different times (Dec 2024) · What the Selic and the real rate are · The Selic pinned at 14.25% →

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Characters: Rates (Selic) · Structure (intermarket)