Latam Fixed Income Strategy

Latam Fixed Income Strategy FX and Commodities Tracker March 1, 2018

Currencies Last Latam FX (2010=100) Commodity FX (2010=100) EM FX (2010=100) USD/G10 (=1/DXY Index) BRL (per USD) MXN (per USD) CLP (per USD) COP (per USD) ARS (per USD) PEN (per USD) INR (per USD) IDR (per USD) TRY (per USD) ZAR (per USD) RUB (per USD)

161.58 165.57 120.17 111.22 3.2515 18.8543 595.16 2,879 20.1562 3.2622 65.17 13,748 3.8105 11.86 56.81

1D

1W

1M

3M

6M

12M

-0.13% -0.46% -0.02% 0.32% -0.12% -0.09% -0.14% -0.51% -0.20% 0.12% 0.01% 0.02% -0.30% -0.56% -0.81%

-0.5% -0.6% 0.0% -0.7% 0.0% -1.3% -0.1% -0.6% -1.0% -0.4% -0.2% -0.5% -0.7% -1.7% -0.6%

-2% -2% 0% -2% -3% -3% 0% -3% -4% -2% -2% -2% -2% 0% -2%

1% 3% 0% 3% 0% -1% 9% 4% -15% -1% -1% -2% 3% 16% 4%

-3% 0% -1% 3% -3% -6% 5% 2% -15% -1% -2% -3% -10% 9% 1%

0% 1% -1% 13% -5% 5% 9% 2% -18% 0% 3% -3% -4% 10% 3%

So urce: B lo o mberg

P ric e s a s o f 17 :2 1 E S T

FX Aggregates - Spot Returns

LatAm FX - Spot Returns 14%

12% BRL MXN CLP COP

10%

8% 6%

10% 5%

2%

2%

2%

0%

0%

8%

5%

4%

4%

13%

Latam FX Commodity FX EM FX USD/G10 (=1/DXY Index)

12%

9%

9%

6% 4%

0%

3%

3%

3%

2%

-2% -3%-3%

-4%

1%

1%

-1%

0%

-3%

0%

-3%

-6%

-2%

-5%

-6%

-2%-2%

0%

0% -1%

1M

3M

6M

1M

12M

High-beta FX returns (spot vs. USD) IDR

Daily return

INR MXN

0.02

EUR NZD

TRY

JPY 0.30

ILS

-0.18

0.20

SGD

0.14

GBP

-0.29

COP

-0.51

0.12

CAD

-0.05 -0.08

ZAR

-0.81

AUD

RUB

-0.83

KRW

-1.0

-0.5

0.51 0.41

CHF

-0.20

MYR

0.60 0.51

SEK

-0.14

ARS

0.69

0.01

-0.12

CLP

0.0

Source: Bloomberg, Itaú

12M

NOK

-0.07

BRL

6M

Low-beta FX returns (spot vs. USD)

0.12

% (+) appreciation (-) depreciation

3M

* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú

* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú

PEN

-1%

-3%

-4%

-8%

0%

-2%

0.5

% (+) appreciation (-) depreciation

Daily return

-0.30

-0.5

0.0

0.5


1.0


Commodities – Part I General Itau Unibanco commodity index* (2010=100) CRB futures index (1967=100) Gold (USD/ t oz.) Silver (USD/ t oz.)

Last

1D

1W

1M

3M

6M

12M

-

-

-

-

-

-

-

194

0.00%

-0.7%

-2%

2%

7%

1%

1,317.03 16.20

-0.10% -0.76%

-1.1% -2.3%

-2% -6%

3% -1%

-1% -9%

5% -12%

So uce: B lo o mberg


Energy ICI - Energy (2010=100) Oil (USD/bbl) Dubai Brent WTI Gasoline 87 US (USd/gallon) Natural Gas* (USD/MMBtu)

Last

1D

1W

1M

3M

6M

12M

-

-

-

-

-

-

-

-2.57% -1.76% -1.09% -2.72% 1.22%

-0.6% -3.8% -2.9% -4.1% 2.0%

-7% -8% -7% -9% -2%

2% 0% 4% 0% -11%

21% 20% 27% -13% -13%

11% 12% 12% 13% -6%

61.49 63.59 60.80 173 2.73



* Henry Hub

Itaú Unibanco commodity index (ICI) 100

Crude oil benchmarks 74

USD/bbl

70

90

66 62

80

58

70

54 50

60

46

50

42

ICI-Agriculture ICI-Energy ICI-Metals

40 30 Feb-16

Aug-16

Feb-17

Aug-17


Feb-18

38 Brent WTI

34 30 Feb-16

Aug-16

Feb-17

Aug-17

Feb-18


* The Itaú Unibanco Commodity Index is a proprietary index composed of those commodity prices, measured in U.S. dollars and trade in international exchanges that are relevant to Brazilian consumer inflation. Its sub-indexes are Metals, Energy and Agriculture.


Commodities – Part II Agriculture ICI - Agriculture (2010=100) Wheat (USd/bu) Corn (USd/bu) Soybean (USd/bu) Sugar (USd/lb)

Last

1D

1W

1M

3M

6M

12M

-

-

-

-

-

-

-

6.40% 3.14% 2.20% 2.52%

14.2% 5.3% 3.5% 0.8%

14% 7% 8% 3%

18% 8% 7% -8%

17% 9% 12% 1%

13% 1% 2% -29%

516 386 1,068 14



Metals ICI - Metals (2010=100)

Last

1D

1W

1M

3M

6M

12M

-

-

-

-

-

-

-

Industrial Metals Index (Blooomberg)

135

-0.59%

-3.3%

-4%

5%

2%

12%

Iron Ore (USd/MT) Copper (USd/lb)

77 312

-0.90% -0.30%

-0.3% -4.2%

8% -3%

10% 1%

1% -1%

-10% 12%



Industrial metals

Major grains prices 580

USd/bu

USd/bu

Corn Wheat Soybean (rhs)

1250 1200

530

100

USd/MT

USd/lb

320

90

1150 1100

480

300

80

280

1050

70

430

1000

60

380

950

260 240 50

220

900 330 280 Feb-16

340

850

Aug-16

Feb-17

Aug-17


800 Feb-18

40 30 Feb-16

Iron ore Copper (rhs) Aug-16

Feb-17

Aug-17


200

180 Feb-18