Latam Fixed Income Strategy

Mar 1, 2018 - MYR. COP. ZAR. RUB. High-beta FX returns (spot vs. USD). Source: Bloomberg, Itaú. % (+) appreciation. (-) depreciation. Daily return. 0.69.
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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

Source: Bloomberg, Itaú

1.0

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

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%