Apr 18, 2018 - MYR. IDR. MXN. High-beta FX returns (spot vs. USD). Source: Bloomberg, Itaú. % (+) appreciation. (-) dep
Latam Fixed Income Strategy FX and Commodities Tracker April 18, 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)
161.83 171.38 120.82 110.34 3.3802 18.0947 594.68 2,710 20.1317 3.2178 65.66 13,776 4.0101 11.94 60.88
1D
1W
1M
3M
6M
12M
0.44% 0.68% 0.12% -0.10% 0.82% -0.25% 0.29% 0.53% 0.23% 0.08% -0.02% -0.07% 2.18% 0.41% 1.05%
0.2% 1.1% 0.0% 0.0% -0.2% 0.7% 0.5% 0.3% 0.2% 0.5% -0.5% -0.1% 3.1% 0.0% 2.5%
0% -2% 0% 0% -3% 3% 2% 5% 0% 2% -1% 0% -2% 1% -5%
-1% -4% -1% 1% -5% 3% 2% 5% -6% 0% -3% -3% -6% 2% -7%
-1% -3% -1% 4% -6% 4% 5% 8% -14% 1% -1% -2% -8% 14% -6%
-3% -4% -1% 11% -8% 3% 9% 5% -24% 1% -2% -3% -9% 11% -8%
So urce: B lo o mberg
P ric e s a s o f 15 :3 7 E S T
FX Aggregates - Spot Returns
LatAm FX - Spot Returns
5%
3%
Latam FX Commodity FX EM FX USD/G10 (=1/DXY Index)
12%
BRL MXN CLP COP
10%
9%
8% 5%
5%
5%
5%
4%
3%
2%
10%
6%
3%
2%
8%
11%
4%
4%
0%
2% 0%
0%
-3%
1%
0% 0%
-5%
-2%
-5% -6%
6M
-1%
-3% -4%
-8%
3M
-1%
-1%
-1%
-4%
-10% 1M
-2%
-6% 1M
12M
3M
6M
High-beta FX returns (spot vs. USD)
Low-beta FX returns (spot vs. USD) 0.23
AUD
TRY
SGD
RUB
0.11
EUR
BRL
0.81
COP
0.52
ZAR
0.46
0.03
ILS
0.00
NOK
-0.01
SEK
-0.02
KRW
0.29
PEN
-0.15
JPY
0.08
-0.21
CHF
MYR
0.02
IDR
-0.07
MXN
-0.5
-0.25
NZD
-0.31
% (+) appreciation (-) depreciation
GBP
-0.60
% (+) appreciation (-) depreciation
Daily return
CAD
-0.63
Daily return
-0.20
-1.0
12M
* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú
* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú
CLP
-1% -3% -4%
0.0
Source: Bloomberg, Itaú
0.5
1.0
-1.0
-0.5
0.0
Source: Bloomberg, Itaú
0.5
1.0
Latam Fixed Income Strategy FX and Commodities Tracker April 18, 2018
Commodities – Part I General Last Itau Unibanco commodity index* (2010=100) CRB futures index (1967=100) Gold (USD/ t oz.) Silver (USD/ t oz.)
1D
1W
1M
3M
6M
12M
80
1.44%
1.3%
5%
3%
12%
15%
203
1.80%
2.1%
5%
3%
10%
9%
1,349.41 17.21
0.14% 2.49%
-0.3% 2.6%
2% 6%
2% 1%
5% 1%
5% -6%
So uce: B lo o mberg
P ric e s a s o f 15 :3 7 E S T
Energy Last
1D
1W
1M
3M
6M
12M
84
2.06%
2.4%
9%
4%
20%
23%
68.91 73.17 68.76 199 2.77
1.04% 3.10% 3.38% 0.93% 0.14%
2.1% 2.4% 3.0% 0.0% 2.4%
9% 11% 11% 9% 4%
5% 6% 8% 5% -7%
23% 27% 32% 21% -9%
28% 32% 30% 21% -14%
ICI - Energy (2010=100) Oil (USD/bbl) Dubai Brent WTI Gasoline 87 US (USd/gallon) Natural Gas* (USD/MMBtu) So uce: B lo o mberg
P ric e s a s o f 15 :3 7 E S T
* Henry Hub
Itaú Unibanco commodity index (ICI) 100
Crude oil benchmarks 78
USD/bbl
74 90
70 66
80
62 58
70
54
60
50
46 50
42
ICI-Agriculture ICI-Energy ICI-Metals
40
30 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18 Source: Bloomberg, Itaú
38 Brent WTI
34
30 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18 Source: Bloomberg, Itaú
* 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.
Latam Fixed Income Strategy FX and Commodities Tracker April 18, 2018
Commodities – Part II Agriculture Last
1D
1W
1M
3M
6M
12M
83
0.68%
-1.3%
2%
6%
7%
3%
475 383 1,042 12
1.93% 0.72% -0.41% 0.77%
-2.5% -1.0% -0.6% -2.7%
5% 2% 2% -9%
12% 9% 7% -10%
11% 10% 6% -17%
12% 6% 10% -30%
ICI - Agriculture (2010=100) Wheat (USd/bu) Corn (USd/bu) Soybean (USd/bu) Sugar (USd/lb) So uce: B lo o mberg
P ric e s a s o f 15 :3 7 E S T
Metals Last
1D
1W
1M
3M
6M
12M
ICI - Metals (2010=100)
71
1.37%
2.7%
4%
-2%
7%
20%
Industrial Metals Index (Blooomberg)
144
4.38%
5.9%
9%
6%
9%
31%
Iron Ore (USd/MT) Copper (USd/lb)
68 319
4.15% 2.64%
5.3% 1.6%
3% 3%
-8% -1%
12% -1%
12% 22%
So uce: B lo o mberg
P ric e s a s o f 15 :3 7 E S T
Industrial metals
Major grains prices 580
USd/bu
Corn Wheat Soybean (rhs)
530
USd/bu
1250 1200
100
USd/MT
USd/lb
90
340 320
1150 80
300
1050
70
280
430
1000
60
380
950
1100
480
260 240
50 220
900 330
850
280 800 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18 Source: Bloomberg, Itaú
40
Iron ore Copper (rhs)
200
30 180 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18 Source: Bloomberg, Itaú
