Apr 27, 2018 - MYR. CLP. High-beta FX returns (spot vs. USD). Source: Bloomberg, Itaú. % (+) appreciation. (-) deprecia
Latam Fixed Income Strategy FX and Commodities Tracker April 27, 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)
165.90 175.25 121.22 112.72 3.4578 18.6129 607.94 2,806 20.5387 3.2365 66.66 13,893 4.0426 12.33 62.16
1D
1W
1M
3M
6M
12M
0.58% 0.61% 0.07% 0.02% 0.51% 1.07% -0.81% 0.40% 0.08% 0.00% 0.14% -0.01% 0.58% 0.56% 0.90%
-1.1% -1.2% -0.2% -1.3% -1.3% -0.4% -2.0% -1.7% -1.7% -0.5% -0.8% 0.0% 0.8% -1.8% -1.3%
-2% -5% -1% -2% -4% -1% -1% -1% -2% 0% -3% -1% -2% -5% -8%
-5% -7% -1% -2% -9% 0% -1% 1% -5% -1% -5% -4% -6% -3% -9%
-2% -3% -1% 4% -6% 3% 5% 7% -14% 0% -2% -2% -6% 14% -7%
-3% -4% -1% 8% -8% 2% 9% 5% -25% 0% -4% -4% -12% 8% -8%
So urce: B lo o mberg
P ric e s a s o f 16 :3 3 E S T
FX Aggregates - Spot Returns
LatAm FX - Spot Returns 12%
12% BRL MXN CLP COP
10%
8% 6% 4% 2% 0% -2% -4% -6% -8% -10% -12%
7%
8% 5%
5% 3%
6%
8%
4%
4%
2%
1%
2% 0%
0% -1%
-1% -1% -1%
Latam FX Commodity FX EM FX USD/G10 (=1/DXY Index)
10%
9%
-1%
-2%
-4%
-5%
-6%
-6% -8%
-9%
-2% -1% -1% -2% -3%
-2%
-2%
-4%
-1% -3% -4%
-5% -7%
-8% -10%
1M
3M
6M
1M
12M
High-beta FX returns (spot vs. USD) NOK KRW
0.89 0.58 0.55
BRL
0.50
COP
0.38
Daily return
0.36
CAD
0.33
NZD
0.32
SGD
0.40
PEN
0.40
% (+) appreciation (-) depreciation
AUD
ZAR
0.00
0.29
JPY
0.23
EUR
0.22
CHF
IDR
-0.01
MYR
% (+) appreciation (-) depreciation
-0.05
Daily return
CLP -0.81 -1.0
-0.5
0.0
0.5
Source: Bloomberg, Itaú
12M
Low-beta FX returns (spot vs. USD)
1.06
MXN
TRY
6M
* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú
* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú
RUB
3M
1.0
1.5
0.14
SEK
0.06
ILS
-0.01
GBP
-1.00
-1.5
-1.0
-0.5
0.0
Source: Bloomberg, Itaú
0.5
1.0
Latam Fixed Income Strategy FX and Commodities Tracker April 27, 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
0.21%
0.3%
5%
2%
12%
18%
201
0.08%
-0.3%
3%
1%
8%
12%
1,324.00 16.41
0.55% -0.52%
-0.9% -4.4%
-2% -1%
-1% -4%
4% -2%
5% -5%
So uce: B lo o mberg
P ric e s a s o f 16 :3 3 E S T
Energy Last
1D
1W
1M
3M
6M
12M
85
-0.35%
0.4%
5%
3%
20%
30%
70.85 73.79 67.98 204 2.81
-0.45% -0.12% -0.15% 0.13% -0.99%
0.4% 0.6% -0.6% 0.7% 1.6%
5% 6% 4% 7% 4%
6% 7% 4% 6% -11%
24% 23% 26% 17% -5%
40% 42% 38% 36% -15%
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 16 :3 3 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 ICI-Agriculture ICI-Energy ICI-Metals
50
46 Brent WTI
42
40 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18
38 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18
Source: Bloomberg, Itaú
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 27, 2018
Commodities – Part II Agriculture Last
1D
1W
1M
3M
6M
12M
85
1.71%
2.9%
4%
6%
8%
7%
496 390 1,045 11
3.07% 0.91% 1.65% 2.28%
7.0% 3.5% 1.6% -3.6%
10% 4% 3% -11%
10% 9% 5% -18%
16% 12% 7% -23%
20% 8% 10% -26%
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 16 :3 3 E S T
Metals Last
1D
1W
1M
3M
6M
12M
ICI - Metals (2010=100)
70
-0.65%
-3.0%
5%
-5%
6%
13%
Industrial Metals Index (Blooomberg)
133
-1.98%
-5.5%
3%
-4%
2%
19%
Iron Ore (USd/MT) Copper (USd/lb)
66 307
-1.93% -2.18%
-2.3% -2.7%
4% 2%
-10% -5%
12% -2%
-1% 16%
So uce: B lo o mberg
P ric e s a s o f 16 :3 3 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
90 320
1150 1100
480
80
300
1050
70
430
1000
60
380
950
280 260
50
240
900 330
850
280 800 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18 Source: Bloomberg, Itaú
340
40
Iron ore Copper (rhs)
220
30 200 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18 Source: Bloomberg, Itaú
