Mar 20, 2018 - TRY. INR. MYR. CLP. ARS. MXN. COP. BRL. High-beta FX returns (spot vs. USD). Source: Bloomberg, Itaú. %
Latam Fixed Income Strategy FX and Commodities Tracker March 20, 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)
162.94 167.80 120.46 111.35 3.3084 18.7630 610.65 2,870 20.2561 3.2656 65.20 13,748 3.9372 11.96 57.57
1D
1W
1M
3M
6M
12M
-0.48% -0.06% -0.09% -0.73% -0.66% -0.30% -0.23% -0.52% -0.24% 0.17% -0.03% 0.12% -0.02% 0.45% 0.35%
-1.1% -1.1% -0.2% -0.8% -1.4% -0.8% -1.3% -0.6% -0.2% -0.1% -0.5% 0.0% -1.6% -1.2% -0.9%
-1% -2% 0% -1% -2% 0% -3% 0% -2% 0% -1% -1% -4% -2% -2%
1% 1% 0% 3% 0% 2% 2% 3% -12% 0% -2% -1% -3% 6% 2%
-4% -1% -1% 2% -5% -5% 2% 1% -15% -1% -1% -3% -11% 11% 1%
-3% -1% -1% 11% -7% 1% 8% 1% -23% -1% 0% -3% -8% 6% 0%
So urce: B lo o mberg
P ric e s a s o f 14 :2 6 E S T
FX Aggregates - Spot Returns
LatAm FX - Spot Returns 11%
14%
BRL MXN CLP COP
9% 7%
Latam FX Commodity FX EM FX USD/G10 (=1/DXY Index)
12%
8%
10%
11%
8%
5% 2%
3%
6%
3% 2%
2% 1%
1%
1%
1%
4%
3%
2%
-1%
0%
0%
0%
0%
-2%
-3%
-1%
-2%
-3%
-5%
0%
0%
-1%
-1%-1%
-2%
1M
3M
-4%
-6%
6M
1M
12M
High-beta FX returns (spot vs. USD) RUB
KRW CAD
0.35
TRY
GBP
INR
-0.03
NOK
ARS MXN COP
-1.0
-0.30
AUD
-0.24
CHF % (+) appreciation (-) depreciation
-0.53
BRL
-0.18
-0.23
-0.31
Daily return
-0.66
-0.5
0.0
Source: Bloomberg, Itaú
-0.17
-0.21
JPY
-0.04
CLP
-0.02
Daily return
SGD
0.12 -0.02
MYR
12M
0.27
% (+) appreciation (-) depreciation
ILS
0.17
IDR
6M
Low-beta FX returns (spot vs. USD)
0.45
ZAR
3M
* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú
* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú
PEN
-1%-1% -3%
-4% -5%-5%
-7%
2%
1% 1%
0.5
-0.41 -0.51 -0.55
SEK EUR
-0.64 -0.77
NZD-0.92 1.0
-1.0
-0.5
0.0
Source: Bloomberg, Itaú
0.5
Latam Fixed Income Strategy FX and Commodities Tracker March 20, 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
76
0.66%
-0.7%
-1%
3%
7%
6%
194
0.65%
-0.1%
0%
4%
5%
5%
1,310.41 16.13
-0.49% -0.80%
-1.2% -2.6%
-1% -2%
4% 0%
1% -7%
6% -7%
So uce: B lo o mberg
P ric e s a s o f 14 :2 6 E S T
Energy Last
1D
1W
1M
3M
6M
12M
78
1.47%
2.8%
3%
5%
14%
22%
63.75 67.07 63.52 187 2.71
0.82% 1.90% 2.24% 2.03% 1.01%
3.2% 4.0% 4.6% 10.0% -3.7%
2% 3% 3% 9% 2%
5% 5% 9% 8% 3%
18% 20% 25% 12% -14%
28% 30% 30% 22% -13%
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 14 :2 6 E S T
* 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 Mar-16
Sep-16
Mar-17
Sep-17
Source: Bloomberg, Itaú
Mar-18
38 Brent WTI
34 30 Mar-16
Sep-16
Mar-17
Sep-17
Mar-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 March 20, 2018
Commodities – Part II Agriculture Last
1D
1W
1M
3M
6M
12M
82
0.20%
-3.5%
1%
5%
4%
-1%
453 375 1,028 13
0.50% -0.13% 0.56% -2.56%
-6.9% -4.4% -2.0% -0.5%
1% 2% 0% -6%
7% 7% 8% -14%
1% 7% 6% -11%
5% 3% 3% -29%
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 14 :2 6 E S T
Metals Last
1D
1W
1M
3M
6M
12M
ICI - Metals (2010=100)
69
0.01%
-2.2%
-8%
-3%
1%
-3%
Industrial Metals Index (Blooomberg)
130
-1.07%
-2.6%
-6%
-1%
2%
12%
Iron Ore (USd/MT) Copper (USd/lb)
66 304
0.02% -1.46%
-4.1% -3.2%
-15% -5%
-8% -5%
-1% 1%
-24% 11%
So uce: B lo o mberg
P ric e s a s o f 14 :2 6 E S T
Industrial metals
Major grains prices 580
USd/bu
USd/bu
Corn Wheat Soybean (rhs)
1250 1200
530
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
900 330 280 Mar-16
850
Sep-16
Mar-17
Sep-17
Source: Bloomberg, Itaú
800 Mar-18
40 30 Mar-16
Iron ore Copper (rhs) Sep-16
Mar-17
Sep-17
Source: Bloomberg, Itaú
200
180 Mar-18
