Latam Fixed Income Strategy

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Mar 22, 2018 - MYR. ARS. INR. IDR. ZAR. CLP. COP. TRY. RUB. MXN. BRL. High-beta FX returns (spot vs. USD). Source: Bloom
Latam Fixed Income Strategy FX and Commodities Tracker March 22, 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)

162.62 167.13 120.49 110.61 3.3147 18.6301 607.79 2,860 20.2254 3.2373 65.11 13,755 3.9398 11.85 57.25

1D

1W

1M

3M

6M

12M

-1.00% -0.73% -0.18% -0.05% -1.26% -1.03% -0.33% -0.33% 0.20% 0.44% 0.16% 0.04% -0.77% -0.10% -0.66%

-0.4% -0.1% -0.1% 0.3% -0.9% 0.4% -0.4% -0.5% 0.5% 0.8% -0.3% 0.0% -1.1% 0.5% 0.3%

-1% -2% 0% 0% -2% 0% -2% 0% -1% 0% 0% -1% -4% -2% -1%

3% 2% 0% 4% 1% 6% 2% 4% -11% 0% -2% -1% -3% 7% 2%

-4% -1% -1% 3% -6% -5% 3% 2% -14% 0% 0% -3% -11% 12% 0%

-2% 0% -1% 11% -7% 2% 9% 2% -23% 0% 1% -3% -8% 6% 1%

So urce: B lo o mberg

P ric e s a s o f 15 :2 7 E S T

FX Aggregates - Spot Returns

LatAm FX - Spot Returns 11%

14%

BRL MXN CLP COP

9% 7%

9%

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

12% 10%

6%

11%

8%

5% 2%

3%

4%

6%

3% 2%

2%

1%

1%

0%

-1%

2%

-2%

3% 0%

0%

-2%

0% 0% -1%-2%

-2%

-5% 1M

3M

-2% -4%

-6% -7% 12M

6M

1M

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

JPY CHF

0.31

0.04 -0.16

NZD

-0.29

-0.33

GBP

-0.33

SGD

% (+) appreciation (-) depreciation

-1.08

Daily return

BRL -1.27 -1.5

-1.0

-0.32 -0.36

ILS

-0.66 -0.70

MXN

-0.28

EUR

CLP

TRY

-0.5

0.0

Source: Bloomberg, Itaú

0.01

-0.29

COP

RUB

0.05

Daily return

CAD

0.16

IDR

12M

0.73

% (+) appreciation (-) depreciation

KRW

0.20

INR

6M

Low-beta FX returns (spot vs. USD)

0.44

PEN

ARS

3M

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

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

ZAR

0% -1%

-1%-1%

-4%

-5% -6%

-7%

3% 2%

2%

0%

-3%

4%

4%

0.5

1.0

-0.45

NOK

-0.69

SEK

-0.90

AUD

-0.94

-1.5

-1.0

-0.5

0.0

Source: Bloomberg, Itaú

0.5

1.0

Latam Fixed Income Strategy FX and Commodities Tracker March 22, 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

77

0.23%

0.6%

-1%

3%

9%

9%

195

-0.40%

0.7%

0%

4%

6%

6%

1,329.03 16.33

-0.24% -0.18%

1.0% -0.2%

0% -2%

4% 0%

2% -3%

6% -7%

So uce: B lo o mberg

P ric e s a s o f 15 :2 7 E S T

Energy Last

1D

1W

1M

3M

6M

12M

80

0.15%

4.8%

4%

6%

16%

26%

66.26 68.35 64.08 191 2.66

2.28% -1.04% -1.34% -0.14% -0.30%

6.8% 5.2% 4.6% 4.5% -2.0%

7% 3% 2% 6% -1%

7% 6% 9% 9% 0%

21% 21% 26% 15% -12%

36% 34% 32% 26% -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 15 :2 7 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 22, 2018

Commodities – Part II Agriculture Last

1D

1W

1M

3M

6M

12M

82

0.26%

-2.4%

1%

5%

4%

0%

456 376 1,030 13

0.50% 0.27% 0.00% 0.79%

-4.8% -2.8% -1.1% 0.2%

1% 3% 0% -7%

7% 7% 8% -13%

1% 6% 5% -9%

8% 5% 3% -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 15 :2 7 E S T

Metals Last

1D

1W

1M

3M

6M

12M

ICI - Metals (2010=100)

69

0.30%

-1.9%

-8%

-5%

5%

0%

Industrial Metals Index (Blooomberg)

130

-1.19%

-2.2%

-7%

-4%

4%

12%

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

67 302

0.87% -1.13%

-3.8% -3.3%

-14% -7%

-9% -7%

6% 2%

-19% 12%

So uce: B lo o mberg

P ric e s a s o f 15 :2 7 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