MYR. IDR. ZAR. BRL. COP. MXN. INR. TRY. High-beta FX returns (spot vs. USD). Source: Bloomberg, Itaú. % (+) appreciatio
Latam Fixed Income Strategy FX and Commodities Tracker February 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)
161.13 164.64 120.18 110.49 3.2540 18.6995 595.17 2,861 19.8639 3.2521 64.79 13,615 3.7991 11.73 56.55
1D
1W
1M
3M
6M
12M
-0.68% -0.37% -0.09% -0.70% -0.63% -0.89% -0.08% -0.83% 0.18% -0.17% -0.89% -0.40% -1.06% -0.50% -0.11%
-0.6% -0.2% -0.1% -0.7% -0.9% -0.7% 0.0% 0.3% 0.2% 0.3% -1.1% 0.1% -0.4% -0.1% 0.3%
-1% -1% 0% 1% -2% 0% 2% 0% -4% -1% -1% -2% -1% 3% 0%
1% 4% 0% 5% 0% 2% 7% 5% -12% 0% 0% -1% 3% 20% 5%
-2% 2% 0% 4% -3% -6% 8% 4% -13% 0% -1% -2% -8% 12% 5%
1% 1% -1% 13% -5% 9% 8% 1% 0% 3% -2% -5% 11% 3%
So urce: B lo o mberg
P ric e s a s o f 14 :5 7 E S T
FX Aggregates - Spot Returns
LatAm FX - Spot Returns 14%
10% BRL MXN CLP COP
8% 6%
8%
12%
10%
5%
13%
Latam FX Commodity FX EM FX USD/G10 (=1/DXY Index)
9%
8% 7% 4%
8%
4% 2%
2%
2%
1%
0%
0% 0%
-2%
6%
0% -3%
-4% -6%
1%
0%
-6%
1%
1% 1%
0% -1%-1%
-2%
-5%
4% 2%
2%
-2%
5%
4%
4%
0%
0%
-1%
-2%
-4%
-8% 1M
3M
6M
1M
12M
High-beta FX returns (spot vs. USD) CLP
ILS
PEN
INR
CAD
-0.64
CHF
-0.66
-0.90
NOK
-0.80
SEK-1.40
-1.07
-1.5
-0.63
-0.90
-0.84
TRY
-0.55
JPY
-0.63
COP MXN
-0.53
EUR
-0.51
BRL
-0.45
KRW
-0.41
ZAR
-0.39
SGD
-0.32
IDR
-0.35
AUD
-0.17
MYR
-0.06
Daily return
NZD
-0.11
0.19
% (+) appreciation (-) depreciation
GBP
-0.08
Daily return
RUB
12M
Low-beta FX returns (spot vs. USD)
0.18
% (+) appreciation (-) depreciation
6M
* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú
* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú
ARS
3M
-1.0
-0.5
Source: Bloomberg, Itaú
0.0
0.5
-1.5
-1.0
-0.5
Source: Bloomberg, Itaú
0.0
0.5
Latam Fixed Income Strategy FX and Commodities Tracker February 20, 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
0.05%
0.7%
-1%
2%
10%
1%
1,330.11 16.40
-1.21% -1.90%
-1.5% -2.9%
0% -3%
4% -3%
3% -4%
7% -9%
So uce: B lo o mberg
P ric e s a s o f 14 :5 7 E S T
Energy Last
1D
1W
1M
3M
6M
12M
76
0.07%
2.7%
-5%
2%
19%
11%
62.20 64.86 61.59 171 2.66
0.23% -0.81% 0.06% -1.40% 2.39%
5.4% 1.3% 1.8% 0.3% 1.1%
-5% -5% -3% -9% -9%
4% 5% 9% 1% -15%
22% 26% 30% 10% -11%
14% 15% 15% 11% -10%
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 :5 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 Feb-16
Aug-16
Feb-17
Aug-17
Source: Bloomberg, Itaú
Feb-18
38 Brent WTI
34 30 Feb-16
Aug-16
Feb-17
Aug-17
Feb-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 February 20, 2018
Commodities – Part II Agriculture ICI - Agriculture (2010=100) Wheat (USd/bu) Corn (USd/bu) Soybean (USd/bu) Sugar (USd/lb)
Last
1D
1W
1M
3M
6M
12M
-
-
-
-
-
-
-
-1.86% -0.54% 0.49% -0.15%
-1.4% -0.5% 0.9% -0.3%
6% 4% 4% 1%
6% 6% 4% -11%
10% 5% 10% -1%
2% -1% -1% -34%
449 366 1,027 13
So uce: B lo o mberg
P ric e s a s o f 14 :5 7 E S T
Metals Last
1D
1W
1M
3M
6M
12M
ICI - Metals (2010=100)
75
0.05%
0.2%
2%
12%
6%
5%
Industrial Metals Index (Blooomberg)
138
-1.42%
-1.1%
1%
7%
9%
17%
Iron Ore (USd/MT) Copper (USd/lb)
77 321
0.14% -1.68%
0.7% -1.2%
4% 0%
23% 3%
1% 6%
-12% 16%
So uce: B lo o mberg
P ric e s a s o f 14 :5 7 E S T
Industrial metals
Major grains prices 600
USd/bu
550
USd/bu
Corn Wheat Soybean (rhs)
1200
100
1150
90
1100 500
USd/MT
USd/lb
340 320 300
80
1050
280 70
450
1000
260 60
950
400
900 350 300 Feb-16
850
Aug-16
Feb-17
Aug-17
Source: Bloomberg, Itaú
800 Feb-18
240 50
220
40 30 Feb-16
Iron ore Copper (rhs) Aug-16
Feb-17
Aug-17
Source: Bloomberg, Itaú
200
180 Feb-18
