Mar 8, 2018 - MYR. PEN. COP. INR. IDR. RUB. TRY. CLP. ZAR. BRL. High-beta FX returns (spot vs. USD). Source: Bloomberg,
Latam Fixed Income Strategy FX and Commodities Tracker March 8, 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)
161.47 166.18 120.24 111.01 3.2645 18.6427 606.16 2,877 20.3612 3.2582 65.15 13,816 3.8225 11.91 57.10
1D
1W
1M
3M
6M
12M
-0.29% -0.45% -0.09% -0.57% -0.65% 0.37% -0.57% -0.38% 0.20% -0.17% -0.40% -0.41% -0.55% -0.64% -0.46%
0.1% -0.4% -0.1% 0.2% -0.4% 1.1% -1.8% 0.1% -1.0% 0.1% 0.0% -0.5% -0.4% -0.2% -0.5%
1% 1% 0% 0% 1% 1% -1% 0% -2% 0% -1% -2% 0% 2% 2%
2% 3% 0% 4% 1% 2% 8% 5% -15% -1% -1% -2% 0% 15% 4%
-4% -1% -1% 1% -5% -5% 2% 1% -16% -1% -2% -5% -11% 9% 0%
1% 2% 0% 13% -3% 6% 9% 4% -16% 1% 2% -3% -2% 10% 3%
So urce: B lo o mberg
P ric e s a s o f 15 :10 E S T
FX Aggregates - Spot Returns
LatAm FX - Spot Returns 16%
12% BRL MXN CLP COP
10%
8% 6%
8%
12% 4%
4% 1%
1% 0%
10%
6%
5%
2%
Latam FX Commodity FX EM FX USD/G10 (=1/DXY Index)
14%
9%
2%
2% 1%
8% 6%
1%
4%
0%
1% 1%
0%
-4%
-3%
-6%
4%
3%
2% -1%
-2%
13%
2%
2%
1%
0%
0% 0%
-2%
-5%-5%
1% 0%
-1%-1%
-4%
-4%
-6%
-8% 1M
3M
6M
1M
12M
High-beta FX returns (spot vs. USD) ARS
Daily return
MYR PEN
IDR
-0.19 -0.24
NZD
-0.41
-0.28
SEK
-0.43
AUD
-0.45
NOK
-0.54
CLP
-0.45
GBP
-0.58
-0.59
ZAR
-0.64
EUR
-0.80
BRL
-0.65
CHF
-0.81
-1.0
-0.5
-0.17
SGD
-0.46
TRY
-0.11
Daily return
JPY
-0.40
RUB
0.15
% (+) appreciation (-) depreciation
ILS
-0.38
INR
CAD KRW
0.20 -0.09
-0.18
COP
0.0
Source: Bloomberg, Itaú
12M
Low-beta FX returns (spot vs. USD)
0.37
% (+) appreciation (-) depreciation
6M
* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú
* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú
MXN
3M
0.5
-1.0
-0.5
0.0
Source: Bloomberg, Itaú
0.5
Latam Fixed Income Strategy FX and Commodities Tracker March 8, 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
-0.40%
-0.1%
1%
5%
7%
5%
1,321.96 16.44
-0.27% 0.05%
0.4% 1.5%
0% 1%
6% 4%
-2% -9%
9% -5%
So uce: B lo o mberg
P ric e s a s o f 15 :10 E S T
Energy Last
1D
1W
1M
3M
6M
12M
75
-1.05%
-0.2%
-1%
2%
14%
13%
60.91 63.65 60.21 166 2.78
-1.36% -0.78% -1.33% -2.86% -0.86%
-0.9% 0.1% -1.0% -4.1% 1.9%
-2% -1% -1% -6% 4%
2% 1% 5% -2% 0%
15% 19% 25% -7% -6%
13% 19% 18% 10% -7%
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 :10 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 8, 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
-
-
-
-
-
-
-
0.40% 1.61% -0.12% 0.78%
-3.2% 1.9% -0.4% -6.0%
9% 8% 8% -5%
27% 12% 8% -8%
14% 10% 11% -9%
12% 6% 4% -30%
499 394 1,064 13
So uce: B lo o mberg
P ric e s a s o f 15 :10 E S T
Metals Last
1D
1W
1M
3M
6M
12M
ICI - Metals (2010=100)
71
-1.20%
-4.3%
-3%
5%
2%
4%
Industrial Metals Index (Blooomberg)
132
-1.20%
-2.3%
-2%
6%
3%
16%
Iron Ore (USd/MT) Copper (USd/lb)
70 308
-3.31% -1.83%
-9.4% -1.4%
-7% -1%
3% 3%
-3% 0%
-14% 16%
So uce: B lo o mberg
P ric e s a s o f 15 :10 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