Latam Fixed Income Strategy

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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