Apr 26, 2018 - MYR. RUB. High-beta FX returns (spot vs. USD). Source: Bloomberg, Itaú. % (+) appreciation. (-) deprecia
Latam Fixed Income Strategy FX and Commodities Tracker April 26, 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)
166.87 176.31 121.30 112.75 3.4753 18.7895 603.03 2,818 20.5551 3.2365 66.76 13,891 4.0677 12.39 62.74
1D
1W
1M
3M
6M
12M
0.20% -0.15% 0.04% -0.42% 0.27% 0.31% 0.20% -0.11% -1.45% -0.01% 0.21% 0.22% 0.34% 0.39% -0.51%
-2.3% -2.6% -0.4% -1.8% -2.6% -1.8% -1.3% -3.0% -1.9% -0.5% -1.4% -0.8% -0.6% -3.5% -2.8%
-3% -6% -1% -3% -5% -2% 0% -1% -2% -1% -3% -1% -3% -6% -9%
-6% -8% -1% -3% -9% -2% 0% 0% -5% -1% -5% -4% -8% -4% -10%
-1% -3% -1% 3% -5% 2% 5% 7% -14% 0% -3% -2% -6% 15% -8%
-3% -5% -1% 8% -9% 2% 10% 4% -25% 1% -4% -4% -12% 7% -9%
So urce: B lo o mberg
P ric e s a s o f 16 :5 2 E S T
FX Aggregates - Spot Returns
LatAm FX - Spot Returns 12%
12%
10%
BRL MXN CLP COP
10%
8% 6% 4% 2% 0% -2% -4% -6% -8% -10% -12%
Latam FX Commodity FX EM FX USD/G10 (=1/DXY Index)
10%
7%
8%
5%
4%
2%
6%
8%
4%
2%
0%
3%
2% 0%
0% 0% -2%
-1% -2% -5%
-1%
-2% -3%
-4%
-5%
-6%
-1%
-1%
-1% -3% -5%
-3% -6%
-6%
-8%
-9%
-9%
-1% -3%
-3%
-8%
-10% 1M
3M
6M
1M
12M
High-beta FX returns (spot vs. USD) JPY SGD
0.34 0.27
0.12
% (+) appreciation (-) depreciation
0.11
Daily return
ILS
0.02
KRW
-0.01
IDR
0.22
GBP
-0.09
CLP
0.20
NZD
-0.10
MXN
0.19
AUD
PEN
-0.15
CAD
-0.01
-0.20
NOK
COP
-0.11
MYR
% (+) appreciation (-) depreciation
-0.16
RUB
Daily return
-0.48
-1.0
-0.5
0.0
Source: Bloomberg, Itaú
12M
Low-beta FX returns (spot vs. USD)
0.38
TRY
BRL
6M
* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú
* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú
ZAR
3M
0.5
1.0
-0.27
EUR
-0.48
CHF
-0.59
SEK -1.5
-1.16
-1.0
-0.5
Source: Bloomberg, Itaú
0.0
0.5
Latam Fixed Income Strategy FX and Commodities Tracker April 26, 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
80
0.18%
-0.4%
4%
1%
12%
17%
201
0.26%
-0.3%
3%
0%
8%
11%
1,316.80 16.49
-0.48% -0.07%
-2.1% -4.3%
-3% -1%
-2% -5%
4% -2%
4% -5%
So uce: B lo o mberg
P ric e s a s o f 16 :5 2 E S T
Energy Last
1D
1W
1M
3M
6M
12M
86
0.66%
1.0%
6%
3%
21%
30%
71.17 73.88 68.08 204 2.84
0.48% 0.89% 0.24% 1.06% 1.14%
0.3% 1.1% -0.4% 1.8% 5.3%
5% 6% 4% 7% 7%
6% 5% 3% 5% -11%
27% 25% 29% 17% -7%
39% 41% 36% 33% -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 16 :5 2 E S T
* Henry Hub
Itaú Unibanco commodity index (ICI) 100
Crude oil benchmarks 78
USD/bbl
74
90
70 66
80
62 58
70
54 60
50 ICI-Agriculture ICI-Energy ICI-Metals
50
46 Brent WTI
42
40 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18
38 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18
Source: Bloomberg, Itaú
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 April 26, 2018
Commodities – Part II Agriculture Last
1D
1W
1M
3M
6M
12M
83
-0.17%
0.1%
2%
5%
7%
6%
481 386 1,028 11
-1.13% -0.13% 0.05% 1.01%
0.8% 1.0% -0.9% -6.6%
6% 3% 0% -12%
9% 8% 4% -18%
11% 10% 6% -22%
18% 8% 9% -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 16 :5 2 E S T
Metals Last
1D
1W
1M
3M
6M
12M
ICI - Metals (2010=100)
70
-0.19%
-3.1%
5%
-4%
5%
13%
Industrial Metals Index (Blooomberg)
136
0.24%
-4.0%
6%
-2%
2%
21%
Iron Ore (USd/MT) Copper (USd/lb)
67 314
-0.55% -0.62%
-2.1% -0.5%
6% 5%
-9% -3%
11% -2%
1% 18%
So uce: B lo o mberg
P ric e s a s o f 16 :5 2 E S T
Industrial metals
Major grains prices 580
USd/bu
Corn Wheat Soybean (rhs)
530
USd/bu
1250 1200
100
USd/MT
USd/lb
90 320
1150 1100
480
80
300
1050
70
430
1000
60
380
950
280 260
50
240
900 330
850
280 800 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18 Source: Bloomberg, Itaú
340
40
Iron ore Copper (rhs)
220
30 200 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18 Source: Bloomberg, Itaú