Latam Fixed Income Strategy

0 downloads 157 Views 97KB Size Report
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