Latam Fixed Income Strategy

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SMI. IPSA. HSI. IBOVESPA. COLCAP. S&P 500. IPC. Dow Jones. SHENZHEN. EEM. Daily returns on major stock indexes. Sour
Latam Fixed Income Strategy Global Markets Tracker February 27, 2018

Measures of risk sentiment Credit spreads

Option-implied volatility Volatility gauges

Credit spreads (5-year) 63

39 37 VXEEM VIX 35 33 31 29 27 25 23 21 19 17 15 13 11 9 Nov-17

370 350

58

330 53

310 48 290 43

270

High yield (rhs) Investment grade 38 Nov-17

Dec-17

250 Feb-18

Jan-18

Dec-17

Source: Bloomberg, Markit, Itaú

Volatility Gauges

Jan-18

Feb-18

Source: Bloomberg, Itaú

Last

1D

1W

1M

1Q

VIX

18.76

15.80

20.60

13.84

11.68

VXEEM

23.98

20.71

24.04

20.79

19.09

329

324

328

296

319

55

54

54

46

52

U.S. Corporate High yield Credit Spreads Investment grade Source: Bloomberg, Markit, Itaú

As of 14:59 EST

Major equity markets Daily returns on major stock indexes Nikkei CAC IBEX AEX FTSE (London) Euro Stoxx TWSE DAX SMI IPSA HSI IBOVESPA COLCAP S&P 500 IPC Dow Jones SHENZHEN EEM -4.0

1.07 -0.01

daily returns %

-0.02 -0.09

-0.10 -0.15 -0.20 -0.29 -0.37 -0.49

-0.73 -0.80 -0.88 -0.97 -0.98 -1.10 -1.13

-2.73

-2.0 Source: Bloomberg, Itaú

0.0

2.0

Global rates Developed market benchmarks Last Price

Δ1D

Δ1W

0 2 2 2 0

1 2 -1 -3 -3

10 6 8 12 13

1 4 5 3 1 0 0 0 0 -1 0 0 0 1 0

2 4 2 1 1 0 0 -4 -6 -7 0 0 -3 -5 -5

23 14 19 24 25 -1 -1 -3 1 4 1 0 0 4 5

Other DMs

EONIA

U.S. Treasuries

DMs

(% a.a.)

1Y 2Y 5Y 10Y 20Y 1Y 2Y 5Y 10Y

0.90 1.07 1.47 1.82 2.12 2.01 2.26 2.66 2.90

30Y 1Y 2Y 5Y 10Y

3.16 -0.35 -0.23 0.29 0.89

20Y 1Y 2Y 5Y 10Y 20Y

1.39 0.12 0.24 0.63 1.07 1.47

Δ1M

Δ1Q

Δ1H

Δ1Y

20 26 35 34 24

38 47 58 49 33

48 48 45 33 15

42 52 62 57 39 1 7 27 29 19 5 9 21 21 13

78 93 91 73 41 0 7 31 28 16 8 15 31 29 19

124 107 80 53 18 1 11 43 44 33 9 16 31 26 14

(basis points)

Prices as of 14:59 EST

Source: Bloomberg, Itaú

Emerging market benchmarks Last Price

Δ1D

Δ1W

5.03 5.11 5.49 5.58 4.70 4.13 4.16 4.50 4.58

20Y 1Y 2Y 5Y 10Y

5.00 7.22 7.12 7.28 7.36

20Y 1Y 2Y 5Y 10Y 20Y

4.34 6.91 7.45 8.32 8.42 3.64

LATAM

EMs Asian EMs

1Y 2Y 5Y 10Y 20Y 1Y 2Y 5Y 10Y

CEEMEA

(% a.a.)

Source: Bloomberg, Itaú

Δ1M

Δ1Q

Δ1H

Δ1Y

(basis points)

-2 0 -1 -1 0

-4 -6 -6 -5 -1

-12 24 -1 -1 20

-26 27 -5 1 20

-19 36 21 26 18

-26 10 12 5 8

-4 -1 -2 -2 0 6 4 5 1 0 2 2 2 6 0

-7 -7 -7 -4 0 5 -3 -4 -7 -6 -2 -5 -6 -13 0

-13 43 1 1 32 -25 -38 -16 -12 -11 3 5 5 4 2

-25 54 4 14 33 -65 -73 -58 -40 -20 15 15 15 -16 2

-11 59 28 35 30 -56 -48 -8 0 -21 -14 23 20 12 2

16 36 33 21 20 -111 -35 -59 -36 -38 -137 -65 -11 -23 5

Prices as of 14:59 EST