Latam Fixed Income Strategy

Latam Fixed Income Strategy Global Markets Tracker March 8, 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 Dec-17

370 350

58

330 53

310 48 290 43

270

High yield (rhs) Investment grade 38 Dec-17

Jan-18

250 Mar-18

Feb-18

Jan-18

Source: Bloomberg, Markit, Itaú

Volatility Gauges

Feb-18

Mar-18

Source: Bloomberg, Itaú

Last

1D

1W

1M

1Q

VIX

16.90

17.76

22.47

33.46

9.53

VXEEM

22.49

23.38

26.37

35.72

14.13

338

339

342

354

308

57

57

57

59

50

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

As of 14:43 EST

Major equity markets Daily returns on major stock indexes HSI CAC SMI IPC Euro Stoxx DAX AEX TWSE FTSE (London) Nikkei SHENZHEN IBEX IPSA S&P 500 COLCAP EEM Dow Jones IBOVESPA-0.40 -0.5

1.52 1.28 1.27 1.16

1.06 0.90 0.85 0.73 0.63

0.54 0.51 0.49 0.48 0.39 0.23

0.18 0.11

0.0

daily returns % 0.5

1.0

Source: Bloomberg, Itaú

1.5

2.0

Global rates Developed market benchmarks Last Price

Δ1D

Δ1W

0 0 -1 -2 -1

0 2 3 3 4

8 6 2 0 1

0 -1 -2 -3 -2 0 0 -2 -4 -4 0 0 -1 -2 -2

0 3 5 5 4 0 0 2 1 -1 0 1 2 2 1

15 14 9 3 0 -1 -1 -5 -8 -6 1 1 -2 -4 -5

Other DMs

EONIA

U.S. Treasuries

DMs

(% a.a.)

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

0.91 1.07 1.45 1.79 2.10 2.03 2.25 2.62 2.86

30Y 1Y 2Y 5Y 10Y

3.13 -0.35 -0.24 0.28 0.86

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

1.35 0.12 0.24 0.62 1.05 1.44

Δ1M

Δ1Q

Δ1H

Δ1Y

18 24 33 33 27

39 49 59 50 34

45 43 32 18 3

38 45 49 48 36 -1 6 25 26 17 4 9 21 22 15

84 98 99 80 46 1 9 34 30 16 7 14 30 28 16

102 89 53 30 -2 -2 4 30 26 14 8 12 21 15 3

(basis points)

Prices as of 14:43 EST

Source: Bloomberg, Itaú

Emerging market benchmarks Last Price

Δ1D

Δ1W

5.04 5.07 5.47 5.56 4.70 4.13 4.08 4.45 4.55

20Y 1Y 2Y 5Y 10Y

5.00 7.29 7.24 7.38 7.49

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

4.36 6.87 7.40 8.28 8.32 3.65

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)

0 2 1 2 -1

-1 3 1 0 0

-8 -13 -9 -7 -1

-26 21 -1 1 20

-14 39 30 37 21

-24 8 8 5 8

0 2 1 3 0 2 3 3 1 -3 -1 -2 -1 0 0

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

-9 -16 -11 -6 1 -7 -9 0 -2 -11 -2 -4 -4 -15 1

-26 44 5 9 32 -56 -62 -33 -13 -16 8 7 7 -23 3

-9 56 36 44 32 -36 -27 11 20 -12 -15 34 23 21 5

13 28 26 20 20 -95 -20 -47 -21 -34 -128 -60 -14 -34 2

Prices as of 14:43 EST