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Latam Fixed Income Strategy
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Latam Fixed Income Strategy
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8. 27. 28. 13. 1Y. 2.04. 1. 4. 17. 43. 82. 108. 2Y. 2.24. 3. 0. 10. 47. 90. 93. 5Y ... 14. Source: Bloomberg, Itaú. Pri
Latam Fixed Income Strategy Global Markets Tracker March 2, 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
250 Jan-18
Jan-18
Source: Bloomberg, Markit, Itaú
Volatility Gauges
Feb-18
Feb-18 Source: Bloomberg, Itaú
Last
1D
1W
1M
1Q
VIX
19.59
22.47
16.49
17.31
9.34
VXEEM
24.96
26.37
21.26
23.13
15.31
337
342
331
318
314
56
57
56
50
50
U.S. Corporate High yield Credit Spreads Investment grade Source: Bloomberg, Markit, Itaú
As of 16:40 EST
Major equity markets Daily returns on major stock indexes S&P 500 IBOVESPA EEM IPSA IPC Dow Jones SHENZHEN COLCAP TWSE FTSE (London) HSI SMI AEX IBEX Euro Stoxx DAX CAC Nikkei
0.51
daily returns %
0.45 0.42 0.32
-0.11 -0.29 -0.59 -0.68 -0.81
-1.47 -1.48 -1.86 -2.05 -2.13 -2.19
-2.27 -2.39 -2.50
-3.0
-2.0
-1.0
Source: Bloomberg, Itaú
0.0
1.0
Global rates Developed market benchmarks Last Price
Δ1D
Δ1W
0 1 3 4 4
2 0 0 -1 -1
6 4 3 6 8
1 3 5 6 6 0 1 2 3 3 0 0 2 2 2
4 0 1 0 -2 0 0 -1 -1 -2 0 0 -1 -1 -2
17 10 4 2 5 0 -2 -6 -6 -3 0 -1 -3 -1 -1
Other DMs
EONIA
U.S. Treasuries
DMs
(% a.a.)
1Y 2Y 5Y 10Y 20Y 1Y 2Y 5Y 10Y
0.91 1.06 1.45 1.80 2.10 2.04 2.24 2.63 2.86
30Y 1Y 2Y 5Y 10Y
3.14 -0.35 -0.24 0.28 0.88
20Y 1Y 2Y 5Y 10Y 20Y
1.38 0.12 0.23 0.62 1.05 1.45
Δ1M
Δ1Q
Δ1H
Δ1Y
20 24 33 34 27
38 45 53 44 28
48 46 42 30 13
43 47 52 50 38 0 6 24 28 19 4 8 21 23 15
82 90 89 70 36 1 8 32 30 17 8 14 28 25 14
108 93 61 39 7 0 8 37 36 24 8 15 30 26 14
(basis points)
Prices as of 16:40 EST
Source: Bloomberg, Itaú
Emerging market benchmarks Last Price
Δ1D
Δ1W
5.04 5.04 5.47 5.57 4.71 4.13 4.04 4.46 4.56
20Y 1Y 2Y 5Y 10Y
5.00 7.29 7.20 7.33 7.44
20Y 1Y 2Y 5Y 10Y 20Y
4.39 6.89 7.43 8.30 8.35 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 0 1 0 0
0 -7 -3 -4 0
-9 -15 -3 -3 -1
-22 19 -4 1 20
-17 29 20 24 18
-22 3 10 6 9
-1 0 2 0 0 3 1 1 1 1 0 -1 -2 -2 0
-4 -13 -7 -6 -1 14 10 9 5 4 1 1 0 -8 1
-11 -17 -4 -2 1 -11 -19 -4 -5 -9 1 0 1 -7 3
-21 41 3 13 32 -57 -67 -45 -26 -15 14 14 12 -25 4
-11 47 25 33 30 -47 -39 -3 6 -16 -15 22 18 3 3
18 23 30 21 20 -96 -26 -53 -25 -30 -137 -65 -14 -30 6
Prices as of 16:40 EST
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