Latam Fixed Income Strategy. FX and Commodities Tracker. Currencies. -0.13. -0.14. -0.14. -0.14. -0.25. -0.67. -0.73. -0
Latam Fixed Income Strategy FX and Commodities Tracker February 27, 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)
161.37 164.58 120.17 111.34 3.2505 18.8477 591.10 2,859 20.2270 3.2527 64.89 13,679 3.8149 11.74 56.29
1D
1W
1M
3M
6M
12M
-0.78% -0.97% -0.11% -0.62% -0.79% -0.90% -0.66% -0.72% -0.25% -0.14% -0.14% -0.14% -0.75% -1.54% -1.16%
-0.2% 0.0% 0.0% -0.8% 0.1% -0.7% 0.7% 0.1% -1.8% 0.0% -0.1% -0.5% -0.4% -0.1% 0.5%
-2% -1% 0% -1% -3% -1% 2% -1% -3% -1% -2% -2% -1% 2% 0%
0% 3% 0% 3% -1% -1% 8% 5% -14% 0% -1% -1% 2% 17% 4%
-2% 2% 0% 2% -3% -5% 6% 3% -15% 0% -1% -2% -10% 11% 4%
0% 2% -1% 13% -5% 5% 10% 3% -18% 0% 3% -2% -4% 11% 4%
So urce: B lo o mberg
P ric e s a s o f 15 :3 9 E S T
FX Aggregates - Spot Returns
LatAm FX - Spot Returns 14%
12% BRL MXN CLP COP
10% 8%
10% 8%
10% 6%
6%
5%
8%
5%
4%
3%
3%
2%
6%
2%
4%
0%
2%
-2%
-1% -1% -1%
-1%
-6% 3M
-2%
Daily return
IDR
KRW
-0.14
ILS
-0.14
CHF
-0.14
JPY
BRL
-1.5
-1.0
Source: Bloomberg, Itaú
-0.5
0.0
0.06 -0.13
-0.41
-0.64 -0.64
AUD
-1.57
-2.0
12M
-0.45
-0.72
CAD
-0.79
-1.17
ZAR
-1%
0.20
Daily return
EUR
-0.91
RUB
6M
% (+) appreciation (-) depreciation
SGD
-0.76
MXN
3M
GBP
-0.73
TRY
0%
0% -2%
NOK
-0.67
COP
2%
Low-beta FX returns (spot vs. USD)
-0.25
CLP
0%
1M
-0.13
ARS
2%
* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú
% (+) appreciation (-) depreciation
INR
0% -1% -1%
12M
High-beta FX returns (spot vs. USD) PEN
2%
-4%
-5%
6M
* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú
MYR
3%
0%
-2%
-5%
1M
3%
0% -3%
-3%
-4%
13%
Latam FX Commodity FX EM FX USD/G10 (=1/DXY Index)
12%
-0.75 -0.90
NZD
-0.95
SEK
-0.98
-1.5
-1.0
-0.5
Source: Bloomberg, Itaú
0.0
0.5
Latam Fixed Income Strategy FX and Commodities Tracker February 27, 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
78
-0.26%
1.6%
-1%
6%
13%
4%
195
-0.69%
0.9%
-2%
2%
10%
2%
1,317.85 16.34
-1.19% -1.30%
-0.9% -0.6%
-2% -5%
2% -4%
1% -6%
5% -11%
So uce: B lo o mberg
P ric e s a s o f 15 :3 9 E S T
Energy Last
1D
1W
1M
3M
6M
12M
78
-0.52%
2.4%
-5%
3%
23%
13%
64.01 66.44 62.80 184 2.72
0.09% -1.26% -1.52% -0.67% 1.38%
2.9% 2.1% 1.6% 7.7% 2.8%
-4% -4% -4% -4% -14%
5% 5% 8% 5% -10%
26% 29% 34% 9% -8%
16% 17% 16% 21% -6%
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 15 :3 9 E S T
* Henry Hub
Itaú Unibanco commodity index (ICI) 100
Crude oil benchmarks 74
USD/bbl
70
90
66 62
80
58
70
54 50
60
46
50
42
ICI-Agriculture ICI-Energy ICI-Metals
40 30 Feb-16
Aug-16
Feb-17
Aug-17
Source: Bloomberg, Itaú
Feb-18
38 Brent WTI
34 30 Feb-16
Aug-16
Feb-17
Aug-17
Feb-18
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 February 27, 2018
Commodities – Part II Agriculture Last
1D
1W
1M
3M
6M
12M
82
-0.05%
1.8%
3%
6%
9%
-5%
463 371 1,038 13
0.82% 0.54% 0.36% -4.76%
3.1% 1.4% 1.1% -2.6%
3% 3% 5% -5%
13% 9% 4% -15%
16% 10% 11% -9%
1% -3% -1% -33%
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 15 :3 9 E S T
Metals Last
1D
1W
1M
3M
6M
12M
ICI - Metals (2010=100)
75
-0.14%
0.3%
2%
9%
7%
6%
Industrial Metals Index (Blooomberg)
137
-0.71%
-0.8%
-2%
4%
7%
14%
Iron Ore (USd/MT) Copper (USd/lb)
78 318
-0.37% -1.38%
1.4% -1.0%
8% -1%
17% 0%
4% 2%
-8% 14%
So uce: B lo o mberg
P ric e s a s o f 15 :3 9 E S T
Industrial metals
Major grains prices 580
USd/bu
USd/bu
Corn Wheat Soybean (rhs)
1250 1200
530
100
USd/MT
USd/lb
320
90
1150 1100
480
300
80
280
1050
70
430
1000
60
380
950
260 240 50
220
900 330 280 Feb-16
340
850
Aug-16
Feb-17
Aug-17
Source: Bloomberg, Itaú
800 Feb-18
40 30 Feb-16
Iron ore Copper (rhs) Aug-16
Feb-17
Aug-17
Source: Bloomberg, Itaú
200
180 Feb-18
