Apr 12, 2018 - Latam Fixed Income Strategy. FX and Commodities Tracker. Currencies. 0.98. 0.63. 0.45. 0.25. 0.22. 0.18.
Latam Fixed Income Strategy FX and Commodities Tracker April 12, 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)
162.95 173.25 120.98 110.56 3.4130 18.1898 596.81 2,705 20.2087 3.2256 65.26 13,770 4.1128 12.06 61.99
1D
1W
1M
3M
6M
12M
-0.47% 0.12% -0.16% -0.24% -1.12% 0.22% 0.18% 0.45% -0.22% 0.25% 0.08% -0.08% 0.56% -0.99% 0.99%
-0.7% -3.2% -0.3% 0.8% -2.0% 0.1% 1.1% 3.2% -0.1% 0.0% -0.5% 0.0% -1.5% -0.7% -6.9%
-1% -4% -1% 0% -4% 2% 1% 5% 0% 1% 0% 0% -7% -2% -8%
-1% -5% -1% 1% -6% 5% 1% 6% -8% 0% -2% -3% -9% 3% -9%
-2% -4% -1% 4% -8% 4% 4% 8% -14% 1% -1% -2% -12% 10% -8%
-3% -4% -1% 12% -8% 2% 10% 6% -25% 1% -1% -4% -11% 12% -9%
So urce: B lo o mberg
P ric e s a s o f 15 :4 7 E S T
FX Aggregates - Spot Returns
LatAm FX - Spot Returns 14%
BRL MXN CLP COP
10%
Latam FX Commodity FX EM FX USD/G10 (=1/DXY Index)
10% 8% 5%
5%
6%
6%
5%
12%
4%
4%
8%
2% 1%
10%
12%
6%
2%
1%
4%
4%
0%
2%
1% 0%
0% -5%
-4% -6%
-1%
-1%
-8%
3M
-8%
6M
-4%
-6%
3M
6M
0.36
GBP NZD
0.63
0.22
NOK 0.45
PEN
0.25
MXN
0.22
CLP -0.05
IDR
-0.08
0.04
AUD
0.18
MYR
-0.01
ILS
-0.03
CAD
-0.05
KRW
-0.30
SGD
-0.31
EUR % (+) appreciation (-) depreciation
-1.00
BRL
Daily return
-1.13
-1.5
-0.5
0.5
Source: Bloomberg, Itaú
12M
Low-beta FX returns (spot vs. USD)
0.98
RUB
COP
-1% -3% -4%
* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú
High-beta FX returns (spot vs. USD)
TRY
-4%
-5%
1M
12M
* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú
ZAR
-1%
-2%
-4%
-10% 1M
-1%
-1%
-2%
-0.49
JPY
-0.51
SEK 1.5
-0.32
CHF
-1.5
% (+) appreciation (-) depreciation
Daily return
-0.99
-0.5
0.5
Source: Bloomberg, Itaú
1.5
Latam Fixed Income Strategy FX and Commodities Tracker April 12, 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
79
0.30%
3.5%
3%
2%
10%
12%
199
0.24%
2.8%
2%
2%
8%
6%
1,334.94 16.47
-1.36% -1.76%
0.6% 0.7%
1% 0%
0% -4%
2% -5%
4% -10%
So uce: B lo o mberg
P ric e s a s o f 15 :4 7 E S T
Energy Last
1D
1W
1M
3M
6M
12M
83
0.69%
4.7%
9%
2%
19%
18%
68.67 71.45 66.95 199 2.72
1.73% -0.01% 0.31% 0.08% 0.30%
5.7% 5.2% 5.4% 6.0% -0.4%
11% 10% 9% 17% -3%
4% 3% 4% 7% -9%
24% 25% 29% 21% -14%
24% 27% 25% 19% -17%
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 :4 7 E S T
* Henry Hub
Itaú Unibanco commodity index (ICI) 100.0
Crude oil benchmarks 74
USD/bbl
70
90.0
66 62
80.0
58
70.0
54 50
60.0
46
50.0
42
ICI-Agriculture ICI-Energy ICI-Metals
40.0
30.0 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18 Source: Bloomberg, Itaú
38 Brent WTI
34
30 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-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 April 12, 2018
Commodities – Part II Agriculture Last
1D
1W
1M
3M
6M
12M
84
0.08%
1.5%
-1%
8%
6%
4%
481 389 1,061 12
-1.28% 0.45% 1.24% -0.08%
3.5% -0.2% 2.9% -2.4%
-2% -1% 2% -7%
14% 12% 12% -15%
9% 10% 6% -16%
11% 5% 12% -28%
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 :4 7 E S T
Metals Last
1D
1W
1M
3M
6M
12M
ICI - Metals (2010=100)
69
-0.06%
4.0%
-1%
-6%
3%
12%
Industrial Metals Index (Blooomberg)
135
-0.69%
3.7%
1%
-1%
2%
21%
Iron Ore (USd/MT) Copper (USd/lb)
64 306
-0.19% -1.72%
3.4% -0.4%
-6% -2%
-15% -5%
2% -3%
-4% 17%
So uce: B lo o mberg
P ric e s a s o f 15 :4 7 E S T
Industrial metals
Major grains prices 580
USd/bu
USd/bu
1250 1200
530
100
USd/MT
USd/lb
90
340 320
1150 80
300
1050
70
280
430
1000
60
380
950
1100
480
260 240
50 220
900 330
Corn Wheat Soybean (rhs)
850
280 800 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18 Source: Bloomberg, Itaú
40
Iron ore Copper (rhs)
200
30 180 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18 Source: Bloomberg, Itaú