Latam Fixed Income Strategy

0 downloads 158 Views 97KB Size Report
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