Latam Fixed Income Strategy. FX and Commodities Tracker. Currencies. 0.79. 0.38 .... -13%. -16%. Souce: Bloomberg. * Hen
Latam Fixed Income Strategy FX and Commodities Tracker April 13, 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)
162.84 175.26 121.04 110.58 3.4230 18.0447 594.54 2,712 20.2162 3.2244 65.22 13,755 4.0973 12.07 63.49
1D
1W
1M
3M
6M
12M
0.08% -1.15% -0.04% -0.05% -0.30% 0.80% 0.38% -0.22% -0.04% 0.03% 0.06% 0.17% 0.31% -0.10% -2.40%
-0.1% -3.8% -0.2% 0.3% -1.6% 1.4% 1.8% 3.0% -0.2% 0.4% -0.4% 0.2% -1.3% -0.3% -8.5%
-1% -5% -1% 0% -5% 3% 1% 5% 0% 1% 0% 0% -5% -2% -10%
-1% -6% -1% 1% -6% 4% 1% 5% -7% 0% -3% -3% -7% 2% -11%
-2% -5% -1% 4% -8% 5% 5% 8% -14% 1% 0% -2% -11% 10% -10%
-2% -5% -1% 12% -8% 3% 9% 6% -25% 1% -1% -4% -11% 12% -11%
So urce: B lo o mberg
P ric e s a s o f 16 :2 3 E S T
FX Aggregates - Spot Returns
LatAm FX - Spot Returns 14%
BRL MXN CLP COP
9%
9%
8% 5%
4%
6%
5% 5%
5%
3%
6%
1%
1%
10%
12%
8%
3%
4%
Latam FX Commodity FX EM FX USD/G10 (=1/DXY Index)
12%
4%
4%
2%
-1%
1%
0% -6%
-1% 0%
-1%
-2%
-5%
-1%
-8%
-6%
-8%
3M
6M
1M
High-beta FX returns (spot vs. USD)
IDR
0.17
PEN
0.03
0.02 -0.02 -0.02 -0.05
ILS
-0.14
% (+) appreciation (-) depreciation
NZD
-0.15
CAD
-0.17
Daily return
SEK
RUB -2.46 -1.0
0.03
JPY
-0.30
-2.0
EUR
NOK
-0.22
-3.0
0.04
KRW
-0.10
COP
0.07
SGD
CHF
-0.09
ZAR
0.0
Source: Bloomberg, Itaú
12M
0.13
GBP
0.31
MYR
6M
AUD
0.38
TRY
3M
Low-beta FX returns (spot vs. USD)
0.79
MXN CLP
-5%
* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú
* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú
BRL
-2%
-5%
-6%
12M
-1%
-1%
-2%
-5%
-8%
-11% 1M
-1%
-4%
-6%
1.0
2.0
% (+) appreciation (-) depreciation
Daily return
-0.79
-1.0
-0.5
0.0
Source: Bloomberg, Itaú
0.5
1.0
Latam Fixed Income Strategy FX and Commodities Tracker April 13, 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
0.14%
3.6%
3%
-
10%
12%
200
0.20%
3.9%
3%
2%
8%
6%
1,346.20 16.66
0.84% 1.12%
1.0% 1.8%
1% 1%
0% -3%
3% -4%
5% -10%
So uce: B lo o mberg
P ric e s a s o f 16 :2 3 E S T
Energy Last
1D
1W
1M
3M
6M
12M
83
0.57%
6.2%
10%
-
20%
19%
68.67 71.93 67.33 200 2.76
0.00% 0.74% 0.57% 0.50% 1.73%
5.6% 7.9% 8.4% 8.3% 0.6%
11% 11% 11% 18% -2%
4% 3% 5% 8% -8%
24% 26% 30% 22% -13%
26% 28% 26% 20% -16%
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 16 :2 3 E S T
* Henry Hub
Itaú Unibanco commodity index (ICI) 100
Crude oil benchmarks 78
USD/bbl
74 90
70 66
80
62 58
70
54
60
50
46 50
42
ICI-Agriculture ICI-Energy ICI-Metals
40
38 Brent WTI
34
30 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18
30 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18
Source: Bloomberg, Itaú
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 13, 2018
Commodities – Part II Agriculture Last
1D
1W
1M
3M
6M
12M
84
-0.80%
0.2%
-1%
-
6%
3%
473 386 1,054 12
-1.77% -0.64% -0.61% 0.25%
0.1% -0.6% 2.0% -2.1%
-3% -1% 1% -4%
12% 12% 12% -15%
8% 9% 5% -16%
10% 4% 10% -27%
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 16 :2 3 E S T
Metals Last
1D
1W
1M
3M
6M
12M
ICI - Metals (2010=100)
69
0.60%
3.6%
-1%
-
3%
12%
Industrial Metals Index (Blooomberg)
135
0.05%
3.6%
1%
-1%
2%
20%
Iron Ore (USd/MT) Copper (USd/lb)
65 307
1.81% 0.24%
3.7% 0.4%
-5% -2%
-14% -5%
4% -3%
-2% 16%
So uce: B lo o mberg
P ric e s a s o f 16 :2 3 E S T
Industrial metals
Major grains prices 580
USd/bu
Corn Wheat Soybean (rhs)
530
USd/bu
1250 1200
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
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