Latam Fixed Income Strategy

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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