Apr 6, 2018 - Latam Fixed Income Strategy. FX and Commodities Tracker. Currencies. 0.15. -0.07. -0.08. -0.14. -0.27. -0.
Latam Fixed Income Strategy FX and Commodities Tracker April 6, 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)
162.71 168.62 120.77 110.91 3.3694 18.2896 605.08 2,793 20.1845 3.2381 64.98 13,778 4.0455 12.03 58.10
1D
1W
1M
3M
6M
12M
-0.54% -0.55% -0.10% 0.43% -0.70% -0.47% -0.27% -0.07% 0.05% -0.35% -0.02% -0.08% 0.15% -0.45% -0.69%
-0.9% -0.9% -0.2% 0.0% -1.7% -0.2% 0.0% 0.4% -0.2% -0.3% 0.3% -0.2% -1.8% -1.5% -1.1%
-2% -2% -1% -1% -5% 2% -1% 2% 1% 0% 0% 0% -6% -2% -2%
0% -2% -1% 3% -4% 5% 0% 4% -6% -1% -2% -3% -7% 3% -2%
-2% -1% -1% 4% -6% 1% 5% 5% -14% 1% 1% -2% -11% 14% 0%
-2% -1% -1% 12% -7% 3% 9% 2% -24% 0% -1% -3% -8% 14% -3%
So urce: B lo o mberg
P ric e s a s o f 16 :0 1 E S T
FX Aggregates - Spot Returns
LatAm FX - Spot Returns 11%
14%
BRL MXN CLP COP
6%
5%
5%
4% 2%
2%
10%
5%
12%
8% 3%
1%
2%
6% 4%
4%
0%
1%
Latam FX Commodity FX EM FX USD/G10 (=1/DXY Index)
12%
9%
3%
2% -1%
0%
-4%
-4%
-2%
-5%
3M
-7%
6M
1M
-0.08
-0.45
MXN
-0.47
0.46
JPY
0.43
0.33 0.32
SGD
-0.35
ZAR
CHF
SEK
-0.27
PEN
0.03
NOK
0.01
AUD
0.00
ILS
-0.14
NZD
-0.19 -0.25
RUB
-0.69
% (+) appreciation (-) depreciation
CAD
BRL
-0.71
Daily return
KRW
-1.0
-0.5
0.0
Source: Bloomberg, Itaú
12M
0.63
EUR
-0.14
CLP
6M
GBP
-0.07
MYR
3M
Low-beta FX returns (spot vs. USD)
0.15
IDR
-1%-1% -2%
* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú
High-beta FX returns (spot vs. USD)
COP
-1%-1% -2%
-6% 12M
* Includes: BRL, MXN, CLP, COP and PEN Source: Bloomberg, Itaú
TRY
-1%-1% 0% -1% -2% -2%
-4%
-6%
-9% 1M
-2%
0.5
1.0
-1.5
% (+) appreciation (-) depreciation
Daily return
-0.90
-0.5
0.5
Source: Bloomberg, Itaú
1.5
Latam Fixed Income Strategy FX and Commodities Tracker April 6, 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
76
-0.15%
-0.3%
-2%
-1%
8%
7%
192
-0.80%
-0.6%
-2%
0%
6%
3%
1,333.03 16.36
0.49% 0.04%
-0.6% -1.9%
0% -2%
1% -5%
4% -3%
6% -10%
So uce: B lo o mberg
P ric e s a s o f 16 :0 1 E S T
Energy Last
1D
1W
1M
3M
6M
12M
78
-1.01%
-1.2%
2%
0%
15%
14%
65.05 66.46 62.10 185 2.75
0.12% -2.12% -2.27% -1.63% 0.66%
-1.9% -1.1% -1.4% -1.2% 0.5%
5% 1% -1% 5% -1%
1% -1% 1% 4% -1%
19% 20% 25% 17% -10%
23% 20% 19% 11% -19%
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 :0 1 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
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 6, 2018
Commodities – Part II Agriculture Last
1D
1W
1M
3M
6M
12M
83
0.41%
1.5%
-4%
6%
6%
4%
472 389 1,034 12
1.61% -0.26% 0.24% -0.08%
5.8% 0.3% -0.2% -1.4%
-7% 0% -4% -8%
10% 12% 7% -17%
6% 11% 6% -12%
12% 8% 10% -25%
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 :0 1 E S T
Metals Last
1D
1W
1M
3M
6M
12M
ICI - Metals (2010=100)
67
0.53%
-1.0%
-7%
-9%
0%
0%
Industrial Metals Index (Blooomberg)
130
0.12%
0.3%
-3%
-4%
1%
12%
Iron Ore (USd/MT) Copper (USd/lb)
63 306
1.53% -0.52%
-4.1% 0.3%
-14% -3%
-18% -6%
0% 0%
-17% 12%
So uce: B lo o mberg
P ric e s a s o f 16 :0 1 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
