FX Flows Weekly: Mixed client flows across USD and EMFX

研报英文原文证据摘录

FX Flows Weekly: Mixed client flows across USD and EMFX

Citi’s Take

Weekly avg indexed flows, latest 5 weeks across EM

Citi Flows – USD saw net inflows driven by bank buyers and leveraged sellers. EM

aggregate also saw net inflows but with drivers opposed to USD: leveraged buyers regions

and bank sellers. Regionally, Asia saw net inflows driven by leveraged buyers and

bank sellers. CEEMEA net outflows were driven by leveraged and bank sellers.

LatAm net outflows were driven by leveraged and real money buyers with

corporate sellers.

Quant – Flows currently favor PEN, CLP & PHP against TRY, CNY & BRL. Currently,

traditional carry is crowded in 1m, 3m & 6m leveraged flows. Momentum is

crowded in 1m, 3m & 6m real money flows. Value (PPP) is crowded in 1m leveraged

flows.

Cross-asset vol is below 4-sigma. In terms of crowded basket at risk from a vol

spike, HUF, BRL & TRY are the most vulnerable, having been net bought by our

investor base. PLN, CNY & CZK saw the most outflows over the last six months.

G10 – Our flows indicate a flip from USD selling to buying, mostly driven by banks.

Both EUR and JPY continue to experience outflows with leveraged selling

accelerating.

Asia – Investor inflows into EM Asia picked up further, largely driven by strong

contributions from leveraged investors. Leveraged investors drove notable

inflows into HKD and TWD.

CEEMEA – EM saw overall inflows in the past week, led by leveraged inflows.

CEEMEA underperformed by seeing outflows overall.

LatAm – The broad Latam FX complex saw net inflows from both the leveraged

and real money community, despite the higher global risk aversion. Leveraged

community added exposure predominantly in BRL, while real money were CLP

buyers.

Source: Citi Research 2