FX Flows

Strongest G10 directional signals
SEK: 4-week leveraged flow the most stretched in the
G10
Riksbank was nearly a month ago, why so
long SEK?
75
77
79
81
83
85
87
89
-25
-20
-15
-10
-5
0
5
10
15
20
Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15
Lev 10%ile 90%ile SEK TWI
Beginning last week SEK started to come under selling
pressure, as investors review their expectations for
Europe, growth and the ECB. Once you adjust for the
average volume, SEK was bought currency in September
after a less dovish Riksbank. We note for hedge funds
SEK is the ONLY g10 currency that is considered
“stretched”, hence greater selling pressure creates high
risk these short-term investors will cover quickly.
See Page 21 for greater details on our SEK flow
JPY: 4-week leveraged flow JPY traders sit on the fence – not selling, but
no longer buying
120
122
124
126
128
130
132
134
136
138
140
-15
-10
-5
0
5
10
15
20
25
Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15
Lev 10%ile 90%ile JPY TWI
JPY is a defensive currency, it’s captured heavy inflows
over August and September. Recently, leveraged funds
have taken a more neutral stance (despite EM still being
a risk). While JPY flow hasn’t turned to selling – we flag it
as “one to watch”. Qualitatively, a lot depends on the
stance Investors take towards Abe’s new 3 arrows, GDP
targets under weaker external growth and the BOJ’s role.
Flows tell us that Investors remain uncertain.
Further details of JPY flows are on Page 15.

CEEMEA: ZAR inflows back to extremes
10.0
10.5
11.0
11.5
12.0
12.5
13.0
13.5
14.0
-20 14.5
-15
-10
-5
0
5
10
15
20
25
Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15

RM 10%tile 90%tile USDZAR
The dominance of ZAR inflows by real money investors
continues to be one of the main themes in the region.
SAGBs have been the major recipients of foreign bond
flows, and that is affecting the ZAR spot markets, as some
de-hedging on the FX exposure of bond portfolios seems
to be taking place as well. We see that as an important
vulnerability for the ZAR going forward, in a market still
struggling with the odds of a potential reversal in US

10 1-week indexed flow G10 4-week indexed flow
Total Banks Corps Leveraged
Real
Money
USD -0.62 -2.47 2.46 2.46 -2.20
JPY 5.98 2.57 1.77 2.41 4.96
EUR 0.58 2.63 -3.06 -0.55 0.74
GBP -0.16 -0.98 2.17 -1.94 0.96
CHF -3.83 -3.31 -0.71 -1.38 0.95
SEK -3.56 -3.67 0.22 -2.24 -1.93
NOK -10.68 2.76 -4.24 -10.95 2.21
AUD -0.60 2.14 -3.40 1.26 -2.13
NZD 1.59 -0.89 0.93 2.24 -0.01
CAD -0.77 -0.54 -2.31 0.93 -0.62
EM -2.13 -1.33 0.11 -4.48 0.80
Asia 3.20 6.78 2.17 -4.27 1.78
CEEMEA -5.15 -1.36 -4.87 -2.85 -1.48
LatAm -4.80 -9.72 1.83 -0.68 -0.12

G10 4-week indexed flow
Total Banks Corps Leveraged
Real
Money
USD -0.62 -2.47 2.46 2.46 -2.20
JPY 5.98 2.57 1.77 2.41 4.96
EUR 0.58 2.63 -3.06 -0.55 0.74
GBP -0.16 -0.98 2.17 -1.94 0.96
CHF -3.83 -3.31 -0.71 -1.38 0.95
SEK -3.56 -3.67 0.22 -2.24 -1.93
NOK -10.68 2.76 -4.24 -10.95 2.21
AUD -0.60 2.14 -3.40 1.26 -2.13
NZD 1.59 -0.89 0.93 2.24 -0.01
CAD -0.77 -0.54 -2.31 0.93 -0.62
EM -2.13 -1.33 0.11 -4.48 0.80
Asia 3.20 6.78 2.17 -4.27 1.78
CEEMEA -5.15 -1.36 -4.87 -2.85 -1.48
LatAm -4.80 -9.72 1.83 -0.68 -0.12
Total Banks Corps Leveraged
Real
Money
USD -10.09 -9.51 8.63 -1.79 -7.83
JPY 20.30 18.20 -2.63 2.35 11.32
EUR 1.47 0.73 -5.65 -7.94 9.38
GBP 0.83 -3.95 15.96 2.73 -5.65
CHF -0.90 -7.74 6.10 8.00 -2.13
SEK 8.93 -3.73 -4.23 12.43 0.45
NOK -4.04 4.36 -2.68 -8.08 7.57
AUD -5.78 -3.93 -0.60 5.12 -9.69
NZD 6.07 0.96 -2.17 0.65 8.44
CAD -5.80 -0.77 -12.64 7.98 -11.78
EM 1.44 -2.78 -9.97 1.20 7.72
Asia 5.72 15.71 -11.45 -4.37 4.89
CEEMEA -4.07 -8.51 -19.75 11.43 4.17
LatAm -1.93 -19.35 7.16 1.15 6.63

DXY

Customer 1-wk flow 4-wk flow %ile of 4-wk flow StDev of 4-wk flow Corr, Daily Ret & Flow
Total -0.6 -10.1 7.7% -1.39 12.6%
Banks -2.5 -9.5 27.0% -0.59 -45.9%
Corp 2.5 8.6 54.1% 0.16 -14.8%
Lev 2.5 -1.8 49.4% -0.06 32.4%
RM -2.2 -7.8 6.6% -1.56 26.3%
Investors -0.0 -6.8 11.2% -1.13 38.6%

EUR

Customer 1-wk flow 4-wk flow %ile of 4-wk flow StDev of 4-wk flow Corr, Daily Ret & Flow
Total 0.6 1.5 92.3% 1.31 6.8%
Banks 2.6 0.7 95.0% 1.34 -20.6%
Corp -3.1 -5.6 16.2% -0.82 -10.9%
Lev -0.6 -7.9 17.8% -0.84 16.7%
RM 0.7 9.4 95.8% 1.88 16.6%
Investors 0.2 3.1 83.8% 1.10 22.1%

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