外汇资金流周刊：美元流入与新兴市场流出连续第三周

FX Flows Weekly USD inflows and EM outflows repeat for the third consecutive week Dirk WillerACdirk.willer@citi.com+1 212-723-1016Alex SaundersAClexander.saunders@citi.com1 212-723-1058Luis E CostaACluis.costa@citi.com+44 20-7986-9757Bhumika Guptabhumika1.gupta@citi.com+44-20-7986-5933Daniel TobonACdaniel.tobon@citi.com+1 212-816-8340Rohit GargACrohit.garg@citi.com+65-6657-3471 AC an Riveros, CFAACan.riveros@citi.com1-212-723-0865Brian LevineACbrian.levine@citi.com+1 212-816-6896Gordon GohACgordon.goh@citi.com+65-6657-2755Michael Alexeevmichael.alexeev@citi.com+1-212-816-1167Laura Bobbiolaura.bobbio@citi.com+44-20-7508-7794 ith thanks to:Irem Sen, Stanley Ren ee Appendix A-1 for Analyst Certification, Important Disclosures and Research Analyst Affiliationsiti Research is a division of Citigroup Global Markets Inc. (the "Firm"), which does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the Firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider thisreport as only a single factor in making their investment decision. Certain products (not inconsistent with the author’s published research) are available onlyon Citi's portals. Citi’s Take Citi Flows –USD inflows continued for a third week while EM aggregate outflowsstrengthened for the fourth week, both driven by leveraged, real money, andbanks. Regionally, Asia, CEEMEA, and LatAm all saw net outflows. Asia outflowswere driven by leveraged and real money. CEEMEA outflows were driven almostentirely by banks. LatAm outflows were driven by leveraged and banks. Quant –Flows currently favor PHP, ZAR & COP against TRY, BRL & MXN.Currently, traditional carry is crowded in leveraged 1m and 3m tenors. Momentumis crowded in 1m and 3m for real money. Value is crowded for 1m in leveraged.Vol-adjusted carry (EMFX 5x5) positioning is crowded in 1m, 3m & 6m tenors. Cross-asset vol is below 4-sigma. In terms of crowded basket at risk from a volspike, HUF, BRL & TRY are the most vulnerable, having been net bought by ourinvestor base. CNY, PLN & INR saw the most outflows over the last six months. G10 –Our flows indicate net USD buying for the third consecutive week.Elsewhere, NZD and NOK experienced significant leveraged inflows. Asia –Investor outflows in EM Asia remained stable, extending the streak ofoutflows to a fourth consecutive week. Notable outflows were seen in CNH, HKDnd THB from leveraged investors. EEMEA –EM saw overall outflows in the past week again, led by both leveragednd real money investors in Asia. However, CEEMEA bucked the trend again withverall muted flows, and inflows into ZAR. atAm –This week leveraged investors were small buyers of CLP and BRL, whileeing large sellers in MXN. The real money community bought COP and CLP,hile selling other regional currencies. G10: Strongest Directional Signals G10: Turning point for NZD? Our flows indicate an acceleration of leveraged NZD buying for the thirdconsecutive week. When juxtaposing this with our FX positioning data,such flows are most likely in the context of trimming NZD shorts, towhere leveraged NZD positioning now looks closer to flat but with scopeto add. The macro backdrop in New Zealand is growing moreconstructive following positive GDP revisions, a rebound in netmigration flows, and a rate hike by the RBNZ as excess accommodationis removed. While we ultimately see a high bar for the RBNZ to deliver onaggressive pricing of hikes, such inflows could persist over the near-term, particularly if NZ’s upcoming Q2 CPI print (July 20) beatsexpectations. The cleanest expression of such NZD flows is viaAUDNZD, where the pair has retraced below the 100dma at the time ofwriting. Asia: Strongest Directional Signals Asia: Long INR vs. basket of USD, EUR, and SGD Citi flows data indicate that cumulative outflows in INR from leveragedinvestors have begun to stabilize, suggesting a potential inflection pointmay be approaching. Improvement in India’s external backdrop as wellas recent RBI measures will significantly improve India's BoP both froma current account perspective as well as capital and financial account.On the current account side, lower oil as well as gold prices shouldimprove goods balance. With refined petroleum product prices stillremaining substantially elevated, it is possible that we see decentimprovement in oil trade balance regardless of crude prices. There aretentative signs of improvement in net FDI as well. Recent measures bythe RBI have been attracting decent flows into local currency bonds.Attractive USD deposit rates should also induce flows into India. It'sonly in the last week or so that banks have been rolling out leveredFCNR products that should help catalyze flows into India. In the last twoweeks, equity inflows have resumed though the magnitude remainsfairly low for now. Finally, the improvement in India's terms of tradehasn't been reflected in