外汇资金流周报

FX Flows Weekly USD and EM buck recent trends to have outflows and inflows respectively Dirk WillerACdirk.willer@citi.com+1 212-723-1016Alex SaundersACalexander.saunders@citi.com+1 212-723-1058Luis E CostaACluis.costa@citi.com+44 20-7986-9757Bhumika GuptaACbhumika1.gupta@citi.com+44-20-7986-5933Daniel TobonACdaniel.tobon@citi.com+1 212-816-8340Rohit GargACrohit.garg@citi.com+65-6657-3471 Ivan Riveros, CFAACivan.riveros@citi.com+1-212-723-0865Brian LevineACbrian.levine@citi.com+1 212-816-6896 Laura Bobbiolaura.bobbio@citi.com+44-20-7508-7794 Gordon GohACgordon.goh@citi.com+65-6657-2755 Michael Alexeevmichael.alexeev@citi.com+1-212-816-1167 With thanks to:Irem Sen, Stanley Ren See Appendix A-1 for Analyst Certification, Important Disclosures and Research Analyst Affiliations Citi’s Take Citi Flows –USD saw outflows over the past week, driven by leveraged, realmoney and corporates. This marks a reversal of inflows over the preceding threeweeks. EM aggregate also reversed a trend, with the first net inflows in severalweeks, driven by leveraged, real money and corporates. Regionally, Asia flowswere net flat with real money and leveraged inflows balancing out corporates andbanks outflows. CEEMEA net inflows were driven by real money. LatAm inflowswere driven by banks and corporates. Quant –Flows currently favor PEN, HUF & COP against TRY, KRW & BRL.Currently, positioning indicates crowding in traditional carry 1m & 3m leveraged,momentum 1m & 3m real money, and value (PPP) 1m leveraged. Vol-adjustedcarry (EMFX 5x5) positioning shows crowding across 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. PLN, CNY & CZK saw the most outflows over the last six months. G10 –Our flows indicate a flip from USD buying to selling. Elsewhere NZDexperienced significant inflows. Asia –Investor flows turned positive after prior weeks of consecutive net selling.Both real money and leveraged investors were net buyers in the past week. Netinflows were most prominent in KRW, SGD, and THB. CEEMEA –EM saw overall inflows in the past week, reversing several weeks ofoutflows. CEEMEA continued to see inflows led by real money investors. LatAm –Leveraged investors were large sellers of CLP over the week, while theybought COP and MXN. Real money accounts bought across regional currencies,with CLP being the only exception. G10: Strongest Directional Signals G10: USD asymmetry validated – but will it last? Into key US inflation data, our view was the asymmetry leaned USD-positive, meaning we expected USD would rally more on strong datathan selloff on soft data. This was validated in that USD retraced mostof its intraday losses after a surprisingly weak CPI print. Fedspeak thatstill leans hawkish and risk of further US-Iran conflict re-escalation areboth contributing factors, in our view. We think as long as thisasymmetry holds and such factors remain in place, the pace of USDselling is likely more limited. However, that asymmetry has a shelf life,and additional softer inflation prints can increase the pace of outflows.Should that be a supportive backdrop for FX carry, we can see renewedinflows into currencies that screen well on carry/vol and who can benefitfrom higher commodities prices in a terms of trade sense. Asia: Strongest Directional Signals Asia: Tactically long IDR via options Citi flows data continues to show bearish positioning amongst the RMcommunity, even as bearish leverage positions have lightened in therecent weeks. Prior four weeks saw consecutive of leveraged inflowsinto IDR while RM flows still look mostly undecided. We still believe theIDR remains cheap, and especially so after the bounce back higher inUSDIDR or further grind lower in NEER. We were previously tacticallyshort EURIDR but had since taken profits back inlate June. We drawsome early signs of comfort from our latest trip to Jakarta, which wediscussed more in detailhere, and recent foreign investor behavioraround local fixed income. Admittedly, much more still needs to be doneon the local policy front and hence we prefer to re-engage in tacticalbullish IDR exposure via optionsinstead. We recommended buying a3m USDIDR put ratio spread (expiry: 19 Oct’26) with 1x put with strike17,900 vs sell 1.5x put with strike 17,600 for total premium paid of+33bp (current P&L: +0bp as of 14:35 SGT, 17 Jul’26). CEEMEA: Strongest Directional Signals CEEMEA: Poland sees outflows as the central bank sticksto a dovish pivot Cumulative 1-year indexed PLN flows While apart from HUF, rest of CEE currencies have seen lackluster flowsthis year, outflows from Zloty have accelerated in the recent weeks asthe central bank has made much more of a dovish pivot. Glapinski hasgenerally signaled to look through the oil price shock, and that theycould even resume cuts. This has caused a general steepening in therates curve and a weake