外汇流动周报：投资者买入新兴市场货币兑美元

FX Flows Weekly Investors buy EMFX against USD selling 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 GuptaACbhumika1.gupta@citi.com+44-20-7986-5933Daniel TobonACdaniel.tobon@citi.com+1 212-816-8340Rohit GargACrohit.garg@citi.com+65-6657-3471 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+1-212-816-1167 ith thanks to: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 –Overall, client flows were supportive of riskier currencies in the pastweek.USD flows were net flat for the week despite strong selling by leveragedaccounts. This was offset by real money, banks, and corporates buying. EMaggregate saw strong inflows, heavily driven by leveraged accounts. All threeregions (Asia, CEEMEA, and LatAm) saw net inflows primarily driven by leveragedaccounts, though LatAm saw the strongest indexed inflows. Quant –Flows currently favor PLN, PHP & CLP against TRY, CNY & KRW.Traditional carry is crowded in 1m, 3m & 6m leveraged flows. Momentum iscrowded in 3m & 6m real money flows. Value (PPP) is crowded in 1m leveragedflows. Vol-adjusted carry (EMFX 5x5) positioning is crowded in 1m, 3m & 6mtenors. 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 & CZK saw the most outflows over the last six months. G10 –Our flows indicate an acceleration of leveraged USD selling. Elsewhere,leveraged investors flipped from selling to buying JPY. sia –Investor flows in EM Asia exhibited a clear divergence between real moneynd leveraged investors, with the latter remaining net buyers against real moneyutflows. Leveraged inflow was particularly evident in PHP and IDR over the pasteek. atAm –In a week marked by FOMC and the end for now of the tail risk of moreggressive policy tightening by the Fed, we saw large leveraged inflows sided byeal money demand. Leveraged inflow was in BRL, CLP and MXN. Real moneydded COP longs. G10: Strongest Directional Signals G10: Leveraged USD selling accelerates This week marked a significant uptick in USD selling from the leveragedsegment. A dovish FOMC meeting and USDJPY intervention spilloverswere two of the main drivers. On the former, Chair Warsh downplayedPCE inflation as the preferred metric and de-emphasized the policy rateas the primary tool to tighten financial conditions. On the latter, it wasreported that Japan’s Ministry of Finance intervened to buy JPY againstUSD (Bloomberg, 7/31). Such developments were reflected in ourleveraged flows data as an acceleration in USD selling vs prior weeks.We watch whether upcoming US labor market data and Fed speakersreverse such trends. Asia: Strongest Directional Signals Asia: Why we still see IDR upside Citi flows data suggest sustained net inflows into IDR over the past four weeksfrom leveraged investors. In a more recent development, Bank Indonesiagovernor Perry Warjiyo abruptly resigned (Reuters, 7/26). Our economistsbelieve this has opened the door for a weaker IDR(link) while also calling forpolicy continuity. We believe this view on IDR is mostly driven by speculationrather than anything else. In fact, we think there is still a way for IDR toappreciate back towards 17700/17800 at the very least due to a few factors: (1)In the last few weeks, we have witnessed decent bond inflows; (2) BI’s effort toattract portfolio flows remains centered around SRBI; (3) On the current accountside, Indonesia has seen some improvement in terms of trade which is yet to bereflected in IDR’s valuation; (4) Until a new governor is appointed, the incentivewould be for policymakers to keep IDR broadly stable, in our view. In fact,looking at IDR NEER, it is easy to draw the conclusion that IDR weaknessgenerally has been more driven by broad-based USD strength than anyidiosyncratic factors. (5) Finally, the offshore community remains extremelybearish on Indonesia local currency assets and most of the hedging is alreadybehind us. In other words, incremental hedging from offshore should berelatively contained and manageable. Offshore allocation to Indonesia is alsoextremely light at this juncture, reducing risks of sub