![]() ![]() Risk Flow Indicator: A measure of yield appetite, which measures how closely Citi's client flow is aligned with carry.ĬitiFX SM Quant - Overview Page: One-stop summary of all of Citi's tools and indicators. WERM Fair Value: Find out the equilibrium exchange rate levels from Citi's fair value model for currencies. This index has tracked closely with the S&P 500 over the past few years, however, the correlation broke down in January of this year. ![]() Macro Risk Index: Monitor changes in investor attitudes and risk appetites across assets using measures of Corporate Risk, Liquidity Risk, Emerging Market Risk and Price Risk.Ĭommodity Terms of Trade: Measure the impact of commodity price moves on economies and currencies. The Citi Macro Risk Index, calculated based on credit spreads, swap spreads, and implied volatility on major asset classes, is often used to measure risk aversion in global financial markets. G10 Scorecard: Quickly and easily identify the relative appeal of developed market currencies based on CitiFX’s model, which considers fundamental, technical and market-driven factors.Įconomic and Inflation Surprise Indicators: View historical differences between economic data releases and consensus expectations and see how FX spot prices move in response to the surprises.Įarly Warning Signal: Citi’s currency hedging tool for emerging market currency exposure incorporates 12 variables to measure economic and financial stress in EM market economies and identify effective currency hedges. Positioning Indicator: View aggregated, normalized flows of active, profit-seeking FX traders based on actual positions from 46 currency trading programs developed by managers on the CitiFX SM Access platform and CitiFX SM Quant. Access Citi’s sophisticated, proprietary analytical applications. ![]()
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