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## April 2022 Flow Report

### Commentary from the Desk:

For the month of April 2022, main market topics were about covid in China, the war in Ukraine and its implications on growth and inflation and central banks policies to control the latter. China’s growth has been impacted by covid lockdowns despite the monetary support of the PBOC. The war in Ukraine keeps going and drives commodity prices higher – since the start of the conflict natural gas and wheat added +84% and +50.45% respectively. The rouble is back to pre-war levels - around the 70 mark - as energy transactions are being settled in roubles helping Russia minimise the impacts of all the sanctions in place. The Fed reaffirmed its intention to raise rates by 50bps to fight against inflation. The US 10Y yield hit 3% for the first time since 2018. The ECB is also looking to raise rates in Q3 for the 1st time in a decade. The EURUSD declined, getting closer to parity at $1.05.

### April Performance highlights

Equity Indices: NDX: -13.37%, SPX: -8.80%, MSCI WORLD: -8.80%, MSCI ACWI: -3.09%, STOXX 600 BANK: -3.22%, SX5E: -2.55%, FTSE100: +38%, STOXX 600 Healthcare: +1.41%, 

Bonds: German 10Y yield: +39bps, US10Y Yield: +59.6bps

Commodities: Gold: -9.98%, Oil: +1.33%, Wheat: +5.36%

From a regional perspective, US equity indices were in favour while European equity as well as International DM indices were sold. On the fixed income side, US bonds were in strong demand while their EU peers were sold.

More specifically,

* **On Equity indices:** the STOXX 600 HEALTHCARE was bought as well as the MSCI ACWI while the FTSE100, EURSTOXX 50, STOXX 600 BANKS were sold. The MSCI WORLD, the US tech NASDAQ and the S&P500 recorded a mixed activity. 
* **On the Fixed income:** The US Treasuries 1-3Y and 3-7Y were in favour. Mixed activity on the BLOOMBERG BARCLAYS US GOVT INFLATION LINKED as well as on the BLOOMBERG BARCLAYS EURO AGGREGATE. The FTSE MTS LOWEST RATED EUROZONE GOVT BOND was sold.


Notional Traded by Asset Class

In and Out Flow by Region for Equity ETFs

In and Out Flow by Region for Fixed Income ETFs

Flows of Most Active Equity Assets

Flows of Most Active Fixed Income Indices

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April 2022

## August 2022 Flow Report

### Commentary from the Desk:

**In August 2022, 1/central banks renewed their strong messages to fight against inflation, 2/Equity and fixed income under pressure, 3/ the safe-haven dollar, 4/natural gas shortage.**

**1/Fed and ECB determined to bring inflation down.** The ECB announced that main policy rates will be raised again by 50bps in September. Also, the use of the Transmission Protection Instrument (TPI) - to support Southern economy if borrowing cost become prohibitive - will be subject to discretion. At the Jackson hole gathering, the Fed emphasized its willingness to do what it takes to bring inflation down to 2%. The tone was more hawkish than expected.

**2/Equity and Fixed Income Down.** Following Powell speech and Kashkari’s comments, the S&P500 crossed below 4,000 and ended the month down by 4.24%. Main developed market equity indices were in negative territory. On the fixed income side, short term rates rose higher than longer ones indicating market uncertainty. The US and EU 10Y-2Y spread declined by 19.7bps and 6.26bps respectively. In credit, the protection cost to hedge against the US and EU High Yield companies increased by 62bps and 79bps to 533bps and 588bps respectively.

**3/The Safe-Haven USD**. The USD strengthened against the major currencies and rose by 13.6% between January and August 2022.

**4/ Natural Gas Shortage**. Russia cut back on supplies of natural gas to Europe using it as an instrument of war. The price of natural gas rose by 11% in August and by 145% between Jan and August 2022.

### August Performance highlights

Equity Indices: SXXP: -5.29%, NASDAQ: -5.22%, SX5E: -5.15%, MSCI WORLD: -4.33%, SPX: -4.24%, STOXX 600 BANK: -1.59%, STOXX 600 OIL&GAS: +1.93%,

Bonds: GER 10Y: +72.4bps, US 10Y: +54.4bps, GER 2Y: +92.1bps, US 2Y: +60.9bps

Commodities: Gold: -3.11%, Oil: -9.20%, Natural Gas: +10.91%

FX: DXY: +2.64%, USDJPY: +4.27%

From a regional perspective, US equities were bought while European as well as International DM were not in favour. On the fixed income side, strong activity in US and EU govies.

More specifically,

* **On equity indices**: the NASDAQ, MSCI USA CLIMATE, MSCI USA were bought. The S&P500, STOXX 600 and MSCI WORLD recorded mixed activity. The STOXX 600 BANK and STOXX 600 OIL&GAS were sold.
* **In fixed income**: US TREASURIES on the 1-3Y, 3-7Y, 20Y+ were bought, while the US 7-10Y recorded a mixed activity. EU GOVIES 3-5Y, EURO OVERNIGHT. The MARKIT IBOXX BREAKEVEN EURO-INFLATION was sold.

Flows of Most Active Equity Indices

August 2022

## December 2022 Flow Report

### Commentary from the Desk:

**1/ Risky asset out of favor as well as sovereign debt. 2/ All main indices in negative territory except for Chinese equities. 3/ The Dollar Decline and the Gold Rise (again)**

**1/ Risky asset out of favor as well as sovereign debt.** The market volatility rose while it was constantly declining since October. Major indices were in negative territory. The S&P500 and the SX5E declined by 5.90% and 4.32% respectively. Besides, CDS on EUR and US High Yield Corporate debts worsened. Selling pressures on sovereign debt pulled yields higher. The US and German 10Y yields rose by 27bps and 64bps to 3.875% and 2.57% respectively.

**2/ All main indices in negative territory except for Chinese equities.** All main region indices were down except for the MSCI China – as measured by the MXCN - which benefited from the reopening of the country. It rose by 5.22%.

**3/ The Dollar Decline and the Gold Rise (again).** The US dollar (DXY) declined further by 2.29% to 103.52. Gold rose by 3.14% to $1824.02 an ounce and tested a couple times the 50%-Fibonacci retracement as a resistance before closing above at the end of the year.

**December Performance highlights**

· Equity Indices: NASDAQ: -9.06%, SPX: -5.90%, MSCI WORLD: -4.34%, MSCI EUROPE: -3.58%, MXEF: -1.64%, MXCN: +5.22%

· Bonds: GER 10Y: +64bps, US 10Y: +27bps, GER 2Y: +64bps, US 2Y: +12bps

· Commodities: Gold: +3.14%, Natural Gas: -35.43%

· FX: DXY: -2.29%, USDJPY: -5.03%

From a regional perspective, European and Swiss equities were bought while US, Japan and Germany were sold. On the fixed income side, strong appetite for US government bonds.

More specifically:

· **On equity indices**: MSCI EMU, STOXX EUROPE OIL&GAS and the SWISS LEADER INDEX were in favour. The S&P500, MSCI WORLD ESG SCREENED, MSCI USA CLIMATE CHANGE recorded a mixed activity. The NASDAQ and MSCI JAPAN were sold.

· **In fixed income**: US TREASURIES on the 0-12M, 1-3Y, 3-7Y, 7-10Y were bought while the 20Y+ recorded a mixed activity.

December 2022

## February 2022 Flow Report

### Commentary from the Desk:

For the month of February 2022, the ETF flow breakdown was 30%-70% between equity and fixed income respectively. The conflict between Russia and Ukraine - from tension to invasion - is dragging commodities prices higher. The barrel now trades above $100 and wheat gained 41% since mid February. Inflation is under pressure and central banks will have to act cautiously. Safe-haven assets are in demand. Gold crossed above $1900 and the German 10Y yield declined in to negative territory. The Fed’s plan remains extant – the rate raise is due on the 15-16 of March.

### February Performance highlights

Equity Indices: STOXX 600 BAMK: -9.30%, NDX: -4.64%, MSCI EUROPE: -3.15%, MSCI WORLD: -2.65%, SPX: -3.14%, 

Bonds: German 10Y yield: +12.4bps, US10Y Yield: +4.83bps

Commodities: Gold: +14.245%, Oil: +10.72%, Wheat: +21.89%

From a regional perspective, UK, Japan, emerging equity indices were bought, while International DM, US and European equity indices were sold. On the fixed income side, Euro and US bonds were in demand as well as inflation linked indices.

More specifically,

* **On Equity indices:** the value1 related FTSE100 and STOXX 600 BANK were bought, while the MSCI EUROPE was out of favour. The US tech, NASDAQ and S&P500 recorded a mixed activity. The MSCI WORLD was sold while the MSCI EMERGING was bought. 
* **On the Fixed income:** EURO GOVIES and US TREASURIES recorded a net buying activity across the curve: 1-3Y, 3-7Y, 7-10Y, 20+Y. The MARKIT EURO BREAKEVEN INFLATION and the BLOOMBERG BARCLAYS US GOVT INFLATION LINKED recorded a mixed activity.

February 2022

## January 2022 Flow Report

### Commentary from the Desk:

For the month of January 2022, the ETF flow breakdown was 55%-45% between equity and fixed income respectively. We have witnessed the rotation to value1 with specific sectors benefiting from it: bank, auto, energy. The Fed decision to raise rates as soon as March negatively impacted the tech Nasdaq. 4 or 5 hikes may be expected this year. It confirms its willingness to fight against inflation – with a 7% CPI lastly disclosed. On that end, ECB kept its rates unchanged – However, Christine Lagarde made a hawkish comment by saying that she does not rule out a rate hike.

### December Performance highlights

Equity Indices: NDX: -8.52%, MSCI WORLD: -5.34%, SPX: -5.26%, SX5E -2.88%, MSCI CANADA: -34bps, Stoxx 600 Bank: +7.37% 
Bonds: German 10Y yield: +18.8bps, US10Y Yield: +26.7bps
Crypto: BTC/USD: -17.04%, XET/USD: -27.32%
Gold: -1.75%

From a regional perspective, US and International equity indices were sold, while European equity indices recorded a mixed activity except for specific exposure such as the Stoxx 600 bank sector. On the fixed income side, US and Euro bonds were in favour while Italian bonds were sold.

More specifically,

- **On Equity indices:** US equities recorded a net negative activity with the S&P500, S&P500 ESG, NASDAQ 100, MSCI USA ESG. The MSCI WORLD and MSCI WORLD ESG as well as the MSCI ACWI were out of favour. On the other hand, the European STOXX 600 BANK was bought.

- **On the Fixed income,** IBOXX USD TREASURIES, the MARKIT IBOXX EUROZONE 5-7 as well as the BLOOMBERG BARCLAYS STERLING GILTS were bought. On the other hand, selling activity was recorded on the BLOOMBERG BARCLAYS US GOVT INFLATION LINKED and the MARKIT IBOXX EUR LIQUID HIGH YIELD.

Sources: Bloomberg RFQE, Tradeweb, DRW

Flows of Most Traded Equity Assets

Flows of Most Active Income Indices

January 2022

## July 2022 Flow Report

### Commentary from the Desk:

**In July 2022, the global equity and bond performances** - as measured by the MSCI All Country World and the Bloomberg Global-Aggregate Total Return Index, **are the best since 2020 with 6.86% and 2.13% respectively**. In early July, the volatility spread between bonds and equity hit a high at 128 for the 1st time since 2009. 

**Central banks made against inflation kept going. The ECB rose its rate by 50bps for the 1st time in 11 years. It revealed the high level details of the anti-fragmentation tool – the TPI – to prevent South European economies from borrowing at higher levels.** Italy’s prime minister Mario Draghi resigned. This fueled a sell-off in Italian debt and the spread between Italian and German benchmark rose to 2.31%. **The TPI may be activated once the spread reaches the 250bps threshold. The Fed rose its rate by 75bps** to fight inflation by curbing demand. It is open to soften its policy according to data. The 0.9% contraction in Q2 GDP - after a 1.6% drop in Q1 - increases the odds of a recession by year end. 

Moscow started to progressively cut flows through the Nord Stream pipeline to Germany. **Russia may be using gas as part of its war strategy**. **Natural Gas prices rose by 51.75% in July**. On the other hand, Oil declined by to 6.75% to $98.62.

### July Performance highlights

Equity Indices: NDX: +12.55%, MSCI WORLD: +7.86%, SX5E: +7.33%, SPX: +9.11%, STOXX 600: +7.64%,

Bonds: German 10Y yield: -51.9bps, US10Y Yield: -36.4bps

Commodities: Gold: -2.29%, Oil: -6.75%, Natural Gas: +51.75%

FX: DXY: +1.16%, USDJPY: -1.81%

From a regional perspective, European equities as well as US and International DM indices were sold. On the fixed income side, US and EU Govies were in demand.

More specifically,

* On Equity indices: the MSCI EUROPE, MSCI EMU ESG, MSCI USA CLIMATE CHANGE ESG were sold while the MSCI WORLD ESG, the S&P500 and the STOXX EUROPE 600 recorded a mixed activity. The NASDAQ was bought. 
* On the Fixed income: US TREASURIES across the curve 1-3Y, 3-7Y, 7-10Y to 20Y+ were bought. EU GOVIES 5-7Y and German Government bonds were in demand. The BLOOMBERG US INFLATION-LINKED ALL MATURITIES was sold.

July 2022

## June 2022 Flow Report

### Commentary from the Desk:

For the month of June 2022, the recession narrative has become more admitted and likely to happen.

**Under the Fed action**, **the fund rate is expected to climb to 3.5% by the end of 2022** – that is roughly 2.6 hikes of 75bps to go from the current 1.75%. The US10Y yield traded most of the time above the 3% threshold. It gained 17bps to 3.01% and touched a high at 3.49bps.

**On the ECB’s end, the tightening program highlights the disparity in euro area**. The Greek, Italian and Spanish 10Y yield spreads relative to the German benchmark climbed to 2.9%, 2.4% and 1.35% respectively on the 14th of June. To sustainably contain these deteriorating financing conditions for Southern economies, the mechanism of the antifragmentation tool needs to be known. The CDS on the EUR HY climbed above 600bps for the first time since March 2019.

**On the fixed income side**, **the trading activity was dominated by US treasuries from 1 to 10Y**.

**On the equity side**, **all developed economies indices were in negative territory while the MSCI China increased by 5.7%**. The gradual reopening of the country as well as the greater PMI reading in May – at 48.4 vs 42.7 in April – and the supportive PBOC created a positive impact.

### June Performance highlights

Equity Indices: STOXX 600 BANK: -9.80%, NDX: -9.00%, MSCI WORLD: -8.77%, SX5E: -8.82%, SPX: -8.39%, STOXX 600: -8.15%, FTSE100: -5.16%, MSCI JAPAN: -2.87%

Bonds: German 10Y yield: +21.4bps, US10Y Yield: +16.9bps

Commodities: Gold: -1.64%, Oil: -7.77%, Wheat: -19.45%, Natural Gas: -33.41%

FX: DXY: +2.88%, USDJPY: +5.48%

From a regional perspective, European equities as well as US and International DM indices were sold. On the fixed income side, US Treasuries were in demand.

More specifically,

* **On Equity indices**: the US tech NASDAQ was bought while the S&P500, MSCI WORLD, Eurostoxx 50 and STOXX 600 EUROPE, STOXX 600 BANK were sold.
* **On the Fixed income**: The US Treasuries 1-3Y, 3-7Y and 7-10Y were bought. Inflation linked indices – both EUR and US – were sold.

June 2022

## March 2022 Flow Report

### Commentary from the Desk:

For the month of March 2022, the ETF flow breakdown was 60%-40% between equity and fixed income respectively. Investors must navigate in a complex environment. The recession risk needs to be considered. The long lasting geopolitical tension in Europe perpetuate high energy prices  - which drove EU inflation to 7.5% in March and will continue to impact growth. To fight against inflation, the Fed is looking to raise rates by 50bps as well as reducing its balance sheet by more than $95bn per month. The US will also supply 1mn barrels a day during the next 6 months to replace Russian oil in an effort to maintain oil prices close to $100. European equities were more impacted than the US stocks. Gold touched a $2070 high in early March before cooling but continued trading above the $1900 level.

### March Performance highlights

Equity Indices: STOXX 600 BANK: -3.22%, Eurostoxx 50: -0.55%,  MSCI EUROPE: 0.42%, MSCI WORLD: +2.52%, SPX: +3.58%, NDX: +4.22%, 

Bonds: German 10Y yield: +41.3bps, US10Y Yield: +51.3bps

Commodities: Gold: +1.49%, Oil: +6.85%, Wheat: +9.27%

From a regional perspective, Canadian and German equity indices recorded a small gains while US and European equity indices were sold. On the fixed income side, US bonds were in strong demand followed by European bonds.

More specifically,

* **On Equity indices:** the STOXX EURO SELECT DIVIDEND was bought, while the MSCI EUROPE, MSCI EMU, MSCI EMU ESG and STOXX 600 EUROPE BANK were sold. The MSCI WORLD, the US tech NASDAQ and S&P500 recorded a mixed activity. 
* **On the Fixed income:** Mixed activity on US Treasuries 1-3Y and 3-7Y while the US 7-10Y Treasuries were bought. EURO AGG GOVIES were bought.  Mixed activity on the BARCLAYS US INFLATION LINKED while the MARKIT IBOXX EURO INFLATION was sold.

March 2022

## May 2022 Flow Report

### Commentary from the Desk:

For the month of May 2022, main market topics were about high inflation and the action taken by central bankers to rein it in. German hit an all-time high at 8.7%. The recession risk tends to be higher in the Euro area given the combined effects of a rising inflation - driven by higher energy prices due to the continuing war- and a declining growth. Natural Gas, Coal and Oil gained 152%, 118% and 52% respectively YTM. The Fed rose its interested rates by 50bps at its May 4th meeting. It has also started shrinking its balance sheet with an initial monthly cap of 47.5bn – rising to $95bn after 3 months. In a rising interest environment, information technology – referred as growth stocks – looks less attractive. To that extent, we have seen activity on NASDAQ related names.

### May Performance highlights

Equity Indices: NDX: -6.05%, SPX: -3.62%, MSCI WORLD: -2.47%, STOXX 600; -.83%, SX5E: +.32%, FTSE100: +1.31%, DAX: +2.92%,

Bonds: German 10Y yield: +22.2bps, US10Y Yield: +2.2bps

Commodities: Gold: -10.63%, Oil: +14.17%, Wheat: +1.18%

FX: DXY: -1.81%, USDEUR: -2.18%, USDJPY: -1.67%

From a regional perspective, Japan and UK equity indices were in favour while European equity as well as US and International DM indices were sold. On the fixed income side, there was demand both in US and EU bonds.

More specifically,

* **On Equity indices:** the MSCI JAPAN, FTSE100 were bought while the S&P500, MSCI WORLD, Eurostoxx 50 and STOXX 600 ERUROPE were sold. The US tech NASDAQ recorded a mixed activity.
* **On the Fixed income:** The US Treasuries 1-3Y, 3-7Y and 7-10Y were in favour while the longer term of the curve saw buys and sells. 5-7Y Euro Govies were out of favour. Inflation linked indices – both EUR and US – were sold.

May 2022

## November 2022 Flow Report

### Commentary from the Desk:

**1/ Inflation Focus and the Moderated Fed, 2/ Chinese Equities and the Easing of the Quarantine, 3/ Equity and Fixed Income Rose and 4/ The Dollar Decline and the Gold Rise.**

**1/Inflation Focus and the Moderated Fed.** Fed officials stressed the need to keep raising despite a better than expected US CPI reading. That would mean raising interest rates to 5%- 5.25%. Powell announced that the Fed may be ready to moderate the pace of rate increases as soon as the December FOMC meeting. The Fed wants to avoid to overtighten because cutting rates is not something that is going to happen soon. Further change to the yield curve happened in November with the US 3M yielding 73bps more than the 10Y and with the US 10Y-1M spread declining to -77bps. The Bloomberg Global Agg 10Y-2Y spread inverted for the first time since 2000.

**2/Chinese Equities Benefited from the Easing of the Quarantine.** As Beijing has relaxed its Zero Covid Policy, Chinese equities rose. In November, the MSCI China Index, as measured by the MXCN, increased by 28.86%. This rise partly explained the underperformance of US Consumer Staples relative to Consumer Discretionary.

**3/Equity and Fixed Income Up.** November is the first month of 2022 where all country exposure in the equity space were in positive terriority. The SPX, NASDAQ, STOXX 600, MSCI CHINA and MSCI EMERGING rose by 5.38%, 5.48%, 6.75%, 28.86% and 14.64% resp. In Fixed Income, the global aggregate barometer of government and credit debt – as measured by the LEGATRUU – turned positive for the first time since July by adding 4.7%.

**4/The Dollar Decline and the Gold Rise.** The US dollar against a basket of major currencies – as measured by the DXY – declined by 5% to 105.95. The precious metal - strongly correlated to the greenback – rose by 8.26% to $1786.52 an ounce.

**November Performance Highlights**

* Equity Indices: SPX: +5.38%, NASDAQ: 5.48%, MSCI EUROPE: 6.74%, MSCI WORLD: +6.80%, SX5E: 9.60%, MXEF: 14.64%, MXCN: 28.86%
* Bonds: GER 10Y: -21bps, US 10Y: -44bps, GER 2Y: +19bps, US 2Y: -17bps
* Commodities: Gold: +8.26%, Oil: -6.91%, Natural Gas: +9.05%
* FX: DXY: -5.00%, USDJPY: -7.15%

From a regional perspective, German and Japan equities were bought while International, US and European equities were sold. On the fixed income side, strong appetite for US government bonds.

More specifically:

* **On equity indices**: The S&P500, MSCI WORLD, MSCI USA CLIMATE CHANGE recorded a mixed activity. NASDAQ, MSCI EUROPE and MSCI SWITZERLAND were sold. The MSCI JAPAN ESG ENHANCED and the STOXX EUROPE 50 were in favour.
* **In fixed income**: US TREASURIES on the 1-3Y, 3-7Y, 7-10Y and 20Y+ were bought. The German 0-1Y was sold.

November 2022

## October 2022 Flow Report

### Commentary from the Desk:

**In October 2022: 1/ Central Banks Fight Against Inflation, 2/ The UK U-turn, and 3/ Equity Rose, Fixed Income Flattish and 4/ The Strong Dollar and Currency-Hedged ETFs.**

**1/ Central Banks Fight Against Inflation.** ECB rose its rate by 75bps**.** The central bank signaled it’s making progress in its fight against inflation. The likelihood of a recession increases. The Ger 10Y-2Y spread declined by 14.3bps 19.93bps. In the last week of September, it got closer to 0 for the 1st time since March 2019. Officials also toughened the terms on more than €2 trillion TLTROs. The Fed also rose its rates by 75bps in early November and would be supposed to pause when the Fed funds rate reach 5%.

**2/ The UK U-turn.** The UK government retreated from plans for big tax cuts. Prime Minister Liz Truss asked Kwasi Kwarteng to step aside as Chancellor of the Exchequer. Jeremy Hunt was confirmed as his replacement. Liz Truss resigned and Rishi Sunak was appointed as Prime Minister. The UK 30Y-5Y spread retraced all the loss by gaining +54bps to -3.8bps from -58bps at the end of September.

**3/ Equity Rose, Fixed Income Flattish.** The MSCI All Country World was back in positive territory for the 1st time since July. It rose by 5.96% in October compared to a 9.74% decline in September. The Bloomberg Global-Aggregate of the sovereign debt and IG, as measured by the LEGATRUU, declined by 70bps vs -5.14% in September. The sentiment improved on corporate debts with the CDS on the EUR IG and HY debt down by 21bps to 113.83 and 85bps to 554.8bps.

**4/ The Strong Dollar and Currency-Hedged ETFs.** we’ve seen demand for currency-hedged ETF with underlying in US dollar. The currency hedge protects against an appreciation of the currency of the ETF against the USD. In October, The DXY slightly declined by 53bps to 111.527.

**October Performance highlights**

* Equity Indices: FTSE100: 2.91%, NASDAQ: 3.96%, MSCI WORLD: +7.11%, SPX: +7.99% SXXP: 6.28%, SX5E: 9.02%,
* Bonds: GER 10Y: +8bps, US 10Y: +22bps, GER 2Y: +18bps, US 2Y: +20bps
* Commodities: Gold: -1.63%, Oil: +7.81%, Natural Gas: -6.07%
* FX: DXY: -53bps, USDJPY: +2.74%

From a regional perspective, US and European equities were sold while International equities were bought. On the fixed income side, US and EU governments bonds were in favour.

More specifically:

* **On equity indices**: The S&P500, NASDAQ, MSCI USA CLIMATE CHANGE, MSCI EMU ESG and FTSE100 were sold. The STOXX EUROPE 50 and the EURO STOXX DAILY SHORT recorded a mixed activity. The MSCI WORLD was bought
* **In fixed income**: US TREASURIES on the 1-3Y, 3-7Y, 7-10Y and 20Y+ were bought. The German 0-1Y and the BLOOMBERG BARCLAYS EUROAGG were bought.

October 2022

## September 2022 Flow Report

### Commentary from the Desk:

**In September 2022, 1/Busy Central Banks, 2/Equity and Fixed Income Down (again) and 3/ the Gilt, the Pound and the BOE Intervention**

**1/Busy Central Banks.** The ECB’s historic 75bps hike is aimed to curb elevated inflation. More rates increase will potentially take place. The Fed increased its benchmark by 75bps for the 3rd time in a row. The short end of the US curve is under more pressure than the longer end. Sweden’s Riksbank surprised with a 100bps hike. Indonesia was also more aggressive than expected.

**2/Equity and Fixed Income Down (again).** The MSCI All Country World spent only 1 week in positive territory. It declined by 4.29% in September. The Bloomberg Global-Aggregate of the sovereign debt and IG, as measured by the LEGATRUU, declined 5.14%. European and US sovereign yield kept rising and both hit highs at the end of the month. The CDS on the EUR and US IG climbed by 15.16bps and 15.65bps to 134.67 and 108.02 respectively. As a measure of uncertainty, the US 10Y-2Y spread extended its decline by 14.98bps while the EU 10-2Y spread ended up by 1.2bps but remained volatile.

**3/ The Gilt, the Pound and the BOE Intervention.** Truss and Kwarteng tax cuts plan triggered a major sell-off on UK gilts which pressured the 30Y above 5% on September the 27th and the 28th. The BOE took emergency action to bought the longer-dated maturity and dragged the yield down below 4%. The GBPUSD hit an all-time low at 1.035 (red dotted line) on the 26th. The BOE action dragged the pound higher to 1.1096.

### September Performance highlights

* Equity Indices: NASDAQ: -10.60%, MSCI WORLD: -9.46%, SXXP: -6.57%, SX5E: -5.66%, FTSE100: -5.36%,
* Bonds: GER 10Y: +56.7bps, US 10Y: +63.6bps, GER 2Y: +55.7bps, US 2Y: +78.6bps
* Commodities: Gold: -2.95%, Oil: -8.84%, Natural Gas: -25.87%
* FX: DXY: +3.14%, USDJPY: +4.16%

From a regional perspective, European equities were bought while US as well as International DM were sold. On the fixed income side, US treasuries recorded an important activity.

More specifically:

* **On equity indices**: The S&P500, STOXX EUROPE 50, MSCI USA CLIMATE ESG SELECT recorded a mixed activity. The MSCI USA, the MSCI WORLD SELECT ESG RATING and the NASDQA were sold.
* **In fixed income**: US TREASURIES on the 1-3Y, 7-10Y and 20Y+ were bought, while the US TREASURIES 3-7Y were sold. EU GOVIES 1-3Y and the BLOOMBERG BARCLAYS EUROAGG were bought.

September 2022

## April 2023 Flow Report
**In April 2023:**

**1/Concerns Over Financial Stability – Part 2, 2/ China Rebounds and US Tensions, 3/ Tradetech in Paris**

**1/ Concerns Over Financial Stability - Part 2.** The situation has been contained and volatility declined. On the fixed income side, while the MOVE Index hit a high at 198.71 on March the 15th, it declined to the 120 area by the end of April. The pressure also eased on the equity side and the VIX closed below 16 for the first since November 2021.  The period running from the SVB news early March to the end of April saw safe-haven as well as risky assets in demand. Gold rose by 6.52% to $1982.56. Buying pressure on the US 10Y benchmark, dragged its yield 27bps lower to 3.42%. On the risky asset side, the SPX rose by 7.97% to 4169.48 and the US HY CDS improved by 44bps to 4.65% to come back to level before the news series that agitated the market. Further inversion to the curve took place since March. The spread between the US 10Y and the 3M declined by 75bps to -166bps

**2/China Rebounds and US Tensions. Q1 2023 Chinese GDP rose by 4.5% YoY, from 2.9% in Q4 2022.** President Biden was aiming to sign an executive order that will limit investment in key parts of China’s economy by American businesses. Since the end of January, the MSCI China A, as measured by the CNYA LN, has erased 50% of the gains from the reopening.    

**3/Tradetech au Palais des Congres de Paris.** It was a great industry event where we had the opportunity to meet with our counterparts and partners. We had interesting conversations, attended nice conferences. We are looking forward to attending the next edition.

April Performance highlights (USD)

• Equity Indices: MSCI CHINA: -2.06%, NASDAQ: +0.49%, SPX: +1.46%,, MSCI WORLD: +1.59%, SX5E: +2.71%, MSCI EUROPE: +3.67%, STOXX EUROPE 600 OPTIMISED DEFENSIVE PRICE: +6.24%, • Bonds: GER 10Y: 2bps, US 10Y: -5bps, GER 2Y: 1bps, US 2Y: -2bps, • Commodities: Gold: +1.05%, Oil: +1.47%,  • FX: DXY: -0.83%, USDJPY: +2.59%
From a regional perspective, International DM, Asia ex Japan and France equities were bought while US Europe and EM equities were sold. On the fixed income side, US government bonds were in demand.

More specifically:

• **On equity indices**: The S&P500, MSCI WORLD ESG, MSCI USA CLIMATE ESG, NASDAQ, MSCI EUROPE ESG recorded a mixed activity. The MSCI EMU and MSCI EUROPE were sold.

• **On fixed income**: US TREASURIES the US 1-3, 3-7Y, and 20Y+ were bought. The US 7-10Y recorded a mixed activity. On the other hand, US 0-12M were sold.


April 2023

**August 2023 Flow Report**

**In August 2023:**

**1/US Bonds Yield Decline, 2/Concerns Over China, 3/Equity Performance YTD.**

**1/ US Bond Yields and the Jackson Hole conference.** During the final week of August, the US 2Y yield declined by 21bps to 4.88bps after rising for 3 weeks in a row to climb above 5% for the 2<sup>nd</sup> time this year. On the other hand, the US 10Y yield declined by 7bps after being dragged higher for 6 weeks in a row.  A revised reading for US GDP of 2.1% in Q2 was disclosed vs 2.4% est. At the Jackson hole conference, Powell mentioned that to come back to 2% inflation, the Fed will either have to hold rates higher for longer or raise them. Next FOMC meeting will take place on the 14<sup>th</sup> of September, with expectations that the rates will remain in the 5.25% to 5.50% range.

**2/Concerns over China.** Weak economic data pushed the PBOC to unexpectedly cut rates to support the economy. Investors’ confidence is deteriorating. The MSCI CHINA A lost all the advance gained in July and further declined by 7.20% in August to came back to level seen in November 2022.

**3/Equity.** Performances. Main indices were in negative territory in August with US equities outperforming peers. The Nasdaq and SP500 were down -1.38% and -1.51%,
followed by European indices down by -3% approx. While Emerging equity were more strongly hit with MSCI EMERGING and MSCI CHINA A down by -6.02% and -7.20% respectively.

**August Performance highlights (USD)**

*   Equity Indices: MSCI CHINA A: -7.20%, MSCI EMERGING: -6.02%, SX5E: -3.75%, MSCI WORLD: -2.05%, SPX: -1.51%, NASDAQ: -1.38%

*   Bonds: GER 10Y: -9bps, US 10Y: +9bps, GER 2Y: -9bps, US 2Y: -4bps,

*   Commodities: Gold: -1.17%, Oil: +2.32%,

*   FX: DXY: +1.29%, USDJPY: +1.53%

From a regional perspective, US, International DM, Swiss and EM equities were bought, while Nordics, Europe and Germany were sold. On the fixed income side, strong appetite for European government bonds and US Treasuries.

More specifically:

*   **On equity indices:** The S&P500, NASDAQ, MSCI USA, FTSE ALL WORLD and MSCI SWITZERLAND were in demand. The MSCI EMERGING and MSCI JAPAN recorded a mixed activity.

*   **On fixed income:** The European EONIA and the EURO GOVT 30Y were bought while the GER 0-1Y was sold. On the US TREASURIES, mixed activity took place on the 1-3Y and 7-10Y while the 3-7Y were sold.***



August 2023 

## February 2023 Flow Report

**In February 2023:**

**1/The Fed volte-face and the Hawkish ECB, 2/ Mixed Cross Asset Picture, 3/ Interests in China**

**1/ The Fed volte-face and the Hawkish ECB.** At the beginning of the month, the Fed rose its rate by 25bps as expected by the market. Powell’s comment that the “disinflation process has started” suggested that the tightening cycle is starting to have its desired effect of reducing the pace of price growth. However, the strength of the labor market, with a 3.4% unemployment rate, added pressure on the Fed to keep rising rates. At the end of the month, the PCE print higher than expected, suggested that the Fed may need to hold rates higher for longer. On the other hand, the hawkish ECB rose its rates by 50 bps and suggested another hike of that magnitude would follow at the next meeting.

**2/Mixed Cross Asset Picture.** The equity performance, as measured by the MSCI ALL COUNTRY WORLD, was down 2.69%. Benchmark Government bond yields climbed higher across the inverted curves. The US and EU 10Y-2Y spreads declined by 20bps and 12bps respectively to -90bps and -49bps. The precious metal slided 5.26% lower to $1826.92 an ounce and the start of the year was marked by heavy redemptions on Gold. On the other hand, money flowed into the EUR IG space and the CDS on the MAIN remained unchanged in February at 79.56bps.

**3/Interests in China.** In February, we’ve seen demand on the ETF Flows on the MSCI CHINA A. While it spent 59% of 2022 in negative territory, the reopening of China, marked by the end of the zero covid policy, dragged the index 12.98% higher in November and recorded gains in December and January. In February, it declined by 4.42%.

February Performance highlights (USD)

· Equity Indices: MXEF: -6.54%, M1CNA: -4.42%, SPX: -2.61%, MSCI WORLD: -2.53%, MSCI EUROPE: -1.06%, SX5E: -0.90%, NASDAQ: -0.49%,

· Bonds: GER 10Y: +37bps, US 10Y: +41bps, GER 2Y: +49bps, US 2Y: +61bps,

· Commodities: Gold: -5.26%, Oil: -2.31%, Natural Gas: +2.35%,

· FX: DXY: +2.72%, USDJPY: +4.67%.

From a regional perspective, Europe, International and UK equities were bought while US equities were sold. On the fixed income side, strong appetite for EU and US government bonds.

More specifically:

· **On equity indices**: The S&P500 and the MSCI JAPAN recorded a mixed activity. The MSCI USA CLIMATE CHANGE was sold. The MSCI EUROPE, MSCI WORLD ESG SCREENED and FTSE 100 were in favour.

· **On fixed income**: US TREASURIES 7-10Y and 20Y+ were bought while the US 0-1, 1-3, 3-7Y were sold. The IBOXX EURO SOVEREIGN and the BLOOMBERG BARCLAYS EU 1-3Y bought.

February 2023

## January 2023 Flow Report

### Commentary from the Desk:

**In January 2023:**

**1/The Central Banks Fight Against Inflation Continues, 2/ Buyers of Risky and Non-Risky Assets, 3/ Europe versus the US.**

**1/ The Central Banks Fight Against Inflation Continues. Fed** officials warned against underestimating their determination to keep interest rates high for some time. US headline and core inflation up 6.5% and 5.7% respectively, marking their slowest advance in a year. The Fed was expected to downshift to smaller rate increases to reach 5% and rose its rate by 25bps as expected by the market. Powell’s comment that the “disinflation process has started” suggested that the tightening cycle is starting to have its desired effect of reducing the pace of price growth. However, the strong employment market may suggest a more hawkish tone moving forward. The hawkish **ECB** rose its 50bps and suggested that another hike of that magnitude would follow at the next meeting. The **BOJ** kept its accommodative policy regardless the 4% inflation print.

**2/Risky and Non-Risky Asset.** To start the year, risky and non-risky were in favor. On one hand, equity, as measured by the SX5E, rose by 9.75% and the CDS on EUR HY debt improved by 59.74bps to 4.14%. On the other hand, Gold rose by 4.19% and buying pressure on the German 10Y dragged its yield 25.32bps lower to 2.318%

**3/Europe Versus US.** Energy prices are the main driver of European inflation. The war in Ukraine put commodities under pressure in 2022. In January, Natural Gas, Wheat, Oil, Coal came back to pre-war levels. The SX5E rose almost twice as much than the SPX and got closer to retrace its 2022 loss. On the other hand, the SPX has retraced 50% of its loss so far.

January Performance highlights (USD)

· Equity Indices: SPX: +6.18%, MSCI WORLD: +7.00%, MXEF: 7.85%, MSCI EUROPE: 8.30%, NASDAQ: 10.62%, SX5E: 11.37%, MXCN: 11.7%

· Bonds: GER 10Y: -29bps, US 10Y: -37bps, GER 2Y: -11bps, US 2Y: -22bps

· Commodities: Gold: +5.72%, Oil: -1.65%, Natural Gas: -40.02%

· FX: DXY: -1.38%, USDJPY: -.79%

From a regional perspective, Japan, UK and International equities were bought while US and European equities were sold. On the fixed income side, strong appetite for EU and US government bonds.

More specifically:

· **On equity indices**: The MSCI EUROPE, MSCI USA CLIMATE CHANGE recorded a mixed activity. NASDAQ, STOXX 600 BASIC RESOURCES and MSCI WORLD ESG were sold. The EUROSTOXX 50 and the MSCI WORLD were in favour.

· **On fixed income**: US TREASURIES on the 1-3Y, 3-7Y, 7-10Y and 20Y+, the IBOXX EURO SOVEREIGN and the BLOOMBERG GVT 30Y were bought. The German 0-1Y GVT and the SOLACTIVE EURO OVERNIGHT were sold.

January 2023

## March 2023 Flow Report

**In March 2023:**

**1/Concerns Over Financial Stability, 2/ Volatility Surge and Flight-to-Quality, 3/ DRW ETFExpress Awards.**

**1/ Concerns Over Financial Stability.** Anxiety was nourished by the news from SVB to Credit Suisse acquisition by UBS to the Fed 25bps rate hike to Deutsche Bank slump to the hawkish BOE and ECB.

The CDS on EUR financials deteriorated by 25bps relative to EUR IG. Such a deviation is very infrequent and lays in the long tail of the distribution. The STOXX 600 BANK erased its YTD gains by declining by 11.92% to 158.1617

**2/Volatility Surge and Risk-off Mode.** Volatility on the bonds, as measured by the MOVE Index, hit a high at 198.71, for the 1st time since 2008, before sliding lower. Non-risky assets were bought. Gold rose by 7.79% to $1969.29 an ounce and buying pressure dragged the US 2Y and 10Y yields 79bps and 45bps lower respectively to 4.025% and 3.468%. On the other hand, the yield decline favored the Technology sector. The US NASDAQ rose by 9.46% to 13,181.35.

**3/ DRW ETFExpress Awards. Thanks to the industry support to our growth and development,** the ETF Market Making division at DRW received the following awards:

* Best Overall ETF Liquidity Provider/Market Maker
* Best Market Maker/Authorised Participant – Equity ETFs
* Best Market Maker/Authorised Participant – Fixed Income ETFs
* Best Market Maker/Authorised participant – Cryptocurrencies

March Performance highlights (USD)

* Equity Indices: STOXX 600 BANK: -11.92%, STOXX 600 OIL&GAS: -4.31%, MSCI EUROPE: +2.00%, MSCI WORLD: +2.83%, SPX: +3.51%, SX5E: +4.35%, NASDAQ: +9.46%,
* Bonds: GER 10Y: -36bps, US 10Y: -45bps, GER 2Y: -45bps, US 2Y: -79bps,
* Commodities: Gold: +7.79%, Oil: -4.91%,
* FX: DXY: -2.25%, USDJPY: -2.43%, XBTUSD: +22.67%

From a regional perspective, US, German and UK equities were bought while International DM and Europe equities were sold. On the fixed income side, strong appetite for US and EU government bonds.

More specifically:

* **On equity indices**: The MSCI WORLD, MSCI USA CLIMATE CHANGE, MSCI EUROPE and MSCI EMU recorded a mixed activity. The STOXX 600 EUROPE was sold. The S&P500 and the DAXwere bought.
* **On fixed income**: US TREASURIES the US 1-3, 3-7Y, 7-10Y and 20Y+ were bought. The US GOVT INFLATION LINKED ALL MATURITIES recorded a mixed activity. 2W on EUR 1-3Y.


March 2023

## May 2023 Flow Report

**In May 2023:**

**1/The US Debt Ceiling Deal, 2/US Regional Banks, 3/The Technology Surge, 4/Japan’s Performance YTD**

**1/The US Debt Ceiling Deal.** Tensions over the US potentially failing to honor the payments of debt got cleared. In January, the US breached the constitutional limit of $31.4tn; they owe more than $31.7tn. Since the end of 2022, the CDS aims to protect against the US government defaulting on its debt. In less than 1 year, the CDS jumped by 160bps to 177bps – a level not seen during previous crises. Once the deal was cleared, the CDS came back below 10bps and volatility on bonds and equity declined.

**2/US Regional Banks.** After SVB’s bankruptcy and JPM’s purchase of First Republic Bank, regional banks were under pressure. The US regional bank index – as measured by the KRE US – declined by 13.12% on the first week of May before a recovery supported by the prospect of a Fed likely to pause to end up the month at -2.88%.

**3/The Technology Surge.** Over the last 2 weeks of May, Nvidia fueled the appetite for the Technology sector, as it rose 30% higher, increasing its value by 2.77 since the start of the year.  The SPX was dragged higher by the highly traded Facebook, Apple, Amazon, Netflix and Google – as measured by the NYFANG, which was in overbought territory.

**4/Japan’s Performance YTD.** The TOPIX rose by 21.08% so far this year to come back to level last seen in June 1990. Currency-hedged Topix ETF helped capture this performance without being exposed to the deprecation of the Yen. The EUR-hedged TOPIX (TPXH) has delivered positive performance month after month compared to the TOPIX libeled in EUR (TPXE), which is exposed to the EURJPY. When the EUR appreciates against JPY, the TPXE underperforms the EUR-hedged TPXH and inversely. So far this year, the EURJPY rose by 10.37%.

**May Performance highlights (USD)**

*   Equity Indices: MSCI EUROPE: -4.34%, SX5E: -3.72%, MSCI WORLD: -.28%, SPX: +0.90%, TOPIX: +2.20%, NASDAQ: +8.49%,

*   Bonds: GER 10Y: 3bps, US 10Y: +12bps, GER 2Y: +9bps, US 2Y: +31bps,

*   Commodities: Gold: -1.17%, Oil: -7.28%,

*   FX: DXY: +1.97%, USDJPY: +1.67%

From a regional perspective, International DM, Europe, UK and Swiss equities were bought, while Nordics, US and Germany were sold. On the fixed income side, EU, US and Italian government bonds were in demand.

More specifically:

*   **On equity indices:** The S&P500, MSCI WORLD, STOXX EUROPE 600 recorded a mixed activity. The NASDAQ, MSCI EMU ESG, DAX and MSCI WORLD VALUE were sold. The MSCI WORLD ESG and the MSCI USA ESG were bought.

*   **On fixed income:** US TREASURIES were bought across the curve with the US 1-3, 3-7Y, 7-10Y and 20Y+. The European EONIA as well as the EU 1-3Y Govt Debt were also in demand.


May 2023

**In November 2023**

1/Central Banks Updates, 2/Cross Asset Picture, 3/Israel-Hamas 4 days Truce, 4/DRW Awarded ETF Liquidity Provider of the Year.

**1/Central Banks Updates.** On one hand, The Fed held rates steady for a second meeting as expected. The recent surge in US Treasury yields contributed to a tightening of financial conditions, leading FOMC to indicate patience over further rate moves. US inflation slowed in October, which gave positive expectation that the Fed is likely to be done raising rate. On the other hand, EU CPI was in line with expectation at 2.9%. The Core measure, excluding volatile items, was also disclosed in line at 4.2%. The ECB may also be almost done with its tightening policy. Finally, the increase of flexibility over the YCC, which was introduced in 2016, dragged the Japan 10Y yield to 0.96% – back to level seen in 2012 – before declining by 28bps to 0.67% by the end of the month. The USDJY crossed above 150 which forced the BOJ to support its currency.

**2/Cross-Asset Picture.** Risky and non-risky assets rose. On the risky side, the SPX rose by 8.92% to 4567.8 and the price of the protection against default of US HY Corp debt declining by 1.14%. The last time the CDS declined that much was in November 2020. On the non-risky side, the precious metal rose by 2.65% and the US 10Y yield slipped -60bps lower to
4.3264% while it was hovering around 5% at the end of October.

**3/Israel-Hamas 4 days War Truce.** An accord was brokered to exchange 50 Israeli hostages counting children and women with 150 Palestinian prisoners. In November, the TA 35 rose by 7.73% after incurring a -10.7% loss in October following the attack. Oil declined by -5.24%.

**4/DRW Awarded ETF Liquidity Provider of the Year.** Thanks to our counterparts and the ETF industry for the recognition of our efforts. Our ETF team deploys a lot of resources to provide competitive prices across asset classes. Our product coverage is expanding to equity emerging single country and fixed income credit.

November Performance highlights (USD)

*   Equity Indices: TPX: +7.85%, MSCI EM: +7.86%, SPX: +8.92%, NASDAQ: +10.67%, SX5E: +11.11%, DAX: +12.73%.

*   Bonds: GER 10Y: -36bps, US 10Y: -60bps, GER 2Y: -20bps, US 2Y: -41bps.

*   Commodities: Gold: +2.65%, Oil: -5.24%,

*   FX: DXY: -2.97%, XBTUSD: +8.95%

From a regional perspective US equities were bought. On the fixed income side, appetite for US, and European bonds.

More specifically:

*   On equity indices: The MSCI USA CLIMATE CHANGE was bought. A mixed activity was recorded on the S\&P500, NASDAQ, SX5E, MSCI WORLD SCREENED and MSCI EUROPE. On the other hand, the FTSE100 was sold.

*   On fixed income: Credit: mixed activity on EUR HY and IG. Rates:  US 7-10Y and the 2-10Y US Steepener were in demand while the 20Y+ recorded a mixed activity. The EONIA and the EUR 1-3Y were bought.

 


November 2023

**In October 2023:**

**1/Israel Under Attack, 2/Central Banks Updates and 3/Bitcoin topped $35,000**

**1/Israel Under Attack.** Terrorist attacks against Israel hit the country. President Joe Biden, Prime Ministers Olaf Scholz and Rishi Sunak travelled to Israel to express their support and help finding ways to deescalate the tensions. President Macron called for an international coalition to fight Hamas as well as strengthening efforts to avert a wider war. On a monthly basis, the Tel-Aviv 35 declined by -10.72%, the most since March 2020 and the Shekel declined by -5.64% against the dollar. Tensions in the area have increased oil volatility. Investors looked to gold to hedge against geopolitical risk. Since the start of the conflict, the precious metal rose by 8.9% to $1996. On the other hand, US Treasuries did not play a safe-haven role: sellers of the US10Y dragged its yield 9bps higher to 4.89%.

**2/Central Banks Updates.** ECB left its rates unchanged. The US economy grew at 4.9% last quarter, the fastest pace since 2021, supported by strong consumer spending. The Core PCE QoQ rose to the slowest pace since 2020 at 2.4%. The repricing of the yield curve supports the higher for longer policy. As a result, the Fed was expected to keep its rate unchanged.

**3/Bitcoin Topped $35,000.** Possible approval in the coming weeks of the first US spot Bitcoin ETFs dragged its price 28% higher in October
to level lastly seen in May 2022.

October Performance highlights (USD)

*   Equity Indices: TPX: -4.48%, MSCI EM: -3.94%, MSCI BRAZIL: -3.79%, DAX: -3.72%, SX5E: -2.70%, SPX: -2.20%, NASDAQ: -2.08%

*   Bonds: GER 10Y: -3bps, US 10Y: +36bps, GER 2Y: -19bps, US 2Y: +4bps,

*   Commodities: Gold: +7.32%, Oil: -10.76%,

*   FX: DXY: +.46%, XBTUSD: +28%

From a regional perspective US equity were bought. On the fixed income side, appetite for US, and European government bonds.

More specifically:

*   On equity indices: The MSCI USA CLIMATE CHANGE, S\&P, NASDAQ, DAX, SMI, MSCI BRAZIL and MSCI EMERING SRI were in demand. A mixed activity was recorded on the SX5E and the MSCI WORLD. On the other hand, MSCI EM was sold.



*   On fixed income: The US 1-3Y, 3-7Y, 20Y+ and Govt Inflation-Linked All Maturities were bought. The EONIA was bought while the EuroAgg Treasury recorded a mixed activity.

October 2023

**In September 2023:**

**1/Inflation and Central Banks, 2/Higher Dollar and 3/Higher Oil**

**1/Inflation and Central Banks.** EU: the ECB rose rates by 25bps and signaled that the peak may have been reached. Following Lagarde’s news conference on the 14th of September, the EURUSD declined by -81bps%, 10Y yield declined and equity rose. UK: wage growth kept the BOE under pressure to raise rates again. However, the CPI rose by 6.7% YoY in August, the slowest pace in 18M and below the 7% exp. The Core CPI, excluding volatile items, rose by 6.2% YoY down from the previous month and below estimate. The BOE held its key rate at 5.25%. US: The Fed’s message triggered fear in the market. It dragged yields higher and equity lower. The 2Y hit a high at 5.1973% this week – for the 1st time since July 2006. The 10Y rose as high as 4.6861% - its highest since 2007. Since mid-September, volatility rose by 4.7 points and SPX declined by 4.67%.

**2/Higher Dollar.** In September, the dollar, as measured by the DXY, strengthened against major currencies for 4 weeks in a row. It rose by 2.47% to 106.174.

**3/Higher Oil.**  Oil rose, supported by the cross of its 50DMA above the 200MA mid-august. It came back to level seen in November 2022. Higher Energy prices and a weaker currency are not a good mix for imported inflation in Europe.

September Performance highlights (USD)

*   Equity Indices: SX5E: -5.27%, NASDAQ: -5.07%, MSCI WORLD: -4.45%, SPX: -4.87%, STOXX 600 OIL & GAS: +2.72%

*   Bonds: GER 10Y: +37bps, US 10Y: +46bps, GER 2Y: +23bps, US 2Y: +18bps,

*   Commodities: Gold: -4.72%, Oil: +9.73%,

*   FX: DXY: +2.47%, USDJPY: +2.63%

From a regional perspective, International DM, Swiss and US equities were bought, while Europe, International EM and Brazil were sold. On the fixed income side, strong appetite for European government bonds.

More specifically:

*   **On equity indices:** The MSCI WORLD ESG SCREENED, MSCI ACWI ESG, S&P and the SMI were in demand. A mixed activity was recorded on the MSCI USA CLIMATE CHANGE ESG, DAX and FTSE 100. On the other hand, FTSE MIB was sold.

*   **On fixed income:** The Euro Govt 1-3Y and Euro Govt Bonds across the curve were bought while the US 7-10Y and US Govt inflation linked all Maturities recorded a mixed activity,


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