? ? ? ? ? ? ? ? ? ?5? ? ? ? ? ? ? ? ? ?1 1 5? ? ? ? ? ? ? ? ? 3? ? 5 ? ? ? 8? ? 2016 ? 115? ? ? 1 5 ? ? ? ? 2 5 ? ? ? ? ? ? ? ? 5? 18? ? 4? 5? 25? ? 6? 2? ? 6? 7? ? 6? 8? ? ? ? ( %) ? 2016? 2016? ? 0.25-0.50 0.25-0.50 0.50-0.75 ? 0.00/-0.40 0.00/-0.40 0.00/-0.40 ? -0.10 -0.10 -0.30 ? 0.50 0.50 0.75 ?/? ? 3 ? 12? ? 1.099 1.091 ?114.2118.1? 1?201 6 ? 4? 2 7 ? ? ? ? 1. ? ? ? -0.6-0.4-0.20.00.20.40.60.81.0-0.6-0.4-0.20.00.20.40.60.81.0MXN-USD RUB-USD AUD-USD CAD-USD COP-USD ZAR-USD CLP-USD SEK-EUR NOK-EUR INR-USD KRW-USD TRY-USD TWD-USD BRL-USD CNY-USD PLN-EUR MYR-USD GBP-USD NZD-USD THB-USD IDR-USD SGD-USD HUF-EUR ILS-USD CZK-EUR EUR-USD CHF-EUR JPY-USDCorrelation with RORO factorMost “risk on“ pairsMost “risk off“ pairs? ? ? ? ? ? ? ?2. ? ? ? 2?1? ? ?3. ? ? 1? 2016? 2? 11? ? ? ? 14? 28? 40%?-5%0%5%10%15%20%25%-5%0%5%10%15%20%25%MXNUSD RUBUSD AUDUSD CADUSD COPUSD ZARUSD CLPUSD SEKEUR NOKEUR INRUSD KRWUSD TRYUSD TWDUSD BRLUSD CNYUSD PLNEUR MYRUSD GBPUSD NZDUSD THBUSD IDRUSD SGDUSD HUFEUR ILSUSD CZKEUR EURUSD CHFEUR JPYUSDCcy performance since 11-Feb-16Mostcorrelated with ROROLeast correlated with RORO051015202530051015202530MXNUSDRUBUSDAUDUSDCADUSDCOPUSDZARUSDCLPUSDSEKEURNOKEURINRUSDKRWUSDTRYUSDTWDUSDBRLUSDCNYUSDPLNEURMYRUSDGBPUSDNZDUSDTHBUSDIDRUSDSGDUSDHUFEURILSUSDCZKEUREURUSDCHFEURJPYUSDRORO Correlation RankCcy perf. Since 11 Feb RankRank correlation = 70.8%? ? 2 009-2 01 3? 0.5? 0.75 ? 4 ? 4. ? ? ? ? ? ? ? ? ? ? ( 1) ? ? ? ?Jan-07Jan-08Jan-09Jan-10Jan-11Jan-12Jan-13Jan-14Jan-15-0.8-0.6-0.4-0.20.00.20.40.60.81.0-0.8-0.6-0.4-0.20.00.20.40.60.81.0EUR-USD correlation with RORO factor? ( 2) ? ? ?201 6 ? 3? 1? ? 5 ?