Flows & Liquidity Semiconductor Var Shocks

The report highlights the heightened risk of 'VaR shocks' in the semiconductor sector driven by rising volatility and concentrated investor positions. Additionally, it projects a $165bn rebalancing flow by end-June and notes the strain on Bitcoin mining economics.

Key Takeaways

• 1.Rising semiconductor stock volatility and high investor exposure increase the risk of frequent 'VaR shocks'.
• 2.Quarter/month-end rebalancing is estimated to drive $165bn of equity selling/bond buying.
• 3.Bitcoin miners face worsened economics as prices stay below production costs, increasing hash rate sensitivity.

Table of Contents

• Flows & Liquidity
• Cross Asset Fund Flow Monitor
• Global Markets Strategy
• Cross Asset Positioning Monitor
• We estimate around $165bn of equity selling/bond buying due to quarter/month-end (June-end) rebalancing
• Heightened hash rate sensitivity to bitcoin prices point to more miners operating near their breakeven zone
• Appendix
• ETF Flow Monitor (as of 17th June)
• Short Interest Monitor
• Corporate Activity
• Pension fund and insurance company flows
• Credit Creation
• Bitcoin monitor
• Japanese flows and positions
• Commodity flows and positions
• Corporate FX hedging proxies
• Non-Bank investors' implied allocations
• Analyst Certification
• Important Disclosures
• Legal Entities Disclosures and Country-/Region-Specific Disclosures

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