The winners and losers in Chinese yuan moves might not be who you think

Asian currencies aren't particularly sensitive

Deutsche Bank is out with a report looking at which currencies are sensitive to large positive and negative moves in the Chinese yuan.

In the event of extreme positive or negative moves, it's not nearby countries that would suffer, it's the South African rand, Turkish lira and Colombian peso.

Negative CNH shocks: ZAR, TRY and COP are most sensitive to 'extreme' negative CNH moves, while SGD, KRW and PHP are least sensitive. Broadly, the analysis shows Asian currencies are amongst the least sensitive to negative CNH shocks, which likely reflects lower FX vol in the region. The fact that geographically distant currencies such as ZAR and TRY are most sensitive illustrates the systemic nature of CNH shocks to the market.

Positive CNH shocks: ZAR, COP and CEE3 are the most sensitive to 'extreme' CNH rallies, while SGD, KRW, PHP and INR show the lowest sensitivity. We find CEE3's high sensitivity interesting, potentially reflecting the strong trade linkages between Germany and China.

That's something to keep in mind when the yuan takes another leg down, or starts a rebound.