The nonlinear evolution of the Kelvin Helmholtz instability in a magnetized plasma with a perpendicular flow close to, or in, the supermagnetosonic regime can produce a significant parallel-to-perpendicular pressure anisotropy. This anisotropy, localized inside the flow shear region, can make the configuration unstable either to the mirror or to the firehose instability and, in general, can affect the development of the KHI. The interface between the solar wind and the Earth's magnetospheric plasma at the magnetospheric equatorial flanks provides a relevant setting for the development of this complex nonlinear dynamics.