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FOREX: Bank mth/quarter-end model rebalancing
- CitiFX Quant's preliminary estimate of month-end FX hedge rebalancing flows
points to JPY selling and roughly balanced flows in all other currencies this
- Barclays note the underperformance of Japanese markets leaves the market
overweight the JPY in terms of FX hedges, resulting in a weak buy JPY signal
versus the USD. The escalation of trade protectionist risk weighed on CAD and
AUD assets, while European and UK markets were modestly up, inducing the model
to produce weak sell signals vs. the dollar for all other majors (EUR, GBP, CAD
- CACIB note month-end portfolio-rebalancing flows are likely to be neutral
across the board. However, it is also the end of the quarter. US equity
outperformance in Q3 suggests quarter-end flows will be USD-selling.