BofA Research notes that "GBP seasonality.....>

FOREX: BofA Research notes that "GBP seasonality has been a topical theme

particularly at this time of the year. April has historically been the most +ve

for GBP/USD. However, as much as April is a +ve month for GBP, driven in large

part by the new UK tax year & corporate div repatriation of overseas income, May

is a month where USD strength is the main driver for GBP/USD under-performance.

May is the worst month for GBP/USD with an average decline of 2.3% since 2010...

However, whilst the seasonality in GBP/USD through May looks pervasive, we find

that all G10 currencies broadly underperform through the month. The consistency

in the under-performance reveals two findings: a) AUD, NOK & other high beta

currencies weaken the most; b) EUR under-performs more than GBP. This pattern of

FX performance strongly suggests that May is a risk-off month. As an aside, we

note that FX vol. (using the JPM VXY index as a proxy) rises on avg & has done

so particularly in the last couple of years. May seasonality is consistent with

our constructive near-term view towards the USD... The only currencies that may

prove immune to the broad based rally in USD are CHF & JPY which could buck

usual seasonal trends in an unprecedented market environment."