Citi Final month-end FX hedge rebalancing.....>

FOREX: Citi Final month-end FX hedge rebalancing flows points to USD buying and

selling of all other currencies on Monday, 31 December. The signal strength

remains strong by historical standards, measuring around 2 standard deviations

on average.

Citi adds, as we noted in our preliminary estimate, US equities have incurred

significant losses this month, despite a rally in recent days. The reason for

the strength of the signal has been the significant underperformance of US

equities month-to-date, with the MSCI US having corrected lower by nearly 10%.

Only Japanese equities have performed as poorly as US equities this month.

USD rebalancing needs dominate this month's signal which is fairly uniform

across all crosses. The strongest signal, at -2.46 standard deviations is to

sell GBPUSD while the signal to buy USDJPY is weakest at 1.14 standard

deviations.