Citi Month-End FX Hedge Rebalancing:..........>

FOREX: Citi Month-End FX Hedge Rebalancing: October 2018 Preliminary Estimate

- The month-end FX hedge rebalancing model sends a strong signal to buy USD and

sell all other currencies at the October month-end WMR fix. The average signal

strength measures around 2 historical standard deviations, making it the

strongest USD buy-signal since the Global Financial Crisis of 2008.

- After staging a relatively stable recovery from the early February dip, global

equity prices have once again fallen sharply in October. The -9% month-to-date

move in the MSCI US equity index appears particularly significant in historical

context, measuring at 2 standard deviations of equivalent MTD moves since the

start of 1996. The FTSE US Government Bond Index has also fallen by -0.3% this

month, contrasting with gains in most other developed markets.