Citi note that their "first estimate of.......>

FOREX: Citi note that their "first estimate of May's month-end FX hedge

rebalancing flows points to a modest need for USD selling. The signal to sell

USD measures -0.6 historical standard deviations across all G10 pairs. Following

months of elevated asset price volatility, May has seen relatively small moves

in global equities and bonds. Global equities have continued to edge higher with

the +2.4% gain in the MSCI United States among the better performers. Major

global government bond indices have declined somewhat in local currency terms.

The signal to sell USD is entirely driven by global equity investors'

rebalancing needs as the gain in the US market has likely left them

under-hedged. EUR/USD buy-signal at +0.74 standard deviations is the strongest

at the moment as the relatively poor performance of Euro Area assets means there

will likely be less offsetting need to also sell EUR. No major data releases are

currently scheduled ahead of the month-end fix on 29 May. Month-end rebalancers

will likely pay attention to the ECB speech and Euro Area CPI released earlier

in the morning."