Citi note the preliminary month-end FX........>

FOREX: Citi note the preliminary month-end FX hedge rebalancing estimate points

to a stronger than average USD buying need on Wednesday, 28 February. With

global equity markets reversing their previous month's gains, the February

month-end signal is a mirror image of last month's USD selling. US equities, the

best performers in January, are among the worst in February. This means that

foreign investors who sold USD to increase their hedges last month-end, will now

need to buy the currency. Citi add, both US equities and bonds have performed

poorly month-to-date and this strengthens the signal to buy USD. They estimate

the global USD-positive flow to be about 11bp of passive index-following AUM,

split 80%-20% between equity and bond investors respectively. Although assume

higher hedge ratios for fixed income investors, higher volatility of equity

indices dominates the signal.