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Citi Point to Month-End USD Sales

FOREX

Early look at the month-end rebalancing flow for FX:

  • Citi write that the prelim estimate for Dec month-end points to moderate USD sales into the final month-end fix of the year on the 31st
  • The signal strength is roughly half the historical norm.
  • Foreign investors' needs to hedge US equity gains contribute -6bps to the signal and fixed income rebalancing needs +1bp.
  • The signal to buy GBP is weakest because UK equities and bonds have performed strongly month-to-date. This also leads to some offsetting pressure to sell GBP to hedge these gains.

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