Citi's Final Month-End Model Sees USD Buying

Citi's final month-end model leans toward USD buying against all currencies except the EUR.

• They write that the signal to buy USD and sell JPY is strongest this month, driven by a combination of Japanese investors’ needs to reduce hedges on foreign bonds and foreigners’ needs to hedge gains in Japanese equities.
• Nonetheless, Euro Area assets have on the other hand under-performed, flipping the signal for EURUSD into a marginal buy.
• This has been driven by foreigners’ EUR buying needs largely balancing the global USD buying need.
• On real money flow, they conclude that with the exception of SEK, NZD and CAD, their past week’s real money client flows have already been aligned with month-end signals.