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Citi See EUR Buying, JPY Selling Into Month-End

FOREX
  • Citi’s prelim month-end rebalancing model points toward EUR buying and JPY selling this month, while the signal for USD gives no clear direction.
  • The drivers for the signal include US equity indices being broadly unchanged, while European stocks are lower and Japanese stocks higher. Fixed income hedge rebalancing requirements account for about 80% of the signal this month, which they note is unusual by historical standards.
  • For GBP, Citi note that Gilts have performed worst across August, as such GBP is a buy into month end, but the better than average performance of UK equities dampens the signal.
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com

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