Citi - The month-end FX hedge rebalancing....>

FOREX: Citi -  The month-end FX hedge rebalancing model points to USD selling

and buying of all other currencies on Thursday, 28th February. The signal

strength is slightly below the average monthly signal by historical standards,

measuring around -0.69 standard deviations.

- The signal has strengthened since the preliminary update as US equities

trended higher into month end. The MSCI US has gained just over 3.4%

month-to-date. Stocks across the globe rose in February, with the majority of

developed markets having outperformed US equities this month.

- For the second consecutive month global bond market moves were muted, with

only the Australian bond market seeing notable gains post dovish RBA guidance.

Given muted movements in fixed income and relatively little dispersion between

equities across developed markets, the rebalancing signal falls below the 1

standard deviation threshold. Foreign investors in the US are likely

under-hedged on their assets and this leads to a net USD selling need of around

6bps of global passive indexed AUM.

- The strongest signal (+0.82) for an individual currency pair is to buy EURUSD.