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Citi's Final Month-End Rebalancing Estimate Highlights:

FOREX
  • EUR and GBP buying vs. USD and the JPY
  • Signal in JPY crosses is stronger vs the USD signal
  • Yesterday's drop in US equities significantly weakened USD sell signal- Signal to buy GBP mainly stems from poor UK FI. The month-to-date loss for UK fixed income is the worst on record.
  • JPY is only sell signal vs. USD Friday, emanates from strong Japanese equity performance as well as Japanese investors' need to reduce hedges on foreign fixed income.
  • This month's EURJPY buy signal is third strongest on record.

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