Citi's "month-end FX hedge rebalancing........>

FOREX: Citi's "month-end FX hedge rebalancing model suggests moderate selling of

USD on Wednesday, 31st July. The signal measures on average +0.5 historical

standard deviations. US equities continued on their upward trajectory in July,

fuelled by dovishness across a swathe of central banks and benign inflation

expectations. The majority of developed market stock indices rose in July. Only

Sweden's equity market underperformed this month with a lacklustre return of

-0.27%. In addition to positive global equity performance, the majority of local

currency bond indices across developed markets performed well this month. Our

estimated signal to sell USD is predominately driven by equity investor

rebalancing needs. This is due to positive US equity market performance leaving

foreign investors under hedged on their equity assets. The signal to sell USD vs

CHF, NOK and SEK is strongest at -0.6 standard deviations. The EURUSD buy signal

is weakest (+0.25). The positive performance of Euro Area assets means that

foreigners' hedging of Euro Area assets partially offsets the hedging needs of

Euro Area based investors. Overall, the signal suggests moderate USD selling

into the month end fix, headline risk comes from US economic releases."