Citi's month-end rebalancing model............>

FOREX: Citi's month-end rebalancing model highlights that the asset rebalancing

signal is stronger than the hedge rebalancing this month and points to selling

of USD and buying of EUR, GBP and JPY at month end.

-On equities and bonds, they write that there was little difference in the

performance between equities and bonds in August, driven predominately by the

positive performance of both equities and bonds in US markets. The Asset

Rebalancing model suggests a negligible rotation from bonds into equities this

month.

-US equities performed well over the last few weeks, gaining on average 2%

accounting for an investor's home currency. US bonds also gained around 1% and

this has helped to an offset the asset rebalancing flows across bonds and

equities. Within the equity space, the model predicts US outflows with Euro Area

and Japanese stocks the main beneficiaries.