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Citi's Prelim Month-End Model Points to Weak Requirement to Buy USD

FOREX
  • They write that both US and foreign equity investors are to be marginal USD buyers in May as US names need to hedge gains in foreign equities and foreign names need to reduce hedges in US equities.
  • From fixed income investors, Citi see net fixed income hedge rebalancing to be mildly USD negative, driven by US investor need to reduce hedges in foreign bonds.
  • Citi's USDJPY buy signal is the only signal to exceed 0.5 SD as Japanese investors likely need to sell JPY to reduce hedges in foreign bond space.

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