Final bank month-end rebalancing models.......>

FOREX: Final bank month-end rebalancing models continue to see flow favouring

USD selling this month:

- Citi's final revision continues to call for USD sales against all major FX

except JPY. The USD selling flows are based on foreign equity investors' needs

to hedge gains in US stocks while fixed income investors are likely to be

marginal net USD buyers Friday.

- Citi note that this month's signals are negative USD even against EUR and GBP

where local stock markets have outperformed. This is due to imbalances in the

model suggesting more global investors hold US equities and investors outside

the US may hedge more. JPY is the exception to this with low hedge ratio

assumptions and very strong Japanese equity performance leading to a net

balanced flow estimate.

- RBC's model echoes this view, with their model calling for short USD against

GBP, AUD, CAD as well as NOK.