Month End/Quarter End

BONDS: Barcap

• US Treasuries: +0.07yrs (small)
• EU Pan Govies: +0.11yrs (Decent, large)
• Sterling Agg: : +0.23yrs (HUGE)

FX: Citi

• They see FX hedge rebalancing estimate pointing to pretty balanced month-end flow. They don't see strong USD buy-signal.

• (As per FT) BofA estimates US private pensions alone will need to pull around $88bn out of equities and plough it into bonds, which analysts said was "historically significant" compared to the past three years.
• (As per FT) Balanced mutual funds are expected to sell $136bn of equities to buy fixed income, according to JPMorgan estimates. Among stores of sovereign wealth, the bank expects Japan's $1.6tn state pension fund GPIF will shift $44bn while Norway's giant oil fund would need to move around $70bn to meet its target allocation.
• Citi's month-end asset rebalancing estimate points to very slight inflows into equities, but a weak signal this month.- Strongest equity inflow signal comes from the need to buy Asian equities while Canadian equities see the strongest equity outflow signal.