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MONTH END (reminder)

CROSS ASSET

Bloomberg Bonds:

  • EU Govies: +0.07yr (average, small)
  • US Tsys: +0.07yr (average, small)
  • UK Govies; +0.22yr (huge)

MS Bonds:

  • EU Govies: +0.04yr (small)

They expect Finland to extend the most at 0.406y, followed by the Netherlands at 0.149y.

  • US Tsys: +0.09yr (ok, average)
  • UK Govies: + 0.25yr (huge)

Equities Citi:

  • Projects a rotation out of bonds and into equities.
FX Barcap:
  • Passive rebalancing model sees strong USD buying this month, against all majors in September.
  • They write that the fall in US equities dominates and induces the model to produce strong USD buying signals across the board.

FX Citi:

  • Month End FX hedge model projects net outflows from USD

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