MONTH END UPDATED!

MONTH END EXTENSION: (updated, added rebalancing potential flows).

Bloomberg Bonds (projected):

• US Tsys: +0.12yr (decent, large)
• EU Govies: +0.04yr (small)
• UK Govies: 0.00yr (non event)

MS Bonds:

• US Tsys; +0.11yr (decent)
• EU Govies: +0.06yr (small)

They see the largest extension of 0.078y in the 1-5y sector and, country-wise, we expect Italy to extend the most at 0.143y, followed by Germany at 0.121y.

• UK Govies: -0.01yr (non event).

• Morgan Stanley Month-End Model Signals Point To USD Weakness.
• MS note that local equity markets strengthened across the board recently, which suggests that the USD should weaken against most currencies in the G10 in the final week of the month.

Citi FX:

• Citi's prelim month-end rebalancing model points toward EUR buying and JPY selling this month, while the signal for USD gives no clear direction.
• GBP, Citi note that Gilts have performed worst across August, as such GBP is a buy into month end, but the better than average performance of UK equities dampens the signal.

Citi Equity:

• Their rebalancing model signal sell of equities and buy bonds.
• Rebalancing need is dominated by the suggested need to sell US equities and buy US bonds.
• Rebalancing flows are estimated to lead to net outflows from USD.