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Prelim Month-end Rebalancing

FOREX

Citi's prelim month-end FX rebalancing model point to net USD sales on 31st

July.

Strong performance of US assets points toward foreign investors being under-

hedged, leaving a net USD sales signal to increase hedges. They write that this

month the USD sell-signal is slightly above average.

For specific pairs, the firm trade in EUR assets means EUR/USD is the only

prelim signal to fall short of 1 standard deviation, while the signal for

USD/JPY is the firmest.

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