Month-end rebalancing flows point to moderate USD selling - Citi

What's the FX trade

There has been lots of talk about large flows into bonds and out of equities on quarter end but much less about FX.

Citi's updated estimate of this month-end fixing model point to moderate USD selling into tomorrow's fix.

"The signal has changed to a moderate USD sell. The strength of this month's signal is below the historical norm, measuring 0.4 standard deviations on average," Citi notes.

"The discrepancy between the JPY sell and buy-signals for other currencies suggests that EURJPY, GBPJPY and other JPY crosses may also move higher ahead of this month-end," Citi adds.

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