Barclays Capital’s month-end rebalancing model generates a small amount of USD selling.
“There was significant intra-month volatility in December, but a solid run of US economic data and a broad-based USD rally resulted in the relative outperformance of US assets in USD terms,” Barclays clarifies.
“Our model suggests USD selling into the month-end, although the signal is rather weak except for EURUSD,” Barclays adds.
Similarly, Citi’s month-end fixing model generates a small amount of USD selling with the exception of USD/JPY.
“The model points to weak USD selling against all other G10 except JPY, as US equities have outperformed, especially against European equities. Strength of signal is low as the relative performance of bonds goes the other way, with international investors in US bonds in need of smaller hedges as US bonds lost 0.29% month to date,” Citi clarifies.
“The economic data calendar is very light and there will be few central bank speeches or actions. In a context of illiquid year-end markets, rebalancing flows may have a larger impact,” Citi adds.
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