BUZZ-COMMENT-Month-end FX rebalancing signals from bank models

Reuters11-26

Nov 26 (Reuters) - Banks are starting to release their model driven month-end FX hedge rebalancing expectations and Deutsche Bank is signalling the potential for USD supply.

The bank noted that post-election moves in US assets have generated some sizable rebalancing signals on the relative equity performance, with EURUSD demand and USDSEK and USDCHF supply the largest signals within their model.

Deutsche Bank has consistently flagged the lack of USD demand so far from the US corporate base toward month-end. If this USD demand comes to the market when coinciding with the equity rebalancing flows, then we may well see a fairly muted month end, in their opinion.

Reviewing the seasonality in November, Deutsche also sees a relatively consistent theme across G10 of USD supply on the first day of December (averaging around 0.3%). The pre-month-end seasonality in the G10 space is less clear but there is some USDNOK demand T-2 and USDJPY supply T-2, which stand out.

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(Richard Pace is a Reuters market analyst. The views expressed are his own)

((Richard.Pace@thomsonreuters.com))

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