Citibank: month-end fixing model suggests buying EUR & USD

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From Citi: 

“The preliminary month-end FX hedge rebalancing estimate points to buying of EUR and selling of all other currencies vs USD on Thursday, 31 December.
The signal to buy EUR is strongest, measuring around +0.5 historical standard deviations. Euro area equities and bonds never fully recovered from the ECB surprise at the start of the month, meaning that foreign investors in euro area assets will need to buy EUR to move their FX hedges back on target.
Relatively better performance of US, Japanese and UK assets reduces euro area investors’ rebalancing needs and leaves this month’s estimated EUR flows skewed towards buying by foreign investors. For the second month running there is no strong overall USD signal – stable US bond and equity indices have failed to create significant tracking error in FX hedges”

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