📝CTAs Reduce Positions In Risk Sensitive Currencies: UBS Strategy

CTA positioning signals are favoring quality such as EUR and CHF against the dollar (both remain 100% long). Risk sensitive currencies such as AUD, NZD, and CAD have seen large reductions in positioning from CTAs. AUD signals now screen net short 34% (front net long 17% Thursday), NZD now screens net short 50% (from net short 42% Thursday). CAD net long positioning from CTAs have gone flat after being net long for only one week. JPY positioning has turned further bearish as well after Bank of Japan Govemor Kazuo Ueda has stemmed speculation surrounding a policy change at Friday's meeting (net short 17% from net short 8%Thursday.

CTAs continue to favor IDR (net long 75%) in Asia while turning away from the rest of the complex. THB remains net long 8% (unchanged). CTA signals have made large reductions in CNH, TWD, and KRW positioning targets. CNH now lies net short 25% (from net long 8%), TWD net short 8% (from net long 8%), and KRW net short 75% (from net short 59%).

As clients and CTAs alike continue to prefer high carry EMFX, CEEMEA positioning signals remain strong. The largest move in the region Is from ZAR, where CTA positioning signals have reduced their net short target positioning from net short 67% to net short 50% today. The rest of the region is still strongly positioned with levels at: HUF (+92%), CZK (+92%), and PLN (+92%).

CTA positioning targets are unchanged from last week and remain strong. MXN +83% and BRL +75% as the carry trade theme persists into Latin America.

- UBS Strategy