Morgan Stanley Fixed-Global Macro Strategy Positions and Flows Report-109812623
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MORGAN STANLEY RESEARCH
August 12, 2024
Interest Rate Strategy
Positions and Flows Report
Weekly Market Positioning Data
CFTC Non-Commercial Futures Positions (P.2)
TIC Data Foreign Flows (P.16)
(Updated for the week ending August 06, 2024, par amounts) (Updated for May, par amounts)
Weekly Change:
Total front end: $0.0bn
ED:$5.4bn TU:-$0.1bn FV:-$1.6bn
Total back end: -$12.3bn
TY :-$3.8bn UXY:-$14.8bn US:-$2.0bn WN:$4.5bn
Traders in Financial Futures (P.4)
(Updated for the week ending August 06, 2024, par amounts)
PFR Primer P.18
Asset Managers:
Update : Put on $5.5bn of a steepener position.Increased their
net longs (% of OI) to the highest level in last six months in UXY
contracts.
Chart of the Week:
Leveraged Funds:
Update : Put on $14.2bn of a steepener position.Increased their
net shorts (% of OI) to the highest level in six months in TY
contracts.
Dealers:
Update : Put on -$6.8bn of a flattener position.Increased their
net shorts (% of OI) to the highest level in last six months in
UXY contracts.
Other Reportables:
Update : Put on -$6.3bn of a flattener position.Increased their
net longs (% of OI) to the highest level in the last six months in
SOFR contracts.
Primary Dealer Positions (P.12)
(Updated for week ending July 31, 2024, par amounts)
Weekly Change:
<6y: +$4.8bn
6-11y: -$2.0bn
>11y: +$0.9bn
Source: Morgan Stanley Research, CFTC
Agencies: -$0.4bn
MBS: -$1.7bn
Corp: +$1.4bn
TIPS: +$1.7bn
Large Commercial Bank Positions (P.14)
(Updated for week ending July 31, 2024, par amounts)
Weekly change:
Deposits: +$149.1bn
UST/Agency: -$3.6bn
MBS: +$5.9bn C&I Loans: +$11.3bn
Cash Assets: +$8.9bn
Foreign Central Bank (FCB) Positions (P.15)
(Updated for week ending August 07, 2024, par amounts)
UST holdings increased by $11.9bn;
Agency/MBS holdings increased by $0.1bn
Update: Asset Managers increased their net longs (% of OI) to the
highest level in last six months in UXY contracts.
May saw net outflows in the Equities, led by private investors.China
(+$23.9 bn) and Japan (+$5.8 bn) were the top Treasury buyers in
May. United Kingdom (-$15.2 bn) and Canada (-$7.8 bn) were the top
Treasury sellers.
North
America
a
America
North
Morgan Stanley & Co. LLC
Eli Carter
Strategist
Eli.Carter@morganstanley.com
+1 212 761-4703
For important disclosures, refer to the Disclosures Section,
located at the end of this report.
August 12, 2024 11:28 AM GMT
US Interest Rates Strategy - Research
August 12, 2024
Positions and Flows Report
Updated for the week ending August 06, 2024
Steepener / Flattener Futures Risk vs. 2s10s (LT)
Steepener / Flattener Futures Risk vs. 2s10s (ST)
Source: Morgan Stanley Research, CFTC Source: Morgan Stanley Research, CFTC
Front-End Futures Risk vs. UST 2y - 3M Bills (LT)
Front-End Futures Risk vs. UST 2y (ST)
Source: Morgan Stanley Research, CFTC Source: Morgan Stanley Research, CFTC
Back-End Futures Risk vs. UST 10y - 3M Bills (LT)
Back-End Futures Risk vs. UST 10y (ST)
Source: Morgan Stanley Research, CFTC Source: Morgan Stanley Research, CFTC
Update: Non-commercials removed $0.0bn 10y equiv. in the front end, and removed another
$12.3bn 10y equiv. in the back end, putting on $12.3bn of a steepener position.
CFTC Non-Commercial Futures Positions
-150
-100
-50
0
50
100
150
200
-120
-100
-80
-60
-40
-20
0
20
40
60
2018 2019 2019 2020 2020 2021 2022 2022 2023 2023 2024
Steepener Futures Positioning Risk (10y equivalents $bn)
Front-end - Back-end Risk: -$98.5bn; weekly change: $12.3bn Last 2s10s (RHS)
2s10s (bp)
-120
-100
-80
-60
-40
-20
0
-120
-100
-80
-60
-40
-20
0
20
40
60
Aug22 Nov22 Feb23 May23 Aug23 Nov23 Feb24 May24 Aug24
Steepener Futures Positioning Risk (10y equivalents $bn)
Front-end - Back-end Risk: -$98.5bn; weekly change: $12.3bn Last 2s10s (RHS)
2s10s (bp)
-200
-150
-100
-50
0
50
100
150
200
250-250
-200
-150
-100
-50
0
50
2018 2019 2019 2020 2020 2021 2022 2022 2023 2023 2024
Front-end Futures Positioning Risk (10y equivalents $bn)
Front-end Risk: -$195.8bn; weekly change: $0.0bn Last UST 2y less 3M Bills (RHS)
UST 2y less 3M Bills (bp)
0.00
1.00
2.00
3.00
4.00
5.00
6.00-250
-200
-150
-100
-50
0
Aug22 Nov22 Feb23 May23 Aug23 Nov23 Feb24 May24 Aug24
Front-end Futures Positioning Risk (10y equivalents $bn)
Front-end Risk: -$195.8bn; weekly change: $0.0bn Last UST 2y (RHS)
UST 2y (%)
-250
-200
-150
-100
-50
0
50
100
150
200
250-160
-140
-120
-100
-80
-60
-40
-20
0
20
40
2018 2019 2019 2020 2020 2021 2022 2022 2023 2023 2024
Back-end Futures Positioning Risk (10y equivalents $bn)
Back-end Risk: -$97.3bn; weekly change: -$12.3bn Last UST 10y less 3M Bills (RHS)
UST 10y less 3M Bills (bp)
0.40
0.90
1.40
1.90
2.40
2.90
3.40
3.90
4.40
4.90
5.40-160
-140
-120
-100
-80
-60
-40
-20
0
Aug22 Nov22 Feb23 May23 Aug23 Nov23 Feb24 May24 Aug24
Back-end Futures Positioning Risk (10y equivalents $bn)
Back-end Risk: -$97.3bn; weekly change: -$12.3bn Last UST 10y (RHS)
UST 10y (%)
US Interest Rates Strategy - Research
August 12, 2024
Positions and Flows Report
Updated for the week ending August 06, 2024
Total
TY Futures Risk vs. UST 10y (Short Term)
Contract Contracts 06-Aug 30-Jul 23-Jul
(3.4)
179.7
66.8
278.6
(1,105.2)
(1.5)
37.7
43.6
(1,688.1)
(32.0)
(132.8)
52.9
(776.2)
(47.7)
(86.5)
(4.4)
(164.4)
(53.4)
4.4
11.1
(57.9)
(11.9)
18.2
(17.0)
(376.7)
40.4
(5.8)
8.2
* No of contracts in '000s
Source: Morgan Stanley Research, CFTC Source: Morgan Stanley Research, CFTC
ED Futures Risk vs. UST 1y1y (Short Term)
UXY Futures Risk vs. UST 10y (Short Term)
Source: Morgan Stanley Research, CFTC Source: Morgan Stanley Research, CFTC
TU Futures Risk vs. UST 2y (Short Term)
US Futures Risk vs. UST 20y (Short Term)
Source: Morgan Stanley Research, CFTC Source: Morgan Stanley Research, CFTC
FV Futures Risk vs. UST 5y (Short Term)
WN Futures Risk vs. UST 30y (Short Term)
Source: Morgan Stanley Research, CFTC Source: Morgan Stanley Research, CFTC
UXY
US
WN
Net Position Change
Update: Break-up of front end positions : SOFR (+$5.4bn), TU (-$0.1bn) and FV (-$1.6bn); break-up
of back end positions: TY (-$3.8bn), UXY (-$14.8bn), US (-$2.0bn), WN (+$4.5bn).
CFTC Non-Commercial Futures Positions
SOFR
TU
FV
TY
0.0
1.0
2.0
3.0
4.0
5.0
6.0-40
-30
-20
-10
0
10
20
30
Aug22 Nov22 Feb23 May23 Aug23 Nov23 Feb24 May24 Aug24
SOFR Futures Positioning Risk (10y equivalents $bn)
SOFR Risk: -$0.1bn; weekly change: $5.4bn UST 1y1y
1y1y CMT Rate (%)
0.0
1.0
2.0
3.0
4.0
5.0
6.0-70
-60
-50
-40
-30
-20
-10
0
Aug22 Nov22 Feb23 May23 Aug23 Nov23 Feb24 May24 Aug24
TU Futures Positioning Risk (10y equivalents $bn)
TU Risk: -$48.4bn; weekly change: -$0.1bn UST 2y (RHS)
UST 2y (%)
0.0
1.0
2.0
3.0
4.0
5.0
6.0-100
-90
-80
-70
-60
-50
-40
-30
-20
-10
0
Aug22 Nov22 Feb23 May23 Aug23 Nov23 Feb24 May24 Aug24
FV Futures Positioning Risk (10y equivalents $bn)
FV Risk: -$86.3bn; weekly change: -$1.6bn UST 5y (RHS)
UST 5y (%)
0.4
1.4
2.4
3.4
4.4
5.4-80
-70
-60
-50
-40
-30
-20
-10
0
Aug22 Nov22 Feb23 May23 Aug23 Nov23 Feb24 May24 Aug24
TY Futures Positioning Risk (10y equivalents $bn)
TY Risk: -$61.0bn; weekly change: -$3.8bn UST 10y (RHS)
UST 10y (%)
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0-40
-35
-30
-25
-20
-15
-10
-5
0
5
10
Aug22 Nov22 Feb23 May23 Aug23 Nov23 Feb24 May24 Aug24
US Futures Positioning Risk (10y equivalents $bn)
US Risk: -$9.7bn; weekly change: -$2.0bn UST 20y (RHS)
UST 20y (%)
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5-60
-50
-40
-30
-20
-10
0
Aug22 Nov22 Feb23 May23 Aug23 Nov23 Feb24 May24 Aug24
UL Futures Positioning Risk (10y equivalents $bn)
WN Risk: -$42.0bn; weekly change: $4.5bn UST 30y (RHS)
UST 30y (%)
0.4
0.9
1.4
1.9
2.4
2.9
3.4
3.9
4.4
4.9
5.4-90
-80
-70
-60
-50
-40
-30
-20
-10
0
Aug22 Nov22 Feb23 May23 Aug23 Nov23 Feb24 May24 Aug24
TN Futures Positioning Risk (10y equivalents $bn)
UXY Risk: -$45.7bn; weekly change: -$14.8bn UST 10y (RHS)
UST 10y (%)
摘要：
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MORGANSTANLEYRESEARCHAugust12,2024InterestRateStrategyPositionsandFlowsReportWeeklyMarketPositioningDataCFTCNon-CommercialFuturesPositions(P.2)TICDataForeignFlows(P.16)(UpdatedfortheweekendingAugust06,2024,paramounts)(UpdatedforMay,paramounts)WeeklyChange:Totalfrontend:$0.0bnED:$5.4bnTU:-$0.1bnFV:-$...
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