Morgan Stanley Fixed-Global Macro Strategy Positions and Flows Report-109940922
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MORGAN STANLEY RESEARCH
August 20, 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 13, 2024, par amounts) (Updated for June, par amounts)
Weekly Change:
Total front end: -$3.1bn
ED:$3.9bn TU:$0.0bn FV:-$0.4bn
Total back end: $12.1bn
TY :-$6.6bn UXY:$3.6bn US:$5.3bn WN:$3.1bn
Traders in Financial Futures (P.4)
(Updated for the week ending August 13, 2024, par amounts)
PFR Primer P.18
Asset Managers:
Update : Put on $3.6bn 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 $11.1bn of a steepener position.Increased their
net shorts (% of OI) to the highest level in six months in TY
contracts.
Dealers:
Update : Put on -$2.6bn 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 -$8.9bn of a flattener position.Increased their
net longs (% of OI) to the highest level in the last six months in
TY contracts.
Primary Dealer Positions (P.12)
(Updated for week ending August 07, 2024, par amounts)
Weekly Change:
<6y: +$5.8bn
6-11y: +$7.5bn
>11y: +$5.0bn
Source: Morgan Stanley Research, CFTC
Agencies: +$1.5bn
MBS: +$4.6bn
Corp: -$2.6bn
TIPS: +$2.3bn
Large Commercial Bank Positions (P.14)
(Updated for week ending August 07, 2024, par amounts)
Weekly change:
Deposits: -$81.8bn
UST/Agency: +$13.3bn
MBS: -$1.2bn C&I Loans: -$4.4bn
Cash Assets: +$7.8bn
Foreign Central Bank (FCB) Positions (P.15)
(Updated for week ending August 14, 2024, par amounts)
UST holdings decreased by $16.9bn;
Agency/MBS holdings decreased by $0.4bn
Leverage funds increased their net shorts (% of OI) to the highest level
in six months in TY contracts.
June saw net inflows in the Equities, led by private investors.Japan
(+$30.1 bn) and Caribbean (+$7.9 bn) were the top Treasury buyers in
June. Canada (-$19.1 bn) and France (-$18.5 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 20, 2024 12:38 PM GMT
US Interest Rates Strategy - Research
August 20, 2024
Positions and Flows Report
Updated for the week ending August 13, 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 $3.1bn 10y equiv. in the front end, and added $12.1bn 10y
equiv. in the back end, putting on $15.1bn of a flattener position.
CFTC Non-Commercial Futures Positions
-150
-100
-50
0
50
100
150
200
-140
-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: -$112.9bn; weekly change: -$15.1bn Last 2s10s (RHS)
2s10s (bp)
-120
-100
-80
-60
-40
-20
0
-140
-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: -$112.9bn; weekly change: -$15.1bn 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: -$199.2bn; weekly change: -$3.1bn 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: -$199.2bn; weekly change: -$3.1bn 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: -$86.2bn; weekly change: $12.1bn 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: -$86.2bn; weekly change: $12.1bn Last UST 10y (RHS)
UST 10y (%)
US Interest Rates Strategy - Research
August 20, 2024
Positions and Flows Report
Updated for the week ending August 13, 2024
Total
TY Futures Risk vs. UST 10y (Short Term)
Contract Contracts 13-Aug 06-Aug 30-Jul
123.9
127.3
179.7
66.8
(1,104.6)
0.6
(1.5)
37.7
(1,695.1)
(7.0)
(32.0)
(132.8)
(860.2)
(84.0)
(47.7)
(86.5)
(151.5)
12.9
(53.4)
4.4
(26.3)
31.5
(11.9)
18.2
(349.1)
27.5
40.4
(5.8)
* 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
CFTC Non-Commercial Futures Positions
SOFR
TU
FV
TY
UXY
US
WN
Net Position Change
Update: Break-up of front end positions : SOFR (+$3.9bn), TU (+$0.0bn) and FV (-$0.4bn); break-
up of back end positions: TY (-$6.6bn), UXY (+$3.6bn), US (+$5.3bn), WN (+$3.1bn).
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: $3.8bn; weekly change: $3.9bn 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: -$48.8bn; weekly change: $0.0bn 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: -$86.5bn; weekly change: -$0.4bn 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: -$67.7bn; weekly change: -$6.6bn 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
5.5-50
-40
-30
-20
-10
0
10
Aug22 Nov22 Feb23 May23 Aug23 Nov23 Feb24 May24 Aug24
US Futures Positioning Risk (10y equivalents $bn)
US Risk: -$4.5bn; weekly change: $5.3bn 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: -$39.1bn; weekly change: $3.1bn 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: -$42.7bn; weekly change: $3.6bn UST 10y (RHS)
UST 10y (%)
摘要：
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MORGANSTANLEYRESEARCHAugust20,2024InterestRateStrategyPositionsandFlowsReportWeeklyMarketPositioningDataCFTCNon-CommercialFuturesPositions(P.2)TICDataForeignFlows(P.16)(UpdatedfortheweekendingAugust13,2024,paramounts)(UpdatedforJune,paramounts)WeeklyChange:Totalfrontend:-$3.1bnED:$3.9bnTU:$0.0bnFV:-...
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