Morgan Stanley Fixed-Global Macro Strategy Positions and Flows Report-110030260
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MORGAN STANLEY RESEARCH
August 27, 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 20, 2024, par amounts) (Updated for June, par amounts)
Weekly Change:
Total front end: -$20.6bn
ED:-$2.4bn TU:-$2.1bn FV:-$2.1bn
Total back end: $5.6bn
TY :-$14.0bn UXY:$4.2bn US:-$1.2bn WN:$2.6bn
Traders in Financial Futures (P.4)
(Updated for the week ending August 20, 2024, par amounts)
PFR Primer P.18
Asset Managers:
Update : Put on $8.8bn of a steepener position.Increased their
net longs (% of OI) to the highest level in last six months in FV
contracts.
Chart of the Week:
Leveraged Funds:
Update : Put on $9.0bn of a steepener position.Increased their
net shorts (% of OI) to the highest level in six months in TY
contracts.
Dealers:
Update : Put on -$19.6bn of a flattener position.Decreased their
net shorts (% of OI) to the lowest level in last six months in TY
contracts.
Other Reportables:
Update : Put on -$3.2bn 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 14, 2024, par amounts)
Weekly Change:
<6y: -$16.1bn
6-11y: -$2.5bn
>11y: -$3.0bn
Source: Morgan Stanley Research, CFTC
Agencies: -$0.8bn
MBS: -$1.0bn
Corp: +$2.3bn
TIPS: -$1.4bn
Large Commercial Bank Positions (P.14)
(Updated for week ending August 14, 2024, par amounts)
Weekly change:
Deposits: +$45.7bn
UST/Agency: +$18.0bn
MBS: +$16.4bn C&I Loans: -$4.6bn
Cash Assets: +$6.3bn
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 27, 2024 10:58 AM GMT
US Interest Rates Strategy - Research
August 27, 2024
Positions and Flows Report
Updated for the week ending August 20, 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 $20.6bn 10y equiv. in the front end, and added $5.6bn 10y
equiv. in the back end, putting on $26.2bn of a flattener position.
CFTC Non-Commercial Futures Positions
-150
-100
-50
0
50
100
150
200
-150
-100
-50
0
50
100
2018 2019 2019 2020 2020 2021 2022 2022 2023 2023 2024
Steepener Futures Positioning Risk (10y equivalents $bn)
Front-end - Back-end Risk: -$138.3bn; weekly change: -$26.2bn Last 2s10s (RHS)
2s10s (bp)
-120
-100
-80
-60
-40
-20
0
-150
-100
-50
0
50
100
Aug22 Nov22 Feb23 May23 Aug23 Nov23 Feb24 May24 Aug24
Steepener Futures Positioning Risk (10y equivalents $bn)
Front-end - Back-end Risk: -$138.3bn; weekly change: -$26.2bn 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: -$219.0bn; weekly change: -$20.6bn 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: -$219.0bn; weekly change: -$20.6bn 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: -$80.8bn; weekly change: $5.6bn 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: -$80.8bn; weekly change: $5.6bn Last UST 10y (RHS)
UST 10y (%)
US Interest Rates Strategy - Research
August 27, 2024
Positions and Flows Report
Updated for the week ending August 20, 2024
Total
TY Futures Risk vs. UST 10y (Short Term)
Contract Contracts 20-Aug 13-Aug 06-Aug
46.1
(77.8)
127.3
179.7
(1,152.6)
(48.0)
0.6
(1.5)
(1,736.8)
(41.7)
(7.0)
(32.0)
(1,038.1)
(177.9)
(84.0)
(47.7)
(136.7)
14.8
12.9
(53.4)
(33.5)
(7.2)
31.5
(11.9)
(325.6)
23.5
27.5
40.4
* 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 (-$2.4bn), TU (-$2.1bn) and FV (-$2.1bn); break-up
of back end positions: TY (-$14.0bn), UXY (+$4.2bn), US (-$1.2bn), WN (+$2.6bn).
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: $1.4bn; weekly change: -$2.4bn 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: -$50.4bn; weekly change: -$2.1bn 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: -$88.4bn; weekly change: -$2.1bn UST 5y (RHS)
UST 5y (%)
0.4
1.4
2.4
3.4
4.4
5.4-90
-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: -$81.7bn; weekly change: -$14.0bn 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: -$5.7bn; weekly change: -$1.2bn 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: -$36.5bn; weekly change: $2.6bn 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: -$38.6bn; weekly change: $4.2bn UST 10y (RHS)
UST 10y (%)
摘要：
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MORGANSTANLEYRESEARCHAugust27,2024InterestRateStrategyPositionsandFlowsReportWeeklyMarketPositioningDataCFTCNon-CommercialFuturesPositions(P.2)TICDataForeignFlows(P.16)(UpdatedfortheweekendingAugust20,2024,paramounts)(UpdatedforJune,paramounts)WeeklyChange:Totalfrontend:-$20.6bnED:-$2.4bnTU:-$2.1bnF...
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