Morgan Stanley Fixed-Global Macro Strategy Positions and Flows Report-110176216

MORGAN STANLEY RESEARCHSeptember 4, 2024Interest Rate StrategyPositions and Flows ReportWeekly Market Positioning DataCFTC Non-Commercial Futures Positions (P.2)TIC Data Foreign Flows (P.16)(Updated for the week ending August 27, 2024, par amounts)(Updated for June, par amounts)Weekly Change:Total front end: $24.2bnED:$3.8bn TU:$6.0bn FV:$4.3bnTotal back end: $17.3bnTY :$10.1bn UXY:$7.7bn US:$3.3bn WN:$6.3bnTraders in Financial Futures (P.4)(Updated for the week ending August 27, 2024, par amounts)PFR Primer P.18Asset Managers:Update : Put on $33.7bn of a steepener position.Decreased their net longs (% of OI) to the lowest level in last six months in UXY contracts.Chart of the Week:Leveraged Funds:Update : Put on -$38.3bn of a flattener position.Decreased their net shorts (% of OI) to the lowest level in last six months in UXY contracts.Dealers:Update : Put on -$3.7bn 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 $11.8bn of a steepener position.Increased their net shorts (% of OI) to the highest level in the last six months in WN contracts.Primary Dealer Positions (P.12)(Updated for week ending August 21, 2024, par amounts)Weekly Change: <6y: +$4.0bn 6-11y: +$3.1bn >11y: -$1.2bn Source: Morgan Stanley Research, CFTC Agencies: -$1.7bn MBS: +$7.2bn Corp: -$3.4bn TIPS: +$0.2bnLarge Commercial Bank Positions (P.14)(Updated for week ending August 21, 2024, par amounts)Weekly change: Deposits: -$85.7bn UST/Agency: -$8.6bn MBS: +$11.5bn C&I Loans: +$4.8bn Cash Assets: -$63.0bnForeign Central Bank (FCB) Positions (P.15)(Updated for week ending August 28, 2024, par amounts)UST holdings increased by $3.3bn; Agency/MBS holdings decreased by $1.1bnLeverage funds decreased their net shorts (% of OI) to the lowest level in last six months in UXY 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 Americaa AmericaNorth Morgan Stanley & Co. LLCEli CarterStrategistEli.Carter@morganstanley.com+1 212 761-4703For important disclosures, refer to the Disclosures Section, located at the end of this report.September 4, 2024 11:39 AM GMTUS Interest Rates Strategy - ResearchSeptember 04, 2024Positions and Flows ReportUpdated for the week ending August 27, 2024Steepener / Flattener Futures Risk vs. 2s10s (LT)Steepener / Flattener Futures Risk vs. 2s10s (ST)Source: Morgan Stanley Research, CFTCSource: Morgan Stanley Research, CFTCFront-End Futures Risk vs. UST 2y - 3M Bills (LT)Front-End Futures Risk vs. UST 2y (ST)Source: Morgan Stanley Research, CFTCSource: Morgan Stanley Research, CFTCBack-End Futures Risk vs. UST 10y - 3M Bills (LT)Back-End Futures Risk