Morgan Stanley Fixed-Global Macro Strategy Positions and Flows Report-110250426

MORGAN STANLEY RESEARCHSeptember 9, 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 September 03, 2024, par amounts)(Updated for June, par amounts)Weekly Change:Total front end: -$6.4bnED:$2.0bn TU:$2.3bn FV:-$3.4bnTotal back end: $6.7bnTY :-$7.3bn UXY:$6.5bn US:-$3.2bn WN:$3.4bnTraders in Financial Futures (P.4)(Updated for the week ending September 03, 2024, par amounts)PFR Primer P.18Asset Managers:Update : Put on $0.2bn of a steepener position.Invreased 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 $2.0bn of a steepener position.Decreased their net shorts (% of OI) to the lowest level in last six months in UXY contracts.Dealers:Update : Put on -$3.9bn 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 $7.8bn 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 28, 2024, par amounts)Weekly Change: <6y: +$0.5bn 6-11y: -$6.1bn >11y: +$1.7bn Source: Morgan Stanley Research, CFTC Agencies: +$0.2bn MBS: -$5.8bn Corp: -$4.6bn TIPS: -$0.4bnLarge Commercial Bank Positions (P.14)(Updated for week ending August 28, 2024, par amounts)Weekly change: Deposits: +$46.1bn UST/Agency: +$4.5bn MBS: +$3.0bn C&I Loans: -$2.4bn Cash Assets: +$24.4bnForeign Central Bank (FCB) Positions (P.15)(Updated for week ending September 04, 2024, par amounts)UST holdings increased by $8.3bn; Agency/MBS holdings decreased by $0.1bnLeverage 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 9, 2024 11:32 AM GMTUS Interest Rates Strategy - ResearchSeptember 09, 2024Positions and Flows ReportUpdated for the week ending September 03, 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 vs. US