Morgan Stanley Fixed-Global Macro Strategy Positions and Flows Report-110451037

MORGAN STANLEY RESEARCHSeptember 24, 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 17, 2024, par amounts)(Updated for July, par amounts)Weekly Change:Total front end: $4.5bnED:$4.6bn TU:-$0.9bn FV:$6.7bnTotal back end: -$6.6bnTY :-$5.8bn UXY:$2.7bn US:-$7.6bn WN:-$1.7bnTraders in Financial Futures (P.4)(Updated for the week ending September 17, 2024, par amounts)PFR Primer P.18Asset Managers:Update : Put on -$16.0bn of a flattener position.Increased their net longs (% of OI) to the highest level in last six months in SOFR contracts.Chart of the Week:Leveraged Funds:Update : Put on $31.5bn of a steepener position.Increased their net shorts (% of OI) to the highest level in last six months in US contracts.Dealers:Update : Put on -$3.1bn 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 -$2.5bn of a flattener position.Increased their net longs (% of OI) to the highest level in the last six months in US contracts.Primary Dealer Positions (P.12)(Updated for week ending September 11, 2024, par amounts)Weekly Change: <6y: +$0.5bn 6-11y: +$2.5bn >11y: +$1.9bn Source: Morgan Stanley Research, CFTC Agencies: +$1.8bn MBS: -$5.5bn Corp: +$0.6bn TIPS: -$1.3bnLarge Commercial Bank Positions (P.14)(Updated for week ending September 11, 2024, par amounts)Weekly change: Deposits: -$32.3bn UST/Agency: +$8.7bn MBS: -$7.7bn C&I Loans: -$2.6bn Cash Assets: -$0.5bnForeign Central Bank (FCB) Positions (P.15)(Updated for week ending September 18, 2024, par amounts)UST holdings increased by $0.6bn; Agency/MBS holdings increased by $0.4bnAsset Managers increased their net longs (% of OI) to the highest level in last six months in SOFR contracts.July saw net inflows in the Treasuries, led by private investors.China (+$23.1 bn) and Japan (+$15.2 bn) were the top Treasury buyers in July. Total,Caribbean (-$53.3 bn) and Australia (-$9.8 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 24, 2024 10:33 AM GMTUS Interest Rates Strategy - ResearchSeptember 24, 2024Positions and Flows ReportUpdated for the week ending September 17, 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)Bac