MORGAN STANLEY RESEARCHInterest 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 January 09, 2024, par amounts)Weekly Change:Total front end: $10.5bnED:$0.1bn TU:$0.2bn FV:$6.4bnTotal back end: $16.6bnTY :$3.7bn TN:$20.4bn US:-$2.6bn UL:-$1.2bnTraders in Financial Futures (P.4)(Updated for the week ending January 09, 2024, par amounts)Asset Managers:Update : Put on $0.6bn of a steepener position.Increased their net shorts (% of OI) to the highest level in last six months in SOFR contracts.Leveraged Funds:Update : Put on $1.2bn of a steepener position.Decreased their net shorts (% of OI) to the lowest level in six months in TN contracts.Dealers:Update : Put on -$1.3bn of a flattener position.Increased their net shorts (% of OI) to the highest level in last six months in UL contracts.Other Reportables:Update : Put on $4.5bn of a steepener position.Increased their net shorts (% of OI) to the highest level in six months in SOFR contracts.Primary Dealer Positions (P.12)(Updated for week ending January 03, 2024, par amounts)Weekly Change: <6y: +$0.2bn 6-11y: -$0.3bn >11y: +$0.2bnSource: Morgan Stanley Research, CFTC Agencies: -$1.0bn MBS: +$0.9bn Corp: +$2.3bn TIPS: -$0.7bnLarge Commercial Bank Positions (P.14)(Updated for week ending January 03, 2024, par amounts)Weekly change: Deposits: -$41.5bn UST/Agency: -$14.3bn MBS: -$1.3bn C&I Loans: -$12.6bn Cash Assets: -$30.5bnForeign Central Bank (FCB) Positions (P.15)(Updated for week ending January 10, 2024, par amounts)UST holdings decreased by $5.0bn; Agency/MBS holdings decreased by $0.1bn(Updated for October, par amounts)October saw net outflows in the US Treasuries, led by private investors. Luxemborg (+$16.9 bn) and Belgium (+$14.0 bn) were the top Treasury buyers in October. United Kingdom (-$33.8 bn) and Japan (-$26.4 bn) were the top sellers.PFR Primer P.18Chart of the Week:Asset Managers' fund positioning in SOFR futures is at its highest level over the past six months.North Americaa AmericaNorth Morgan Stanley & Co. LLCFrancesco GrechiStrategistFrancesco.Grechi@morganstanley.com+1 212 761-1005For important disclosures, refer to the Disclosures Section, located at the end of this report.January 16, 2024 01:52 PM GMTUS Interest Rates Strategy - ResearchJanuary 16, 2024Positions and Flows ReportUpdated for the week ending January 09, 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. UST 10y (ST)Source: Morgan Stanley Research, CFTCSource: Morgan Stan...
