MORGAN STANLEY RESEARCHJanuary 23, 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 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 16, 2024, par amounts)Asset Managers:Update : Put on $11.8bn of a steepener position.Decreased their net longs (% of OI) to the lowest level in last six months in TN contracts.Leveraged Funds:Update : Put on -$0.7bn of a flattener position.Decreased their net shorts (% of OI) to the lowest level in six months in TN contracts.Dealers:Update : Put on -$14.0bn of a flattener position.Increased their net shorts (% of OI) to the highest level in last six months in TU contracts.Other Reportables:Update : Put on $0.8bn 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 10, 2024, par amounts)Weekly Change: <6y: +$1.2bn 6-11y: +$2.6bn >11y: +$0.4bnSource: Morgan Stanley Research, CFTC Agencies: -$0.3bn MBS: -$1.1bn Corp: +$0.6bn TIPS: -$0.3bnLarge Commercial Bank Positions (P.14)(Updated for week ending January 10, 2024, par amounts)Weekly change: Deposits: -$87.3bn UST/Agency: -$19.0bn MBS: +$2.9bn C&I Loans: -$5.5bn Cash Assets: +$2.1bnForeign Central Bank (FCB) Positions (P.15)(Updated for week ending January 17, 2024, par amounts)UST holdings decreased by $4.5bn; Agency/MBS holdings decreased by $0.0bn(Updated for November, par amounts)November saw net inflows in the long term US Treasuries, led by private investors. China (+$15.0 bn) and Norway (+$10.1 bn) were the top Treasury buyers in November. Canada (-$30.4 bn) and France (-$23.4 bn) were the top Treasury sellers.PFR Primer P.18Chart of the Week:Levergaed Funds decreased their net shorts (% of OI) to the lowest level in six months in TN contracts.North Americaa AmericaNorth Morgan Stanley & Co. LLCFrancesco GrechiStrategistFrancesco.Grechi@morganstanley.com+1 212 761-1005For important disclosures, refer to the Disclosures Section, January 23, 2024 11:31 AM GMTUS Interest Rates Strategy - ResearchJanuary 23, 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 Stanley Re...
