MORGAN STANLEY RESEARCHFebruary 12, 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)(Updated for November, 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 February 06, 2024, par amounts)PFR Primer P.18Asset Managers:Update : Put on $10.5bn of a steepener position.Increased their net shorts (% of OI) to the highest level in last six months in SOFR contracts.Chart of the Week:Leveraged Funds:Update : Put on -$13.6bn of a flattener position.Increased their net shorts (% of OI) to the highest level in three months in UL contracts.Dealers:Update : Put on $12.8bn of a steepener position.Increased their net longs (% of OI) for the first time in last six months in SOFR contracts.Other Reportables:Update : Put on -$6.2bn of a flattener position.Increased their net longs (% of OI) to the highest level in six months in TY contracts.Primary Dealer Positions (P.12)(Updated for week ending January 31, 2024, par amounts)Weekly Change: <6y: +$4.5bn 6-11y: -$3.0bn >11y: -$3.9bnSource: Morgan Stanley Research, CFTC Agencies: -$0.8bn MBS: +$2.0bn Corp: +$0.2bn TIPS: +$1.3bnLarge Commercial Bank Positions (P.14)(Updated for week ending January 31, 2024, par amounts)Weekly change: Deposits: +$103.6bn UST/Agency: -$10.9bn MBS: +$5.0bn C&I Loans: +$14.6bn Cash Assets: +$33.9bnForeign Central Bank (FCB) Positions (P.15)(Updated for week ending February 07, 2024, par amounts)UST holdings increased by $16.0bn; Agency/MBS holdings decreased by $0.0bnAsset Managers incresed their net shorts (% of OI) to the highest level in last six months in SOFR contracts.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.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.February 12, 2024 01:27 PM GMTUS Interest Rates Strategy - ResearchFebruary 12, 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: Mo...
