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Morgan Stanley Fixed-Global Macro Strategy Positions and Flows Report-110030260
摩根士丹利·2024-09-10 02:40

Investment Rating - The report does not explicitly provide an investment rating for the industry Core Insights - The report highlights significant changes in futures positions among various market participants, indicating a shift towards flattener positions in the back end and steepener positions in the front end [5][22][19] - There were notable inflows in equities, particularly from private investors, with Japan and the Caribbean being the top Treasury buyers in June [1] - Large commercial banks saw an increase in deposits and cash assets, while their holdings in UST/Agency and MBS also rose [42] Summary by Sections CFTC Non-Commercial Futures Positions - Non-commercials removed 20.6billioninthefrontendandadded20.6 billion in the front end and added 5.6 billion in the back end, resulting in a total of 26.2billionofaflattenerposition[5][9]−Thebreakdownoffront−endpositionsincludedSOFR(−26.2 billion of a flattener position [5][9] - The breakdown of front-end positions included SOFR (-2.4 billion), TU (-2.1billion),andFV(−2.1 billion), and FV (-2.1 billion) [9] Traders in Financial Futures - Asset managers put on 8.8billionofasteepenerposition,increasingtheirnetlongsinFVcontractstothehighestlevelinsixmonths[2][16]−Leveragedfundsadded8.8 billion of a steepener position, increasing their net longs in FV contracts to the highest level in six months [2][16] - Leveraged funds added 9.0 billion of a steepener position, increasing their net shorts in TY contracts to the highest level in six months [2][19] Primary Dealer Positions - Dealers added 2.7billioninthefrontendand2.7 billion in the front end and 22.3 billion in the back end, resulting in a total of 19.6billionofaflattenerposition[22][26]−DealersdecreasedtheirnetshortsinTYcontractstothelowestlevelinsixmonths[26]LargeCommercialBankPositions−Depositsincreasedby19.6 billion of a flattener position [22][26] - Dealers decreased their net shorts in TY contracts to the lowest level in six months [26] Large Commercial Bank Positions - Deposits increased by 45.7 billion, and cash assets rose by 6.3billion,withUST/Agencyholdingsincreasingby6.3 billion, with UST/Agency holdings increasing by 18.0 billion and MBS holdings by 16.4billion[42]ForeignCentralBankPositions−ForeignCentralBankUSTholdingsdecreasedby16.4 billion [42] Foreign Central Bank Positions - Foreign Central Bank UST holdings decreased by 16.9 billion, while Agency/MBS holdings decreased by $0.4 billion [47]