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May6,202411:29AMGMT
May6,2024
North
America
a
America
North
InterestRateStrategy
PositionsandFlowsReport
WeeklyMarketPositioningData
CFTCNon-CommercialFuturesPositions(P.2)
(UpdatedfortheweekendingApril30,2024,paramounts)WeeklyChange:
Totalfrontend:-$12.6bn
ED:-$1.2bnTU:-$1.7bnFV:-$3.1bn
Totalbackend:-$7.2bn
TY:-$6.6bnTN:-$5.5bnUS:-$0.3bnUL:-$1.3bn
TradersinFinancialFutures(P.4)
(UpdatedfortheweekendingApril30,2024,paramounts)AssetManagers:
Update:Puton$1.2bnofasteepenerposition.Increasedtheirnetlongs(%ofOI)tothehighestlevelinlastsixmonthsinTUcontracts.
LeveragedFunds:
Update:Puton$5.5bnofasteepenerposition.Decreasedtheirnetlongs(%ofOI)tothelowestlevelinsixmonthsinSOFR
contracts.
Dealers:
Update:Puton-$1.5bnofaflattenerposition.Increasedtheirnetshorts(%ofOI)tothehighestlevelinlastsixmonthsinUL
contracts.
OtherReportables:
Update:Puton-$7.4bnofaflattenerposition.Increasedtheirnetshorts(%ofOI)tothehighestlevelinlasttwomonthsinSOFRcontracts.
PrimaryDealerPositions(P.12)
(UpdatedforweekendingApril24,2024,paramounts)
WeeklyChange:
<6y:+$2.6bn6-11y:+$1.5bn>11y:+$0.6bn
Agencies:-$0.5bnMBS:+$4.9bnCorp:-$5.9bn
TIPS:+$2.0bn
LargeCommercialBankPositions(P.14)
(UpdatedforweekendingApril24,2024,paramounts)
Weeklychange:
Deposits:-$7.3bnUST/Agency:-$3.6bn
MBS:+$1.6bnC&ILoans:-$0.6bn
CashAssets:+$2.9bn
ForeignCentralBank(FCB)Positions(P.15)
(UpdatedforweekendingMay01,2024,paramounts)
USTholdingsincreasedby$2.0bn;
Agency/MBSholdingsdecreasedby$1.9bn
Source:MorganStanleyResearch,CFTC
MORGANSTANLEYRESEARCH
FrancescoGrechi
Strategist
Francesco.Grechi@+1212761-1005
TICDataForeignFlows(P.16)
(UpdatedforFebruary,paramounts)
FebruarysawnetinflowsintheTreasuries,ledbyprivate
investors.Caribbean(+$16.9bn)andChina(+$13.2bn)werethetopTreasurybuyersinFebruary.Canada(-$-28.8bn)andJapan(-$24.7bn)werethetopTreasurysellers.
PFRPrimerP.18
ChartoftheWeek:
Leveragefundsdecreasedtheirnetlongs(%ofOI)tothelowestlevelinsixmonthsinSOFRcontracts.
Forimportantdisclosures,refertotheDisclosuresSection,locatedattheendofthisreport.
MorganStanley&Co.LLC
USInterestRatesStrategy-Research
May06,2024
PositionsandFlowsReport
CFTCNon-CommercialFuturesPositionsUpdatedfortheweekendingApril30,2024
Update:Break-upoffrontendpositions:ED(-$1.2bn),TU(-$1.7bn)andFV(-$3.1bn);break-upof
backendpositions:TY(-$6.6bn),TN(-$5.5bn),US(-$0.3bn),UL(-$1.3bn).
Total
NetPositionChange
ContractContracts30-Apr23-Apr16-Apr
ED
(1,016.4)
(35.7)
(34.4)
(0.0)
TU
FV
(1,016.4)(1,146.6)
(35.7)
(56.3)
(34.4)
103.9
(0.0)
45.2
TY
(433.0)
(79.0)
8.1
144.8
TN
US
(263.9)(23.1)
(21.5)
(1.9)
(26.1)
(5.4)
(55.4)
59.4
Ultra
(310.1)
(11.6)
(3.7)
1.1
*Noofcontractsin'000s
Source:MorganStanleyResearch,CFTC
EDFuturesRiskvs.UST1y1y(ShortTerm)
TYFuturesRiskvs.UST10y(ShortTerm)
TYFuturesPositioningRisk(10yequivalents$bn)UST10y(%)
0
-10
-20
-30
-40
-50
-60
-70
-80
TYRisk:-$36.4bn;weeklychange:-$6.6bn
UST10y(RHS)
0.4
1.4
2.4
3.4
4.4
5.4
Apr22Jul22Oct22Jan23Apr23Jul23Oct23Jan24Apr24
Source:MorganStanleyResearch,CFTC
TNFuturesRiskvs.UST10y(ShortTerm)
EDFuturesPositioningRisk(10yequivalents$bn)1y1yCMTRate(%)
0
-10
-20
-30
-40
-50
-60
EDRisk:-$337bn;weeklychange:-$12bnUST1y1y
0.01.02.03.04.05.0
6.0
Apr22Jul22Oct22Jan23Apr23Jul23Oct23Jan24Apr24
TNFuturesPositioningRisk(10yequivalents$bn)UST10y(%)
0
-10
-20
-30
-40
-50
-60
-70
TNRisk:-$68.0bn;weeklychange:-$5.5bnUST10y(RHS)
0.40.91.41.92.42.93.43.94.44.9
-805.4Apr22Jul22Oct22Jan23Apr23Jul23Oct23Jan24Apr24
Source:MorganStanleyResearch,CFTC
TUFuturesRiskvs.UST2y(ShortTerm)
Source:MorganStanleyResearch,CFTC
USFuturesRiskvs.UST20y(ShortTerm)
TUFuturesPositioningRisk(10yequivalents$bn)UST2y(%)
0
-10
-20
-30
-40
-50
-60
-70
TURisk:-$48.2bn;weeklychange:-$1.7bnUST2y(RHS)
0.0
1.0
2.0
3.0
4.0
5.0
-806.0Apr22Jul22Oct22Jan23Apr23Jul23Oct23Jan24Apr24
USFuturesPositioningRisk(10yequivalents$bn)UST20y(%)
15
5
-5
-15
-25
-35
-45
USRisk:-$3.9bn;weeklychange:-$0.3bnUST20y(RHS)
0.51.01.52.02.53.03.54.04.55.05.5
Apr22Jul22Oct22Jan23Apr23Jul23Oct23Jan24Apr24
Source:MorganStanleyResearch,CFTC
FVFuturesRiskvs.UST5y(ShortTerm)
FVFuturesPositioningRisk(10yequivalents$bn)UST5y(%)
Source:MorganStanleyResearch,CFTC
ULFuturesRiskvs.UST30y(ShortTerm)
ULFuturesPositioningRisk(10yequivalents$bn)UST30y(%)
0
-10
-20
-30
-40
-50
-60
-70
-80
FVRisk:-$62.3bn;weeklychange:-$3.1bnUST5y(RHS)
0.0
1.0
2.0
3.0
4.0
5.0
-906.0Apr22Jul22Oct22Jan23Apr23Jul23Oct23Jan24Apr24
0
-10
-20
-30
-40
-50
-60
ULRisk:-$35.2bn;weeklychange:-$1.3bnUST30y(RHS)
1.01.52.02.53.03.54.04.55.0
5.5
Apr22Jul22Oct22Jan23Apr23Jul23Oct23Jan24Apr24
Source:MorganStanleyResearch,CFTCSource:MorganStanleyResearch,CFTC
teepener/FlattenerFuturesRiskvs.5s/30s(ST)
(LT)
S
USInterestRatesStrategy-Research
May06,2024
PositionsandFlowsReport
CFTCAssetManagersRiskPositionsUpdatedfortheweekendingApril30,2024
Update:AssetManagersadded$7.5bn10yequiv.inthefrontend,andaddedanother$6.3bn10yequiv.inthebackend,puttingon$1.2bnofasteepenerposition.
Steepener/FlattenerFuturesRiskvs.5s/30s
SteepenerFuturesPositioningRisk(10yequivalents$bn)
5s/30s(bp)
SteepenerFuturesPositioningRisk(10yequivalents$bn)
5s/30s(bp)
0
-100
-200
-300
-400
-500
-600
200
150
100
50
0
-50
-100
20192020202120222023
Front-End-Back-EndRisk:-$394.6bn;WeeklyChange:$1.2bnLast5s30s(RHS)
0
-100
-200
-300
-400
-500
-600
40
30
20
10
0
-10
-20
-30
-40
-50
-60
Nov23Dec23Jan24Feb24Mar24Apr24
Front-End-Back-EndRisk:-$394.6bn;WeeklyChange:$1.2bnLast5s30s(RHS)
2
Source:MorganStanleyResearch,CFTC
Front-EndFuturesRiskvs.UST2y-3MBills(LT)
UST2yless3MBills(bp)
Front-endFuturesPositioningRisk(10yequivalents$bn)
Source:MorganStanleyResearch,CFTC
Front-EndFuturesRiskvs.UST2y(ST)
UST2y(%)
Front-endFuturesPositioningRisk(10yequivalents$bn)
250
200
150
100
50
0
-60
-10
40
90
140
190
240
20192020202120222023
AMFrontEndRisk:$225.3bn;WeeklyChange:$7.5bnLastUST2yless3MBills(RHS)
250
200
150
100
50
0
0.00
1.00
2.00
3.00
4.00
5.00
6.00
Nov23Dec23Jan24Feb24Mar24Apr24
AMFrontEndRisk:$225.3bn;WeeklyChange:$7.5bnLastUST2y(RHS)
Source:MorganStanleyResearch,CFTC
Back-EndFuturesRiskvs.UST10y-3MBills(LT)
Back-endFuturesPositioningRisk(10yequivalents$bn)UST10yless3MBills(bp)
Source:MorganStanleyResearch,CFTC
Back-EndFuturesRiskvs.UST10y(ST)
UST10y(%)
Back-endFuturesPositioningRisk(10yequivalents$bn)
800
700
600
500
400
300
200
100
0
-200
-150
-100
-50
0
50
100
150
200
250
20192020202120222023
AMBackEndRisk:$619.9bn;WeeklyChange:$6.3bnLastUST10yless3MBills(RHS)
800
700
600
500
400
300
200
100
0
2.903.003.103.203.303.403.503.603.703.803.90
4.00
Nov23Dec23Jan24Feb24Mar24Apr24
AMBackEndRisk:$619.9bn;WeeklyChange:$6.3bnLastUST10y(RHS)
Source:MorganStanleyResearch,CFTCSource:MorganStanleyResearch,CFTC
14-Nov
28-Nov
12-Dec
26-Dec
09-Jan
23-Jan
06-Feb
20-Feb
05-Mar
19-Mar
02-Apr
16-Apr
30-Apr
14-Nov
28-Nov
12-Dec
26-Dec
09-Jan
23-Jan
06-Feb
20-Feb
05-Mar
19-Mar
02-Apr
16-Apr
30-Apr
Front+BackTotalNetPositionChange
USFuturesRisk
USInterestRatesStrategy-Research
May06,2024
PositionsandFlowsReport
CFTCAssetManagers'FuturesPositions(SOFR,TU,FV,TY,TN,US,WN)UpdatedfortheweekendingApril30,2024
Update:AssetManagersincreasedtheirnetlongs(%ofOI)tothehighestlevelinlastsixmonthsinTUcontracts.
TYFuturesRisk
ContractOpenInterest*Contracts30-Apr23-Apr16-Apr
SOFR
10,280
(529.1)
21.0
26.2
275.7
TU
4,103
6,016
1,740.6
2,267.7
51.4
61.0
57.6
(57.9)
454.5
397.0
FV
TY
4,415
1,392.0
70.9
64.4
74.3
TN
2,067
1,574
227.2
387.7
(35.5)
8.0
31.5
7.9
15.3
(47.0)
US
Ultra
1,640
727.7
6.2
26.2
71.8
*OpenInterestandContractsin1,000s
SOFRFuturesRisk
10YRate(%)
Contracts/OpenInterest
4.90
4.40
3.90
3.40
2.90
2.40
1.90
1.40
0.90
0.40
14-Nov
28-Nov
12-Dec
26-Dec
09-Jan
23-Jan
06-Feb
20-Feb
05-Mar
19-Mar
02-Apr
16-Apr
30-Apr
35%30%25%20%15%10%5%
0%
TY(Posn./OI):32%;WeeklyChange:2%;TotalOI:4,415,39310YRate:4.65%
Source:MorganStanleyResearch,CFTC
TNFuturesRisk
1Y1YRate(%)
Contracts/OpenInterest
6.00
5.00
4.00
3.00
2.00
1.00
0.00
14-Nov
28-Nov
12-Dec
26-Dec
09-Jan
23-Jan
06-Feb
20-Feb
05-Mar
19-Mar
02-Apr
16-Apr
30-Apr
0%
-1%-2%-3%-4%-5%-6%-7%-8%-9%-10%
SOFR(Posn./OI):-5%;WeeklyChange:0%;TotalOI:10,280,0251Y1YRate:4.78%
25%
10YRate(%)Contracts/OpenInterest
4.40
3.90
3.40
2.90
2.40
1.90
1.40
0.90
0.40
28-Nov
12-Dec
26-Dec
09-Jan
23-Jan
06-Feb
20-Feb
05-Mar
19-Mar
02-Apr
16-Apr
30-Apr
20%15%
10%
5%
0%
588318TN(Posn./OI):11%;WeeklyChange:-2%;TotalOI:2,067,41410YRate:4.65%
Source:MorganStanleyResearch,CFTC
Source:MorganStanleyResearch,CFTC
TUFuturesRisk
2YRate(%)
Contracts/OpenInterest
6.005.004.003.002.001.00
0.00
14-Nov
28-Nov
12-Dec
26-Dec
09-Jan
23-Jan
06-Feb
20-Feb
05-Mar
19-Mar
02-Apr
16-Apr
30-Apr
2YRate:4.99%
TU(Posn./OI):42%;WeeklyChange:1%;TotalOI:4,103,303
45%40%35%30%25%20%15%10%5%0%
20YRate(%)
Contracts/OpenInterest
5.30
4.80
4.30
3.80
3.30
2.80
2.30
1.80
1.30
0.80
40%35%30%25%20%15%10%5%
0%
US(Posn./OI):25%;WeeklyChange:0%;TotalOI:1,573,88820YRate:4.95%
Source:MorganStanleyResearch,CFTC
FVFuturesRisk
Source:MorganStanleyResearch,CFTC
ULFuturesRisk
5YRate(%)
Contracts/OpenInterest
5.20
4.70
4.20
3.70
3.20
2.70
2.20
1.70
1.20
0.70
0.20
14-Nov
28-Nov
12-Dec
26-Dec
09-Jan
23-Jan
06-Feb
20-Feb
05-Mar
19-Mar
02-Apr
16-Apr
30-Apr
40%35%30%25%20%15%10%5%
0%
FV(Posn./OI):38%;WeeklyChange:1%;TotalOI:6,015,5565YRate:4.74%
30YRate(%)
Contracts/OpenInterest
5.304.804.303.803.302.802.301.801.300.80
50%
45%
40%
35%
30%
25%
UL(Posn./OI):44%;WeeklyChange:0%;TotalOI:1,639,53130YRate:4.81%
Source:MorganStanleyResearch,CFTC
Source:MorganStanleyResearch,CFTC
teepener/FlattenerFuturesRiskvs.5s/30s(ST)
(LT)
S
USInterestRatesStrategy-Research
May06,2024
PositionsandFlowsReport
CFTCLeveragedFundsRiskPositionsUpdatedfortheweekendingApril30,2024
Update:LeveragedFundsremoved$10.8bn10yequiv.inthefrontend,andremovedanother$16.3bn10yequiv.inthebackend,puttingon$5.5bnofasteepenerposition.
Steepener/FlattenerFuturesRiskvs.5s/30s
SteepenerFuturesPositioningRisk(10yequivalents$bn)
5s/30s(bp)
SteepenerFuturesPositioningRisk(10yequivalents$bn)
5s/30s(bp)
500
400
300
200
100
0
-100
200
150
100
50
0
-50
-100
20192020202120222023
Front-End-Back-EndRisk:$283.4bn;WeeklyChange:$5.5bnLast5s30s(RHS)
500
450
400
350
300
250
200
150
100
50
0
40
30
20
10
0
-10
-20
-30
-40
-50
-60
Nov23Dec23Jan24Feb24Mar24Apr24
Front-End-Back-EndRisk:$283.4bn;WeeklyChange:$5.5bnLast5s30s(RHS)
2
Source:MorganStanleyResearch,CFTC
Front-EndFuturesRiskvs.UST2y-3MBills(LT)
UST2yless3MBills(bp)
Front-endFuturesPositioningRisk(10yequivalents$bn)
Source:MorganStanleyResearch,CFTC
Front-EndFuturesRiskvs.UST2y(ST)
UST2y(%)
Front-endFuturesPositioningRisk(10yequivalents$bn)
0
-50
100
150
200
250
300
-150
-100
-50
0
50
100
150
200
250
20192020202120222023
LFFrontEndRisk:-$244.0bn;WeeklyChange:-$10.8bnLastUST2yless3MBills(RHS)
0
-50
-100
-150
-200
-250
-300
0.00
1.00
2.00
3.00
4.00
5.00
6.00
Nov23Dec23Jan24Feb24Mar24Apr24
LFFrontEndRisk:-$244.0bn;WeeklyChange:-$10.8bnLastUST2y(RHS)
Source:MorganStanleyResearch,CFTC
Back-EndFuturesRiskvs.UST10y-3MBills(LT)
UST10yless3MBills(bp)
Back-endFuturesPositioningRisk(10yequivalents$bn)
Source:MorganStanleyResearch,CFTC
Back-EndFuturesRiskvs.UST10y(ST)
UST10y(%)
Back-endFuturesPositioningRisk(10yequivalents$bn)
0
-100
-200
-300
-400
-500
-600
-700
-200
-150
-100
-50
0
50
100
150
200
250
20192020202120222023
LFBackEndRisk:-$527.4bn;WeeklyChange:-$16.3bnLastUST10yless3MBills(RHS)
0
-100
-200
-300
-400
-500
-600
-700
2.903.003.103.203.303.403.503.603.703.803.90
4.00
Nov23Dec23Jan24Feb24Mar24Apr24
LFBackEndRisk:-$527.4bn;WeeklyChange:-$16.3bnLastUST10y(RHS)
Source:MorganStanleyResearch,CFTCSource:MorganStanleyResearch,CFTC
USInterestRatesStrategy-Research
May06,2024
PositionsandFlowsReport
CFTCLeveragedFunds'FuturesPositions(SOFR,TU,FV,TY,TN,US,WN)UpdatedfortheweekendingApril30,2024
Update:Leveragefundsdecreasedtheirnetlongs(%ofOI)tothelowestlevelinsixmonthsinSOFRcontracts.
TYFuturesRisk
Front+BackTotalNetPositionChange
ContractOpenInterest*Contracts30-Apr23-Apr16-Apr
SOFR
10,280
366.6
(108.7)
(74.0)
(619.1)
TU
4,103
6,016
(1,920.4)(2,331.0)
(88.2)
(40.5)
(55.6)
97.5
(442.0)(304.7)
FV
TY
4,415
(1,233.8)
(101.6)
(65.8)
170.9
TN
2,067
1,574
(171.3)(331.6)
(5.0)
4.6
(29.8)
1.1
31.2
53.8
US
Ultra
1,640
(614.8)
(12.0)
(10.3)
(56.9)
*OpenInterestandContractsin1,000s
SOFRFuturesRisk
10YRate(%)
Contracts/OpenInterest
5.20
4.70
4.20
3.70
3.20
2.70
2.20
1.70
1.20
0.70
0.20
28-Nov
12-Dec
26-Dec
09-Jan
23-Jan
06-Feb
20-Feb
05-Mar
19-Mar
02-Apr
16-Apr
30-Apr
0%
-5%-10%-15%-20%-25%-30%-35%
-40%
TY(Posn./OI):-28%;WeeklyChange:-3%;TotalOI:4,415,39310YRate:4.65%
Source:MorganStanleyResearch,CFTC
TNFuturesRisk
1Y1YRate(%)6.00
Contracts/OpenInterest14%
5.00
4.00
3.00
2.00
1.00
0.00
28-Nov
12-Dec
26-Dec
09-Jan
23-Jan
06-Feb
20-Feb
05-Mar
19-Mar
02-Apr
16-Apr
30-Apr
12%10%8%6%4%2%
0%
SOFR(Posn./OI):4%;WeeklyChange:-1%;TotalOI:10,280,0251Y1YRate:4.78%
10YRate(%)
Contracts/OpenInterest
5.20
4.70
4.20
3.70
3.20
2.70
2.20
1.70
1.20
0.70
0.20
28-Nov
12-Dec
26-Dec
09-Jan
23-Jan
06-Feb
20-Feb
05-Mar
19-Mar
02-Apr
16-Apr
30-Apr
0%
-2%-4%-6%-8%-10%-12%-14%
-16%
588318TN(Posn./OI):-8%;WeeklyChange:0%;TotalOI:2,067,41410YRate:4.65%
Source:MorganStanleyResearch,CFTC
Source:MorganStanleyResearch,CFTC
TUFuturesRisk
2YRate(%)
Contracts/OpenInterest
6.00
5.00
4.00
3.00
2.00
1.00
0.00
28-Nov
12-Dec
26-Dec
09-Jan
23-Jan
06-Feb
20-Feb
05-Mar
19-Mar
02-Apr
16-Apr
30-Apr
0%
-5%-10%-15%-20%-25%-30%-35%-40%-45%-50%
TU(Posn./OI):-47%;WeeklyChange:-2%;TotalOI:4,103,3032YRate:4.99%
USFuturesRisk
20YRate(%)
Contracts/OpenInterest
5.30
4.80
4.30
3.80
3.30
2.80
2.30
1.80
1.30
0.80
28-Nov
12-Dec
26-Dec
09-Jan
23-Jan
06-Feb
20-Feb
05-Mar
19-Mar
02-Apr
16-Apr
30-Apr
0%
-5%-10%-15%-20%-25%-30%
-35%
US(Posn./OI):-21%;WeeklyChange:1%;TotalOI:1,573,88820YRate:4.95%
Source:MorganStanleyResearch,CFTC
FVFuturesRisk
Source:MorganStanleyResearch,CFTC
ULFuturesRisk
5YRate(%)
Contracts/OpenInterest
5.20
4.70
4.20
3.70
3.20
2.70
2.20
1.70
1.20
0.70
0.20
28-Nov
12-Dec
26-Dec
09-Jan
23-Jan
06-Feb
20-Feb
05-Mar
19-Mar
02-Apr
16-Apr
30-Apr
0%
-5%-10%-15%-20%-25%-30%-35%-40%-45%
FV(Posn./OI):-39%;WeeklyChange:0%;TotalOI:6,015,5565YRate:4.74%
30YRate(%)
Contracts/OpenInterest
5.30
4.80
4.30
3.80
3.30
2.80
2.30
1.80
1.30
0.80
28-Nov
12-Dec
26-Dec
09-Jan
23-Jan
06-Feb
20-Feb
05-Mar
19-Mar
02-Apr
16-Apr
30-Apr
0%
-10%
-20%
-30%
-40%
-50%
UL(Posn./OI):-38%;WeeklyChange:0%;TotalOI:1,639,53130YRate:4.81%
Source:MorganStanleyResearch,CFTC
Source:MorganStanleyResearch,CFTC
teepener/FlattenerFuturesRiskvs.5s/30s(ST)
(LT)
S
USInterestRatesStrategy-Research
May06,2024
PositionsandFlowsReport
CFTCDealersRiskPositionsUpdatedfortheweekendingApril30,2024
Update:Dealersadded$5.2bn10yequiv.inthefrontend,andaddedanother$6.8bn10yequiv.inthebackend,puttingon$1.5bnofaflattenerposition.
Steepener/FlattenerFuturesRiskvs.5s/30s
SteepenerFuturesPositioningRisk(10yequivalents$bn)
5s/30s(bp)
SteepenerFuturesPositioningRisk(10yequivalents$bn)
5s/30s(bp)
12030012040
100
80
60
40
20
0
-20
250
200
150
100
50
0
-50
-100
100
80
60
40
20
0
30
20
10
0
-10
-20
-30
-40
-50
-60
20192020202120222023
Front-End-Back-EndRisk:$84.6bn;WeeklyChange:-$1.5bnLast5s30s(RHS)
Source:MorganStanleyResearch,CFTC
Front-EndFuturesRiskvs.UST2y-3MBills(LT)
UST2yless3MBills(bp)
Front-endFuturesPositioningRisk(10yequivalents$bn)
Nov23Dec23Jan24Feb24Mar24Apr242Front-End-Back-EndRisk:$84.6bn;WeeklyChange:-$1.5bnLast5s30s(RHS)
Source:MorganStanleyResearch,CFTC
Front-EndFuturesRiskvs.UST2y(ST)
UST2y(%)
Front-endFuturesPositioningRisk(10yequivalents$bn)
20
10
0
-10
-20
-30
-40
-50
-60
-70
-80
-90
-150
-100
-50
0
50
100
150
200
250
20192020202120222023
DLFrontEndRisk:-$41.3bn;WeeklyChange:$5.2bnLastUST2yless3MBills(RHS)
0
-10
-20
-30
-40
-50
-60
-70
-80
0.00
1.00
2.00
3.00
4.00
5.00
6.00
Nov23Dec23Jan24Feb24Mar24Apr24
DLFrontEndRisk:-$41.3bn;WeeklyChange:$5.2bnLastUST2y(RHS)
Source:MorganStanleyResearch,CFTC
Back-EndFuturesRiskvs.UST10y-3MBills(LT)
UST10yless3MBills(bp)
Back-endFuturesPositioningRisk(10yequivalents$bn)
Source:MorganStanleyResearch,CFTC
Back-EndFuturesRiskvs.UST10y(ST)
UST10y(%)
Back-endFuturesPositioningRisk(10yequivalents$bn)
0
-20
-40
-60
-80
100
120
140
160
-250
-150
-50
50
150
250
350
450
20192020202120222023
DLBackEndRisk:-$125.9bn;WeeklyChange:$6.8bnLastUST10yless3MBills(RHS)
10
-10
-30
-50
-70
-90
-110
-130
-150
2.903.003.103.203.303.403.503.603.703.803.90
4.00
Nov23Dec23Jan24Feb24Mar24Apr24
DLBackEndRisk:-$125.9bn;WeeklyChange:$6.8bnLastUST10y(RHS)
Source:MorganStanleyResearch,CFTCSource:MorganStanleyResearch,CFTC
USInterestRatesStrategy-Research
May06,2024
PositionsandFlowsReport
CFTCDealers'FuturesPositions(SOFR,TU,FV,TY,TN,US,WN)UpdatedfortheweekendingApril30,2024
Update:Dealersincreasedtheirnetshorts(%ofOI)tothehighestlevelinlastsixmonthsinULcontracts.
TYFuturesRisk
Front+BackTotalNetPositionChange
ContractOpenInterest*Contracts30-Apr23-Apr16-Apr
SOFR
10,280
509.4
131.4
63.2
359.5
TU
4,103
6,016
(370.3)(578.0)
0.7
12.1
6.8
3.1
(18.7)(32.2)
FV
TY
4,415
(382.8)
19.1
42.4
(167.4)
TN
2,067
1,574
(60.1)(100.9)
32.7
(3.8)
(6.2)
2.0
(31.0)(23.8)
US
Ultra
1,640
(105.8)
(0.4)
(13.5)
(14.9)
*OpenInterestandContractsin1,000s
SOFRFuturesRisk
10YRate(%)
Contracts/OpenInterest
5.00
4.50
4.00
3.50
3.00
2.50
2.00
1.50
1.00
0.50
0.00
28-Nov
12-Dec
26-Dec
09-Jan
23-Jan
06-Feb
20-Feb
05-Mar
19-Mar
02-Apr
16-Apr
30-Apr
10YRate:4.65%
TY(Posn./OI):-9%;WeeklyChange:0%;TotalOI:4,415,393
0%
-2%-4%-6%-8%-10%
-12%
Source:MorganStanleyResearch,CFTC
TNFuturesRisk
1Y1YRate(%)
Contracts/OpenInterest
6.00
5.00
4.00
3.00
2.00
1.00
0.00
28-Nov
12-Dec
26-Dec
09-Jan
23-Jan
06-Feb
20-Feb
05-Mar
19-Mar
02-Apr
16-Apr
30-Apr
6%4%2%0%-2%-4%-6%
-8%
SOFR(Posn./OI):5%;WeeklyChange:1%;TotalOI:10,280,0251Y1YRate:4.78%
10YRate(%)
Contracts/OpenInteres
5.20
4.70
4.20
3.70
3.20
2.70
2.20
1.70
1.20
0.70
0.20
28-Nov
12-Dec
26-Dec
09-Jan
23-Jan
06-Feb
20-Feb
05-Mar
19-Mar
02-Apr
16-Apr
30-Apr
0%-1%-2%-3%-4%-5%
-6%
588318TN(Posn./OI):-3%;WeeklyChange:2%;TotalOI:2,067,41410YRate:4.65%
Source:MorganStanleyResearch,CFTC
TUFuturesRisk
Source:MorganStanleyResearch,CFTC
USFuturesRisk
2YRate(%)
Contracts/OpenInterest
6.005.004.003.002.001.00
0.00
28-Nov
12-Dec
26-Dec
09-Jan
23-Jan
06-Feb
20-Feb
05-Mar
19-Mar
02-Apr
16-Apr
30-Apr
2YRate:4.99%
TU(Posn./OI):-9%;WeeklyChange:0%;TotalOI:4,103,303
0%
-2%-4%-6%-8%-10%
-12%
20YRate(%)
Contracts/OpenInterest
5.204.704.203.703.202.702.201.701.200.700.20
28-Nov
12-Dec
26-Dec
09-Jan
23-Jan
06-Feb
20-Feb
05-Mar
19-Mar
02-Apr
16-Apr
30-Apr
0%
-5%
-10%
-15%
US(Posn./OI):-6%;WeeklyChange:0%;TotalOI:1,573,88820YRate:4.95%
Source:MorganStanleyResearch,CFTC
FVFuturesRisk
Source:MorganStanleyResearch,CFTC
ULFuturesRisk
5YRate(%)
Contracts/OpenInterest
5.20
4.70
4.20
3.70
3.20
2.70
2.20
1.70
1.20
0.70
0.20
28-Nov
12-Dec
26-Dec
09-Jan
23-Jan
06-Feb
20-Feb
05-Mar
19-Mar
02-Apr
16-Apr
30-Apr
0%
-2%-4%-6%-8%-10%
-12%
FV(Posn./OI):-10%;WeeklyChange:0%;TotalOI:6,015,5565YRate:4.74%
30YRate(%)
Contracts/OpenInterest
5.104.604.103.603.102.602.101.601.100.60
28-Nov
12-Dec
26-Dec
09-Jan
23-Jan
06-Feb
20-Feb
05-Mar
19-Mar
02-Apr
16-Apr
30-Apr
30YRate:4.81%
UL(Posn./OI):-6%;WeeklyChange:0%;TotalOI:1,639,531
0%-1%-2%-3%-4%-5%-6%
-7%
Source:MorganStanleyResearch,CFTC
Source:MorganStanleyResearch,CFTC
teepener/FlattenerFuturesRiskvs.5s/30s(ST)
(LT)
S
ont-EndFuturesRiskvs.UST2y(ST)
(LT)
Fr
USInterestRatesStrategy-Research
May06,2024
PositionsandFlowsReport
CFTCOtherReportablesRiskPositionsUpdatedfortheweekendingApril30,2024
Update:OtherReportablesremoved$0.8bn10yequiv.inthefrontend,andadded$6.6bn10yequiv.inthebackend,puttingon$7.4bnofaflatten
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