This US Rates Watch examines shifting positioning ahead of Fed events and notes persistent foreign official selling of Treasuries. Strategists remain underweight duration and favor curve flatteners.
Key Takeaways
- 1.Positioning remains vulnerable to a dovish Warsh, though the base case is for a hawkish tone relative to expectations.
- 2.Foreign official selling of USTs persists, reflecting active reserve diversification away from USD.
- 3.Active funds significantly increased duration and reduced IG/MBS exposure.
Table of Contents
- Caught between a strait and a Warsh place
- Momentum is turning
- CTA shorts at risk
- Foreign official selling persists
- High yields pulled in pension demand
- Long-end outflows continue
- Funds add duration, cut credit overweight
- Week Ahead
- Positioning indicators
- Flow of funds
- FX hedged pickup and foreign flows
- Fund flows and returns
- Bank balance sheets
- Primary dealer balance sheet
- Auction statistics
- Pensions
- Appendix
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Authors
Meghan SwiberEleanor Xiao
Securities
TYUST
Themes
Reserve diversification away from USDCTA short-covering potential
Regions
GlobalUnited StatesJapan