Positioning Summary/UPDATES: (via)

AS OF: 02/10/17 [BFW] Speculators Cover 5Y, 10Y UST Shorts by Total $3.6m/DV01: CFTC By Edward Bolingbroke (Bloomberg) -- Speculators trimmed 5Y, 10Y Treasury futures short positions while adding to shorts in EDs and back-end of the curve. Asset managers added around $4.4m/DV01 to long 10Y position in week ended Feb. 7, CFTC’s Commitments of Traders report shows. • While covering 5Y, 10Y shorts, speculators increased shorts further out the

curve with combined $940k/DV01 added in Bond and Ultra Bond futures; speculator ED shorts were added to by ~10k contracts while 2Y longs were cut by ~18k contracts

• Speculator 5Y shorts reduced for the 4th consecutive week from record levels • Leveraged funds added to Bond and Ultra Bond shorts by ~6k and ~12k

respectively, combined $4.7m/DV01; added to 2Y longs by ~47k contracts, or $1.9m/DV01

• CFTC position changes cover events including payrolls report on Feb. 3, when Treasuries rose on smallest y/y increase in U.S. hourly earnings since August

Primary Dealer Total Position Declines Primary dealer positions (week ended Feb. 1) • Total: $85.7b • Bills: $16.7b • Coupons due 2 yrs or less: $15.9b • Coupons due 2-3 yrs: -$3.41b • Coupons due 3-6 yrs: $18.2b • Coupons due 6-7 yrs: -$1.48b • Coupons due 7-11 yrs: $3.33b • Coupons due in more than 11 yrs: $22.2b • TIPS due in 2 yrs or less: $5.29b • TIPS due in 2-6 yrs: $1.62b • TIPS due in 6-11 yrs: $11.11b • TIPS due in more than 11 yrs: $440m

Fed custody holdings for foreign official accounts (week ended Feb. 8) • US government securities: $2.85t • Federal agency securities: $256b

Japan Securities Transactions (week ended Feb. 3) Foreign bonds: -126.6b yen, third consecutive net sale

ICI Estimated Net New Cash Flow (week ended Feb. 1) Taxable bond funds received $4.023b, 9th consecutive net inflow

SMRA Survey Duration Approaches Neutral SMRA Portfolio Manager Survey (week ended Feb 7) • Actual/Target Duration, Arithmetic: 99.7, ties highest since Oct. 16, 2012 • Actual/Target Duration, Asset Weighted: 100 • Bull/Bear Index, Arithmetic, 1-10 scale: 5.2 • Bull/Bear Index, Asset Weighted, 1-10 scale: 5 • Agency allocations: 7.5%, lowest since 1999 • MBS allocations: 23.2% • Treasury allocations: 24.4% • Corporate allocations: 36.2% • Spread product allocations: 70.5% • Spread expectations: 4.95

JPMorgan Treasury Clients More Net Short JP Morgan Treasury Client Survey (week ended Jan. 30) JPMorgan All-Client Survey finds biggest net short (-13) since Dec. 12 in week ended Jan. 30.; active clients unchanged from prior week. • All Long: 14 • All Neutral: 59 • All Short: 29 • All Net: -13 • Active Long: 20 • Active Neutral: 50 • Active Short: 30 • Active Net: -10

U.S. Total Cross-Border Investment Inflow $23.7b in Nov. U.S. net long-term portfolio securities inflows at $30.8b in Nov. • China holds $1.05t of U.S. Treasuries, a decrease of $66.4b from last month • Belgium holds $113.5b of U.S. Treasuries, a decrease of $3.4b from prior

month • Russia holds $86.6b of U.S. Treasuries, an increase of $12b from prior month • Japan holds $1.11t, a decrease of $23.3b from last month • Cayman Islands hold $260.6b, a decrease of $1.4b from last month • Saudi Arabia holds $100.1b, an increase of $3.4b from last month • Foreign net selling of Treasuries at $0.2b • Foreign net selling of equities at $5.8b • Foreign net selling of corporate debt at $1.7b • Foreign net buying of agency debt at $21b • U.S. Treasury issues monthly report on international capital flows