长期资金流出

Long-end outflows Bond fund inflows pulled back further with under $5bn in netinflows, but long-end funds had significant outflows aroundmonth end. Funds look to be underweight duration versustheir benchmark, and coupon holdings at dealers rose.Meanwhile, foreign demand was neutral. Samuel Earl+ 1 212 526 5426samuel.earl@barclays.comBCI, US Anshul Pradhan+1 212 412 3681anshul.pradhan@barclays.comBCI, US Fixed income bond ETF and mutual funds aggregate flows moderated further with $4.7bn ininflows over the week to June 5, down from $6.8bn the prior week, and to the 38th percentile.Demand for long-term funds hasshiftedquite notably over the past few weeks.Afterseeingrather strong demand both in terms of fund flows but also record high stripping activity (seehere), in the past week (around month end) they saw elevated outflows. The pull-back wasmore notable for government and corporate funds, and all long-term funds combined was atthe lowest level of demand over the past six months. At the same time, our positioning proxyshows that fixed income funds are also now underweight duration versus their benchmarks,havingshiftedfrom being overweight over recent weeks. Dealer holdings of bills and couponsalso rebounded the week to May 28 with holdings of bills up $19bn and coupons up $28bn, withthe latter back up to the 97thpercentile versus the past five years. Demi Hu+1 212 526 7398demi.hu@barclays.comBCI, US Banks securities holdings rose a bit with MBS up $1bn and UST holdings up $6bn, though rateshad fallen over the reporting week and so likely some of the rise in holdings was mark-to-marketgains. More broadly over Q1, banks' balance sheets expanded quite substantially, with much ofthat coming from repo books. Banks did add to their securities holdings, but much of that wasfor trading books. Banks' Treasuries and Agency PTs in HTM accounts fell, but this wasoffsetsomewhat by a rise in AFS holdings (see our Q1 bank report here). Money market funds’ total assets rose about $67bn over the week to June 4. At the sametime, SOFRsoftenedpost month-end, dropping from a high of 4.35% on May 30 to 4.29% onJune 6. Take up in the Fed’s ON RRP, which topped out at $316bn on May 30, retreated to $149bnon June 6 – about the level that has persisted while the debt ceiling has been binding. The foreign demand picture also has generally continued to hold up in recent weeks. Foreigncustody holdings at the Fed were essentially little changed and remain about $38bn lower sinceearly April. MoF data on Japanese investors show demand for overseas notes and bonds wasneutral over the latest week of data to May 30. In total, they have net bought $12bn since lateMarch. Mutual funds and ETFs •Over the five days through June 5, US bond funds had $4.7bn of inflows, which compareswith the prior four-week average of $9.1bn in inflows. The latest data bring total year-to-dateinflows to $150bn (versus $176bn over the same period in 2024). •The breakdown of flows over the five days through June 5 as a percentile over the prior sixmonths for various fund types shows that long-term corporate, long-term government, andintermediate-term government bond funds had the weakest demand, while mixedintermediate-term, high yield, and mixed short-term bond funds had the strongest demand. Money markets •Total money market fund assets rose $66.8bn over the week to June 4. The data show totalinflows over the past 12 months of about $923bn and AUM of about $7tn. •Over the week ending June 4, total assets on the Fed's balance sheet fell $1bn, with $2bn inTreasury coupons runningoffthe SOMA. The change in assets compares with an averageweekly drop of $9bn over the prior four weeks. °On the liability side of the Fed's balance sheet, ON RRP fell $5bn and the TGA fell $60bn.Along with other changes, theseleftreserve balances $68bn higher. °At $3.4trn, reserves are approximately 13.9% of total bank assets and about $894bn belowthe peak in late 2021. •The Treasury continues to manage around the debt limit, which it reached in January. TheTGA was $350bn on June 6, while the Treasury has used 77% of its extraordinary measures,tapping into $278bn of its $362bn total.1 •Higher customs revenues fromtariffsover the next few months risk pushing the x-date out tolate October, but the loss of those revenues would keep the x-date around the late August/early September time frame (see Debt ceiling: Not counting ontariffs). Asset managers, leveraged funds, and primary dealers •Our empirical duration positioning proxy, which is estimated through a regression of dailyrelative returns against market moves, shows that fixed income mutual funds areunderweight duration versus the benchmark. A similar analysis based on macro/CTA fundperformance shows that they remain long duration, albeit less so than extremes during April. •CFTC positioning data for the week ending June 3 show that asset managers' net longs (as apercentage of open interest) in UST futures and options r