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Treasury Yields Spike Above ‘Tipping Point’ As CTA Liquidations Begin

Courtesy of ZeroHedge View original post here.

US Treasury yields are blowing out once again this morning with 10Y yields now above 85bps and well out of their 3-month trading range…

Crucially, as we detailed previously, this break above 84bps means trend-followers are likely becoming forced sellers and creating a self-perpetuating surge in yields…

According to Nomura’s CTA position index (representing our estimate of the positioning of CTAs based on real-time data) CTAs to still have a net long position in 10yr UST futures, “although with a conspicuous notch recently where that position appears to have hit a ceiling.” This means that should the pressure created by global macro hedge funds’ sell-off of USTs increase to the point that the 10yr UST yield climbs above the “red line” that exists at around 0.84%, CTAs would likely be drawn into exiting their long positions in TY to cut their losses.

The stress is most obvious in the Ultras, which triggered circuit-breakers this morning…

As the yield curve steepening accelerates…

Is March’s chaotic bond market about to make a reappearance?


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