Futures Global Bonds CTA Market Update

CTAs currently hold extreme short positions in global rates ($140mm DV01) with all 27 trend signals negative. While the base case suggests modest additional selling, many signals are near thresholds that could trigger buying if yields move lower.

Key Takeaways

• 1.CTA positioning is currently at extreme short levels, estimated at $140mm DV01 across global rates.
• 2.All 27 global rates trend signals are currently negative, though several are approaching threshold levels that could flip positive.
• 3.The base case forecast for the next week is a modest additional selling of $3mm DV01, primarily in US 5y and 10y sectors.

Table of Contents

• Thoughts From the Desk
• Conditional Forecasts by Country/Region
• Global Forecasts and Breakdown by Country Position
• Historical Projections
• Simulated Historical Net Length
• Realized Flows by Market
• Positioning Comparison
• Momentum Thresholds by Market
• Conditional Forecasts by Market - 1-Month
• Disclaimers

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