... revealing that the key catalyst for further downside in rates would be when trend-following funds such as CTAs liquidated their long positions and flipped from long to short, an event which Nomura's Masanari Takada said would take place when "10yr UST yields remained above 1.10%".... which they clearly have in the past few weeks.
Well ,since then it has indeed gotten quite "ugly", with the 10Y blasting off from 1% to an intraday high above 1.43% today (at which point Powell was forced to talk down rates once again this morning).
And since the sharp move higher in yields has already had a sharp and cascading effect on risk assets in general and high-duration tech and growth stocks in particular, the question everyone wants answered is what happens next, and will CTAs keep hammering the 10Year?
To answer that question we first need to know how positioned CTAs are currently - after all, one month ago we warned that their liquidation and subsequent short reversal would be the catalyst for the next big move.
Well, as JPM's Nick Panigirtzoglou writes overnight when he confirms just what we said back in January, "the bond market sell-off has likely been amplified by CTAs" and substantially at that: according to JPM estimates, CTA and momentum signals have shifted to their most bearish territory since 2018, although they are still some way from extreme territory (which is probably not good news for those hoping for the shorting to be over).