BofA-Systematic Flows Monitor CTA Positioning Risks：UST Unwind Pressure...-20251212
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摘要原文摘录Our model signals CTAs could sell UST futures and USD
机构观点归属B of A Securities，研报雷达仅作摘要整理与机构观点聚合。以下为研报摘要原文摘录，内容以原始报告为准。
研报摘要
Our model signals CTAs could sell UST futures and USD
Following the Fed’s rate cut this week, US 10-year and 30-year Treasury yields movedhigher, while the USD weakened. In the near term, yields have shown mean-revertingbehavior, but their longer-term decline has likely kept CTAs with slower trend signalspositioned long in UST futures. The recent rise in yields may have pushed thesepositions closer to unwind thresholds, creating potential for adjustments. Positioning isnot uniform in UST: faster models remain near flat. In FX, the USD’s decline couldcatalyze buying next week in GBP, EUR, AUD, and CAD, while USD longs versus JPYshorts remain stretched.
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