BofA-Systematic Flows Monitor Potential CTA selling across UST futures...-20251219

CTAs could sell UST futures despite this week’s gains

This week delivered highly anticipated US labor market and inflation data that broughtUS Treasury yields lower. According to our model, this helped CTAs which remain long10yr and 30yr UST futures, especially at the medium- to long-term trend following level.Despite these gains, UST futures price trends are projected to decline over the nextweek, independent of the moves in yields, creating conditions for trend follower selling.Outside the US, CTAs could be growing short Bund positions and are already stretchedshort KTBs. In FX, the US dollar finished the week higher, but CTAs could be USD sellersnext week as price trend is weakening. Our model anticipates buying EUR, GBP, AUD,and CAD. Meanwhile CTAs remain stretched long USD vs JPY and short USD vs MXN.