🏛️ Treasury CTA Exhaustion Signals

Trend-following positioning model applied to 2Y / 5Y / 10Y / 30Y US Treasury yields

Data as of 2026-06-01 Generated 2026-06-03 09:53 FRED: DGS2 · DGS5 · DGS10 · DGS30 Fast (20/50/100) + Slow (50/100/200)

Current Treasury Yield Snapshot

Tenor Yield Fast Position Slow Position CTA Lean
2Y4.05%+28.3+17.4Short Duration
5Y4.18%+30.5+20.4Short Duration
10Y4.47%+25.3+15.0Short Duration
30Y4.99%+20.1+14.2Short Duration

CTA Positioning by Mode

Individual Tenor Charts

2Y
FAST
5Y
FAST
10Y
FAST
30Y
FAST
2Y
SLOW
5Y
SLOW
10Y
SLOW
30Y
SLOW

AI Commentary

Generated 2026-06-03 12:33 UTC  ·  google/gemma-4-31B-it

CTA Treasury Positioning Analysis: 2026-06-03

Duration Crowding

  • Direction: CTAs are universally short duration across all tenors (all positions positive).
  • Crowding: The belly of the curve is the most crowded; the 5Y (+30.5) and 2Y (+28.3) show the strongest short-duration bias.
  • Signal: This indicates a high-conviction bet on rising yields, with the most aggressive positioning concentrated in the front-to-mid end.

Yield Curve Context

  • Curve State: The curve is steepening (10Y-2Y: +0.42bps; 30Y-2Y: +0.94bps).
  • Positioning Alignment: CTAs are shorting the 2Y/5Y more aggressively than the 30Y (+20.1). This suggests they are riding a trend of rising short-term rates while remaining slightly less aggressive on the long-bond, consistent with a bear-steepening regime.

Fast vs. Slow Divergences

  • Trend Acceleration: Fast mode is significantly more positive than slow mode (e.g., 5Y: +30.5 vs +20.4).
  • Conviction: The divergence indicates a recent acceleration in the short-duration trend. The "fast" trend is leading the "slow" trend higher, suggesting strong immediate momentum for rising yields.

Exhaustion Signals

  • Conviction Levels: High-conviction signals in Fast Mode (34) are nearly triple those in Slow Mode (13).
  • Risk: While not yet at extreme exhaustion, the widening gap between fast and slow modes suggests the trade is becoming "crowded" in the short term. A failure for yields to break higher could trigger a rapid short-covering rally.

5-Day Watch-List

  • Trigger: Monitor