Treasury Yields Explode Higher After Jobs Beat, Cross CTA Liquidation "Red Line"

Update (0840ET): Yields exploded higher after the massive beat in jobs data.

Long-Bond Futures prices crashed...

As 10Y yields spiked above 95bps (up 12bps on the day)...

*  *  *

US Treasury yields are blowing out once again this morning with 10Y yields now above 85bps and well out of their 3-month trading range...

Crucially, as we detailed previously, this break above 84bps means trend-followers are likely becoming forced sellers and creating a self-perpetuating surge in yields...

According to Nomura's CTA position index (representing our estimate of the positioning of CTAs based on real-time data) CTAs to still have a net long position in 10yr UST futures, "although with a conspicuous notch recently where that position appears to have hit a ceiling." This means that should the pressure created by global macro hedge funds’ sell-off of USTs increase to the point that the 10yr UST yield climbs above the "red line" that exists at around 0.84%, CTAs would likely be drawn into exiting their long positions in TY to cut their losses.

The stress is most obvious in the Ultras, which triggered circuit-breakers this morning...

As the yield curve steepening accelerates...

Is March's chaotic bond market about to make a reappearance?