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FX & Rates · 5 November 2026
The 91.7th-percentile leveraged short in the 2-year Treasury is increasingly financed by a thinning…
The 91.7th-percentile leveraged short in the 2-year Treasury is increasingly financed by a thinning tightening premium (33 basis points priced over 12 months, down from 74 basis points on 22 October), leaving the position exposed to a front-end rally the priced path no longer fully supports.
- What would prove it wrong
- The fed funds futures 12-month priced delta turns negative (cuts priced) before the next Commitments of Traders report on 10 November, or a flight-to-quality bid from the credit extremes (investment-grade spread at 98.8th percentile, high-yield at 98.4th percentile) materialises as a marked Treasury rally while equity weakness persists.
- Review condition
- the Commitments of Traders report published 10 November 2026: a material decline in the leveraged net short below 1.2 million contracts would unwind the signal
- Status
- Latest publication in category
A dated research thesis and its assessment. This is not portfolio performance or an investment recommendation.