US Rates Watch: Shorts in the hot seat

Research evidence excerpt

US Rates Watch: Shorts in the hot seat

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US Rates Watch

Shorts in the hot seat

Asset managers skeptical of hawkish repricing 28 June 2026

Positioning momentum is turning. Back-end shorts have flipped out of the money,

leaving them exposed to covering and driving a near-term bias toward long-end rallies Rates Research

United Statesand curve flattening. Asset managers have leaned into this shift, adding longs while fund

inflows remain front-end heavy. Foreign demand stays soft, reinforcing a split demand

backdrop. MeghanRates StrategistSwiber, CFA

BofAS

For our views, this creates a tactical tension but not a strategic shift. CTA front-end meghan.swiber@bofa.com

shorts have not been meaningfully covered and are only approaching flip levels. We stay Eleanor Xiao

Rates Strategist

short 2y and in curve flatteners—fading the recent flow-driven bid and expecting the BofAS

front end to do the bulk of bearish repricing as focus shifts to this week’s labor data. eleanor.xiao@bofa.com

US Rates Research

Exhibit 1: Curve-o-meter BofAS

Rates to trade like positioning is short and modesty in steepeners See Team Page for List of Analysts

CFTC: Commodities Futures Trading

Commission

CTA: Commodity Trading Adviser

FV: Treasury 5Y contract

ITM: In the Money

MBS: Mortgage Backed Securities

OTM: Out of the Money

US: Treasury 20Y contract.

UST: Treasury Security

Source: BofA Global Research, Note: dial shows duration = average 5y percentiles of CTA positioning + net OTM position implied from

futures positioning proxy + CFTC non-comm ex LF + fund regression duration beta. Curve = avg 5y percentiles of CTA betas + futures SF: SOFR Futures

positioning proxy + fund regression curve beta

BofA GLOBAL RESEARCH

TY: Treasury 10Y contract

Momentum is turning, shorts flip OTM