BofA says CTA Treasury shorts stable, euro short-cover risk rises

Bank of America says CTA positioning remains heavily short US Treasury futures, but the recent rise in yields has pushed short-covering triggers further out, making those shorts more stable for now. The bigger near-term risk is in EUR/USD, where the dollar’s sharp decline has increased pressure on crowded euro shorts held by trend followers. BofA’s model implies buying in EUR/USD from 1.1691 to 1.1853 versus a 1.1679 reference, suggesting possible short-covering support for the euro. The note also highlights weaker but still contained stop-out risk for CAD shorts, while MXN longs remain a positive trend position. In equities, CTA exposure has risen back to pre-Iran-conflict levels, with room to add further if volatility falls. However, if markets turn lower, BofA warns of potentially large systematic selling, especially in major indices. The article also notes continued CTA buying in oil, limited gold involvement so far, and stretched long positions in copper and soybean oil.