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After The (Duration) Purge…
On Wednesday, Nomura's Charlie McElligott marveled at the sheer scope of the recent duration purge which is part and parcel of November's pro-cyclical rotation that found Treasury yields surging more than 20bps last week amid rampant (and possibly misplaced) trade optimism.
Hedge funds, he wrote, have been pressing the rates selloff hard. Last week’s COT/TFF data showed specs net sold $32mm/01 the week prior to the breakout from the high-end of the UST yield range.
That, Charlie observed, wa
