It’s been a tough several days for… well, for pretty much everybody, really, except for shorts in bank stocks, and even there, turning paper gains into actual profits hasn’t been straightforward.

One investor cohort that’s had a particularly rough go of things is CTAs. “Going with it,” so to speak, was a good strategy vis-à-vis hawkish rates bets over the past 12 or so months, but the multi-sigma dovish repricing catalyzed by a trio of US bank failures upset the proverbial apple cart.

“CTA legacy ‘shorts’ in STIRS and G10 Bonds were the drivers of so much of their alpha over the past year, but have both received a shocking forced-cover into the ‘risk-off’ positioning squeeze leading to this generational volatility and instability in rates,” Nomura’s Charlie McElligott said Wednesday.

Across Friday and Monday, the CTA Trend Index fell almost 8%, the largest such drawdown in the history of the series, which dates back nearly a quarter century.

If you’re keeping score at home, that was a 6.4 standard deviation event. In other words: An event that shouldn’t happen.

McElligott called it “the most brutal expression of the price-pain” seen across various market participant cohorts in the wake of SVB’s failure and the accompanying volatility in rates.

Note that as dramatic as the drop in two-year US yields was early this week, the rollercoaster in STIRs was even more anomalous. In a short post, Bloomberg’s Cameron Crise called the single-session move in September short-end contracts “beyond epic.”

“The one-day move in the generic 3rd STIR contract [was] little short of breathtaking,” he said Monday, calling the repricing “reflective of very significant stress in portfolios that had the higher-rates trade on.”

According to Nomura’s estimates, the forced-cover in legacy CTA eurodollar shorts came to $127 billion of buying.

As the tables show, CTAs were likely also forced out of stocks and bond shorts.

More generally, Charlie wrote Wednesday that it all “speaks to risk-management stop-outs and capitulation in both directions, with awful liquidity conditions as market makers and dealers themselves are in ‘VaR-down’ mode with little willingness (or incentive) to facilitate using risk / balance sheet, in light of the jarring PNL environment, particularly within the rates / vol space.”