Date: April 22, 2025
Target Asset: TLT (iShares 20+ Year Treasury Bond ETF)
Analytical Framework: Macro-Structure Scorecard v2.0 (20 indicators)
1. Overview: What This Scorecard Measures and Why It Matters
This report uses a 20-indicator macro-structural scorecard to evaluate whether long-duration U.S. Treasuries—specifically the TLT ETF—have reached a favorable entry point.
Unlike technical or rate-forecast models, this system focuses on the capital flow dynamics, policy constraints, and supply-demand imbalances across institutional investor behavior.
- It answers: “Is this a structurally investable environment?”
- It maps who is forced to sell and who is structurally able to buy.
- It enables investors to avoid premature entry and wait for a true inflection point.
2. 📊 Score Summary
- Total Weighted Score: 39.3
- Classification: WAIT
This score reflects the following market dynamics:
- Real yields remain elevated, discouraging long-duration buyers.
- Foreign demand is still net negative, and retail inflows are absent.
- Rate volatility is still high enough to prevent dealer risk-taking.
- Some auction indicators have improved, but not enough to indicate a regime shift.
3. 📋 Full Scorecard Table (20 Indicators)
| Indicator | Latest Value | Sub-score | Weight (%) | Contribution |
|---|---|---|---|---|
| 10Y TIPS Real Yield | 2.11% | 25 | 12% | 3.00 |
| 10Y Breakeven Inflation (BEI) | 2.22% | 50 | 10% | 5.00 |
| 30Y Nominal Yield | 4.84% | 60 | 8% | 4.80 |
| MOVE Index | 118 | 25 | 12% | 3.00 |
| SOFR-FF Spread | –0.02% | 55 | 5% | 2.75 |
| SOFR Volatility Index | 0.15 | 50 | 4% | 2.00 |
| 10Y Auction Tail | 2.1 bps | 45 | 5% | 2.25 |
| 10Y Bid-to-Cover Ratio | 2.67 | 55 | 5% | 2.75 |
| TLT ETF Fund Flow (1M) | –800M USD | 35 | 2% | 0.70 |
| CFTC Net Positioning (Bond Futures) | –150,000 | 30 | 4% | 1.20 |
| Foreign Holdings Trend | Declining | 30 | 6% | 1.80 |
| USD/JPY FX Hedging Cost (3M) | 2.3% | 30 | 3% | 0.90 |
| U.S. Treasury Supply (3M Total) | 700B USD | 25 | 4% | 1.00 |
| Federal Reserve Policy Signal | Neutral | 50 | 3% | 1.50 |
| Yield Curve Slope (5s30s) | 29 bps | 40 | 4% | 1.60 |
| 3M EUR/USD Cross-Currency Basis | –10 bps | 25 | 4% | 1.00 |
| Basis Curve Slope (3M vs 1Y) | –6 bps | 30 | 3% | 0.90 |
| Repo Stress (GC–IOER Spread) | 0.09% | 30 | 4% | 1.20 |
| Bond ETF Premium/Discount | –0.9% | 35 | 3% | 1.05 |
| Treasury Option Volatility Skew | Steepening | 30 | 3% | 0.90 |
| Total Score | 39.3 → WAIT |
4. Structural Interpretation (Hoho-style Reasoning)
The score of 39.3 indicates a clear conclusion:
“Valuation is attractive, but the structure is closed.”
- Foreign investors are still selling (April TIC: –$19B),
- FX-hedged buyers from Japan/Europe are blocked by high hedge costs,
- Dealers remain sidelined by elevated volatility,
- Institutional buyers cannot rotate due to high real yields.
In short, nobody can buy, even if they want to.
5. Investment Strategy Recommendation
Current Recommendation: WAIT
To move from “Wait” to “Buy,” we would need to see at least 2 of the following:
- MOVE Index < 100
- Foreign holdings stabilize or turn to net buying
- USD/JPY 3M hedge cost < 1.5%
- Auction tail < 1bp and BTC > 2.8
- ETF net inflows + CFTC net long positioning
Until then, the structure has not flipped.
6. Final Notes & Next Steps
- This is not a value signal—it is a structural timing model.
- TLT remains uninvestable until capital constraints ease and flow asymmetries reverse.
- This model is designed to act as a daily real-time early warning system, not a backward-looking yield comparison.
This scorecard logic also applies to long-duration bond ETFs like ZROZ, EDV, TMF.
HOHO-ECONOMICUS Insight 
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