Date: April 27, 2025
Target Asset: TLT (iShares 20+ Year Treasury Bond ETF)
Analytical Framework: Hoho 2.0 – Macro-Structural Flow System

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1. Overview

This report updates the 20-indicator macro-structure scorecard used to determine optimal entry timing for TLT and other long-duration U.S. Treasury instruments.
Rather than relying on yield levels or forecasts, it systematically tracks structural flow conditions, policy signals, and capital constraints.

Question: Is this a structurally investable environment for long bonds?
Answer: Not yet.

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2. Updated Score Summary (as of April 27, 2025)

Indicator	Latest Value	Sub-score	Weight (%)	Contribution
10Y TIPS Real Yield	2.05%	30	12	3.6
10Y Breakeven Inflation (BEI)	2.27%	48	10	4.8
30Y Nominal Yield	4.71%	60	8	4.8
MOVE Index	105.8	38	12	4.56
SOFR-FF Spread	–0.02%	55	5	2.75
SOFR Volatility	0.15	50	4	2.00
10Y Auction Tail	2.1bps	45	5	2.25
10Y Bid-to-Cover Ratio	2.48	52	5	2.60
TLT 1M Fund Flow	–800M USD	35	2	0.70
CFTC Net Positioning (Bond Futures)	–145,000 contracts	30	4	1.20
Foreign Holdings Trend	+101B YTD (+8B recent)	38	6	2.28
USD/JPY 3M Hedge Cost	3.3%	25	3	0.75
U.S. Treasury Supply (3M Total)	700B USD	25	4	1.00
Federal Reserve Policy Signal	Hawkish-neutral	45	3	1.35
2Y–10Y Yield Curve Slope	0.60%	44	4	1.76
3M EUR/USD Cross-Currency Basis	–10bps	20	4	0.80
Basis Curve Slope (3M vs 1Y)	–6bps	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

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✅ Total Weighted Score: 41.2 / 100
✅ Classification: WAIT

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3. Structural Interpretation

Valuation (Yield):

• 30Y nominal yield near 4.7%, and 10Y real yield easing to 2.05% provide attractive entry points in absolute terms.
• However, real yield is still above historical “pivot attractor” zones (~1.8%).

Volatility and Liquidity (Risk Appetite):

• MOVE index at 105.8 remains elevated, meaning dealer balance sheets remain constrained.
• SOFR spreads and repo metrics show liquidity stability, but not expansion.

Fund Flows (Foreign & Retail):

• Foreign Treasury holdings are up +101B YTD but declined last week (–8B).
• TLT ETF shows persistent outflows, and CFTC futures positioning remains net-short.

Policy Signals (Macro Tailwinds):

• Fed’s stance remains “hawkish-neutral,” delaying a risk-premium collapse that would structurally unlock long-duration buys.

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4. Updated Investment Strategy

Action	Reason
No full-scale accumulation	Volatility and flow structures not yet favorable.
Limited tactical buying permitted	If 30Y nominal ≥ 4.90% spike happens intraday.
Set Buy Trigger for full accumulation	Need to see: (1) MOVE < 95 (5-day average), (2) Foreign custody + ETF inflow > 2 consecutive weeks, (3) CFTC futures flip to net-long.

Important Monitoring Events:

• Treasury auction results (BTC, tail behavior)
• Weekly Fed custody (foreign buyer behavior)
• CFTC reports (position shift signals)
• MOVE daily closing below 95 for confirmation

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5. Final Notes

Attractive yields are not sufficient.
Structural clearing of volatility, buyer constraint, and policy alignment must happen before TLT becomes a full Buy.

Until then, limited partial entries are possible, but a high-conviction full investment requires more confirmation.