Triple Swap: A Bloodbath Close for Overextended Carry
Wednesday rollover (close) can be the catalyst that turns an already-fragile tape into a late-day sell burst—especially if USD firms and close flow is net sell.
curve steepening → cost of time
cost of time → pressure on carry
pressure on carry → rollover stress
rollover stress → late-day risk transfer in all assets
The 10Y–2Y spread turning positive is telling you that the market is repricing the cost of time, not anticipating imminent easing.
Duration is being re-rated.
That kind of curve development doesn’t break markets immediately, but it punishes patience, leverage, and carry.
Carry trades that looked fine intraday start to look expensive when three days of financing are booked at once. If the dollar firms into the close while the curve continues to steepen via the long end, the path of least resistance is not digestion — it’s late-day risk transfer.
The Wednesday triple swap mechanic you outlined is underappreciated. Concentrating three days of financing into one close creates a liquidity crunch that most retail traders dont see coming. I remember watching this exact pattern unfold in early 2024 when the yen carry unwound and volatilty spiked precisely at that rollover window. The timing is never random.