US Dollar (USD)
Breakevens narrowed further amid the virus induced risk-off. The 5y point was the worst performer as some buyers on the dip entered into the front end
Gamma catapulted higher still. Longer expiries also pulled higher, with vanna hedging needs, along with a lack of new supply. Receiver skew richens.
Swap receiving flows have mirrored the duration grab-a-thon in USTs today. The 2y and 5y auctions tailed, however, with the 5y seeing a worse tail.
Just under $26bn priced in IG last week, bringing the MTD total to over $128bn, topping expectations. However, virus fears have put supply on hold.
A global risk-off move has rallied 10y USTs as much as 8.5bps overnight. Strategists look, as the combined impact on the curve of corona and Formosas.
Outright long-end receiving and a sharp drop in 30y swap rates emerges. LCH/EUREX remains bid amid paying interest.
BEs bear steepened as fears of spreading coronavirus soured the risk tone.
A rising fear factors amid a further spread of the coronavirus and decent delivereds supported gamma.
Fears of the coronavirus have fueled further safe haven demand of USTs. Barclays looks at Fed’s bill purchases.
The insatiable appetite for tales of imminent disaster that this crowded word now clings to has found a new feeder in the coronavirus.