US Dollar (USD)
USDi: TIPS hit; But weakness plateaus; 5y worst performer
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
USD Vol: Surface reinverts; Gamma soars, vega firms
Gamma catapulted higher still. Longer expiries also pulled higher, with vanna hedging needs, along with a lack of new supply. Receiver skew richens.
USD Swaps: Directional receiving; 2y and 5y tail
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.
USD New Issue Pipeline: Supply hampered by risk-off
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.
USD Swaps: Formosas and corona add to flattening potential
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.
EUR Swaps: Long-end yield grab as 30y swap sinks; ASWs fa...
Outright long-end receiving and a sharp drop in 30y swap rates emerges. LCH/EUREX remains bid amid paying interest.
USDi: BEs bear steepens as coronavirus spreads
BEs bear steepened as fears of spreading coronavirus soured the risk tone.
USD Vol: Rising fear factor and decent delivereds support...
A rising fear factors amid a further spread of the coronavirus and decent delivereds supported gamma.
USD Swaps: Coronavirus fuels safe haven demand; Fed bill ...
Fears of the coronavirus have fueled further safe haven demand of USTs. Barclays looks at Fed’s bill purchases.
USD Swaps: Fear lurks, but so far without conviction
The insatiable appetite for tales of imminent disaster that this crowded word now clings to has found a new feeder in the coronavirus.