A lot of head scratching market........>

US TSY FLOWS: A lot of head scratching market moves Thu, Tsys rallied, long end

more than making up for the midweek refunding induced sell-off w/bonds back to

late Monday levels. Short end rallied as well: Fed fund futures covering 2021

surged >100.0, indicative of mkt pricing in negative rates; while equities

remained strong (ESM0 +49.0 late).

- Heavy volumes in FF futures, FFM1-FFQ1 up as much as 0.070 by midday, FFF1

trading near 100k. Dealer's offered opinions move won't last: UBS posits the

rally in FF is a likely dealer or fund stop out of positions vs. bank

portfolios. Decoupling should be short term, however, as "it is exceedingly

difficult to hold rates at those extreme levels for very long."

- Little react to multiple Fed speakers on day; some risk-off buying in minutes

after Senate majority leader McConnell said Senate likely to take up human

rights violation bill against China. (Aside, ECB pres Lagarde comments re: fear

of war and second wave of virus raised some eyebrows). The 2-Yr yield is down

4.4bps at 0.1349%, 5-Yr is down 7.3bps at 0.2991%, 10-Yr is down 7.3bps at

0.6298%, and 30-Yr is down 7.9bps at 1.3145%.