Rates surged higher on back of.........>

US TSY FLOWS: Rates surged higher on back of renewed virus pandemic angst,

risk-off w/equities tumbling through the session. 

- Containment plans/efforts as case and fatality numbers rise taking bite out of

risk appetite for much of day -- late unwinds/profit taking has rates off highs,

eminis off lows (-94.0 at 3245.0 vs. 3214.25 session low. Real vol delivered

w/VIX as high as 26.31 (23.68 +6.60 late); Gold +13.0 but well off pre-open high

1688.63 +44.0.

- Massive volumes (TYH near 4M) a little deceiving as Mar/Jun rolling kicked

into high gear ahead Fri's first notice. Sources reported fast$ selling short

end, real$ buying 5s, 7s, 10s and 30s, talk of convexity hedging w/big axe

around 1.80% 30YY (1.841% late). Little in way of high-grade corp deal hedging

w/issuers on sidelines due to rise in mkt risk/vol

- Heavy option volume largely focused on upside call buying/rate cut hedging of

two to three rate cuts by year end.

- The 2-Yr yield is down 9.4bps at 1.2599%, 5-Yr is down 10.6bps at 1.2162%,

10-Yr is down 9.1bps at 1.3805%, and 30-Yr is down 7.3bps at 1.8414%.