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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%.

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