Risk aversion support for rates........>

US TSY FLOWS: Risk aversion support for rates returns after the midweek

reversal. Tsys more than made up for Wed's sale as virus risk returned, Fri's

monthly jobs data taking a back seat to return of global COVID-19 spd. Tsy

futures seemed reluctant to revisit earlier highs, however, even as equities

continue to extend the late sell-off (emini -105.0). 10YY dipped below 0.90 for

the first time earlier to 0.8976%, 0.9168% last. Yld curves little flatter.

- Short end rates pricing in another 50bp cut at the next FOMC meeting:

Eurodollar futures were well bid across the strip, Whites lagging Reds-Golds. 

- Massive option volume continues amid better upside call buyers hedging

multiple rate cuts through summer (June 100 call buyers late), sellers taking

profits or rolling out and up.

- Swap spds mostly wider, 2Y off highs. Short end surged wider midday (10Y

dis-inverts back to early 2019 levels), pulling much of the spd curve higher

w/the exception of 30Y. 

- The 2-Yr yield is down 11.7bps at 0.5756%, 5-Yr is down 11.6bps at 0.6668%,

10-Yr is down 13.7bps at 0.9152%, and 30-Yr is down 14.5bps at 1.5567%.