Risk-On, or Risk-Off Unwind?

Tsys have receded all the way back to early Monday levels late Thursday. After a higher start to the session, futures trade broadly weaker after the close on heavier volumes (TYZ over 1.8M) as equities stage a strong rebound (ESZ0 +60.0) after Wed's rout. Yld curves sharply steeper, especially in the short end.

• * Despite the apparent risk-off unwinds risk-metrics have not changed, virus case counts continue to rise, Europe contemplates broader lock-down measures to contain, will red-zones in the US be far behind?
• * Election angst: countdown to next Wed's presidential elections winding down, trade has grown choppy amid a mix of unwinds and cross-current flow. Equities rallied sharply, partially driven by "fear of missing out" FOMO buying on the bounce; sources cited ongoing Asia bank selling Tsys to draw down Tsy positions after risk parity sold both Tsys and equities on Wednesday. Deal-tied hedging and month end flow also relevant.
• * Another auction tail, US Tsy $53B 7Y Note auction (91282CAU5) drew 0.600% rate (0.462% last month) vs. 0.587% WI; 2.24 bid/cover vs. 2.42 prior.
• * The 2-Yr yield is up 0.4bps at 0.1505%, 5-Yr is up 4bps at 0.3701%, 10-Yr is up 5.7bps at 0.828%, and 30-Yr is up 5.8bps at 1.6115%.