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Risk-Parity ETF Unwinds?

US TSYS SUMMARY

Tsy futures opened well bid in reaction to steep losses in equities through London into New York trade (ESZ0 -120.0 in late trade). Tsy support was not consistent, however.

  • The reluctance of Tsys to hold onto strong bids across the curve in the face of sharp sell-off in equities spurred a lot of questions. It was evident early on that German DAX lead S&P futures rout, selling ebbed briefly after details of German shutdown aired).
  • Varied desks pointed to likely position unwinds by Risk-Parity funds from midmorning on as Tsys continued to scale back deep support into the close.
  • Delayed react to late headlines that France PM Macron calling for a nationwide lockdown to contain the spread of COVID-19 (will reevaluate in 15 days), helped Tsys bounce off lows while equities continued to fall (ESZ0 -120.0)
  • The 2-Yr yield is up 0.1bps at 0.1466%, 5-Yr is unchanged at 0.3301%, 10-Yr is up 0.5bps at 0.7727%, and 30-Yr is up 0.4bps at 1.5571%.
BulletMarketsFixed Income Bullets
BulletMarketsFixed Income Bullets

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