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Risk-Parity Unwinds Cited

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The reluctance of Tsys to hold onto strong bids across the curve in the face of sharp sell-off in equities has spurred a lot of questions. (German DAX lead S&P futures rout earlier, both bounced after details of German shutdown aired). Varied desks pointing to position unwinds by Risk-Parity funds from midmorning on as Tsys scaled back deeper support. Levels rebounding now (note: Gold off lows as well):

  • DJIA down 781.04 points (-2.84%) at 27463.19
  • S&P E-Mini Future down 95.75 points (-2.83%) at 3334.75
  • Nasdaq down 339.6 points (-3%) at 11431.35
  • US 10-Yr yield is down 0.5 bps at 0.7626%
  • US Dec 10Y are up 3/32 at 138-30
  • EURUSD down 0.0044 (-0.37%) at 1.1737
  • USDJPY down 0.1 (-0.1%) at 104.14
  • WTI Crude Oil (front-month) down $2.23 (-5.64%) at $37.90
  • Gold is down $25.09 (-1.32%) at $1896.43

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