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Risk Negative Tone Reverberates In Asia


(Z2) Bearish Price Action


Remains Vulnerable


(Z2) Bear Trend Accelerates

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US SWAPS: Spds broadly wider after the bell, little off midday wides with
intermediates to long end outperforming. Couple factors at play -- lack of
swappable supply as virus pandemic angst continues to keep issuers sidelined,
same mkt vol spurring tactical rate paying from fast$ and props, touch of
negative convexity hedging late as 10YY fell to new all-time low of 1.2988%
before rebounding. Latest levels:
Time(ET)   2Y Swap/Mid    5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid
Wed 1500   +0.31/+4.44    +1.00/+0.75   +1.19/-5.31    +1.38/-37.12
1230       +0.38/+4.50    +1.12/+0.88   +1.31/-5.19    +1.50/-37.00
1000       +0.06/+4.19    +0.88/+0.62   +1.12/-5.38    +1.25/-37.25
Wed Open   +0.12/+4.25    +0.56/+0.31   +0.69/-5.81    +0.25/-38.25
Tue 1500   +0.69/+2.00    +1.12/-0.25   +0.50/-6.50    -1.00/-38.50
Tuesday recap: Spds running mostly wider, off highs, 30Y collapsing late. Spds
pared early gains after surge in swap-tied paying/receiver unwinds around 0900ET
in 2s-10s, flow turning more two-way over last hours, some deal-tied and
pre-auction short sets well ahead the 2Y note auction. 

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