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Springtime Indoors

The overnight risk-off tone spurred on by pick-up in extended or renewed lockdowns in Europe continued through the US Session -- accelerating into the NY rates close:
deferring re-opening hopes weighed on stock indexes (hotel, travel shares hit hard), ESM1 extending session lows, while Tsys neared late overnight highs into the close.
  • US Data support for rates: new home sales fell: -18.2% TO 0.775M SAAR; U.S. current acct deficit widened by $7.6B, +4.2%, to -$188.5B in Q4, reflects expanded deficit on goods and reduced surplus on services. USD gained on European headlines: MERKEL IMPOSES EASTER LOCKDOWN, EXTENDS CURBS; NETHERLANDS EXTENDS LOCKDOWN UNTIL APRIL 20, RUTTE SAYS; ASTRAZENECA MAY HAVE GIVEN OUTDATED DETAILS ON COVID VACCINE, Bbg.
  • Yield curves bull flattened, long end made continued to rally after the bell, short end anchored on 2Y issuance: US Tsy $60B 2Y Note (91282CBU4): draws 0.152% high yield (0.119% last month) in-line w/ 0.152% WI, bid/cover 2.54 vs. 2.44 previous.
  • Heavy Fed funds sales -30k FFJ1, 99.935 to 99.93; -27k FFH1, 99.93.
  • Tone change in Eurodollar options accelerating, more constant and varied upside call buying, liquidation/unwinds put positions.
  • The 2-Yr yield is unchanged at 0.1472%, 5-Yr is down 3.7bps at 0.8254%, 10-Yr is down 5.6bps at 1.6382%, and 30-Yr is down 4.6bps at 2.3529%.

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