Markets are still very much in risk-off mode as South Korea and Italy are emerging as the new Coronavirus epicenters while China is still battling the outbreak and grappling with the economic outfall. While Fed-speakers over the weekend (Clarida, Mester) were in unison that the central bank will not be as slave to markets, USD OIS are moving to price in a third Fed rat cut as the Treasury yield curve remains inverted. The low point of the 1-month forward OIS curve is at 0.88 while the spread between the 1m1m and the low point (21m1m) is 64bps.

 

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