A Little Cheaper In Asia

TYZ1 drifted lower early on in Asia, with a recovery from lows in oil futures and a ~0.3% uptick for e-minis applying some light pressure, in addition to the regional reaction to Friday's comments from Fed Vice Chair Clarida & Governor Waller. The truncated Tsy supply schedule owing to the Thanksgiving holiday provided another likely source of pressure (2- & 5-Year Tsy supply is due on Monday). Still, the space recovered from lows, with the lack of a wider bid in Asia-Pac equities (ex. China, which benefitted from increased speculation re: the prospect of targeted easing from the PBoC) and continued worry re: the COVID situation in Europe providing some interest as we moved through the session. TYZ1 last -0-06+ at 130-21+, 0-03 off lows. Cash Tsys run 0.5-1.5bp cheaper across the curve, with 2s and 3s leading the way lower ahead of the aforementioned supply. Flow was headlined by a 15K screen buyer of the 3EH2 97.625/97.375 put spread.

• To recap, Friday saw 2- to 5-Year paper fully unwind the early richening linked to a widening COVID lockdowns in Europe, with commentary from Fed Vice Chair Clarida & Governor Waller re: the potential for a more aggressive tapering move from the Fed facilitating that dynamic. This promoted twist flattening of the curve, with 30s going out just off of intraday richest levels as equity markets nudged lower (excluding the NASDAQ, which benefitted from lower long yields). Futures roll activity also aided volume.
• Existing home sales data & the latest Chicago Fed national activity index reading hit later today, in addition to the previously flagged Tsy supply.