ACGBs Twist Flatten, Hawkish RBNZ Knocks Space Off Best Levels

Aussie bond futures sat just above session lows at the close, with YM -4.0 & XM +0.5. The broader curve twist flattened, as the major ACGB benchmarks ran 5bp cheaper to 1.5bp richer, pivoting around 10s.

• The early bid derived from the overnight rally in futures, linked to a bid in U.S. Tsys on Tuesday & COVID-related worry re: China, faded in lieu of the hawkish RBNZ decision across the Tasman, with little in the way of fresh impetus observed thereafter (activity was in part limited by a Japanese holiday and lack of meaningful headline flow post-RBNZ).
• Bills finished 3-12bp cheaper through the whites, with the back of the whites and front of the reds leading the weakness. The hawkish noises from across the Tasman allowed RBA dated OIS to tick higher, with terminal cash rate pricing now sitting just above 3.90%, a little over 10bp firmer on the day.
• ACGB May-32 supply was smoothly absorbed.
• Tomorrow’s domestic economic docket is essentially empty, with liquidity in wider global markets set to be sapped by the observance of the Thanksgiving holiday in the U.S.