Assessing Thursday's Swings

TYM1 +0-01 at 132-19+ in early Asia-Pac trade after the contract sold off heavily on Thursday, but finished well off worst levels of the day.

• The belly of the curve provided the weak point on Thursday with the wings cheapening by 4-5bp, while 5s sat ~21bp cheaper come the closing bell, cheapening by ~24bp on the 2-/5-/10-Year butterfly. Weakness in Antipodean FI markets made for a soft start to Asia-Pac trade on Thursday, with momentum building through European hours. NY trade then saw an acceleration on the lack of pushback re: the recent yield moves from various Fed officials, including NY Fed President Williams, with positive weekly jobless claims & durable goods data witnessed, followed up by a very soft round of 7-Year Tsy supply. In terms of auction specifics, Thursday's volatility resulted in a tail width of just over 4.0bp, with the cover ratio cratering and dealer takedown surging, allowing the 5-/30-Year yield spread to flatten to fresh intraday lows post-auction on the back of profit taking/stops in steepener positions.
• There is a lack of headline tier 1 catalysts slated for Asia-Pac hours, with broader focus set to fall on the regional reaction to Thursday's sell off.