Core FI Tight In Asia, 5-Year JGB Supply & Futures Rolls Dominate

T-Notes -0-00+ at 133-07+, sticking to the confines of a 0-02 range in Asia dealing, while cash Tsys sit unchanged to ~0.5bp firmer on the day. There has been little to note on the headline front, outside of hawkish reutterances from Dallas Fed President Kaplan, who pointed to a need to get underway with tapering in October. A 5.0K block buy of TYV1 134.00 calls headlined on the flow side. Thursday will bring weekly initial jobless claims data & 30-Year Tsy supply, while the latest ECB monetary policy decision will garner attention. We will also get plenty of Fedspeak, with Bowman, Williams, Evans & Daly all due to make addresses (although some may not comment on monetary policy).

• JGB futures retraced into the overnight range after a brief look above at the re-open, with a lack of fresh tier 1 headline catalysts observed. Plans to extend the state of emergency in play across 19 prefectures were confirmed by Economy Minister Nishimura after press reports pointed to such a move overnight. Futures +2 vs. settlement last. Cash JGB trade sees the major benchmarks little changed to ~1.0bp richer, with 5s outperforming. Strength in the belly was aided by a well-received round of 5-Year JGB supply. The low price just about topped broader dealer estimates (which stood at 100.50 per the BBG dealer poll), while the cover ratio moved higher (4.42x vs. 6-auction average of 3.70x), likely supported by the relative value appeal and recent cheapening that we flagged ahead of the auction. The price tail remained very tight, showing some incremental narrowing.
• Aussie bond futures were fairly stagnant, clinging onto the bulk of their overnight gains, with roll activity dominating (sellers of the rolls have driven most of the activity thus far). The space continues to look through the local COVID case numbers, with NSW outlining its path out of lockdown, centring on a 70% fully vaccinated ratio. YM +0.7 & XM +3.1 at typing, with the long end of the cash ACGB curve richening by ~3.5bp on the day.