Tight Asia Session For Core FI

The lack of macro headline flow and the Thanksgiving holiday-hampered nature of the session (when it comes to both liquidity and a shortened trading day for futures/closure for cash Tsys) has resulted in a narrow round of trade for TYZ1 thus far. The contract last deals -0-01 at 129-25+, operating within the confines of a 0-03+ range.

• JGB futures trade 3 ticks below settlement levels, in a limited Tokyo session. Yields out to 20s are ultimately within 0.5bp of yesterday's closing levels, mostly biased lower on the day, with 30s and 40s richening by ~1.0-1.5bp as the market shrugged off the apparent relatively tame issuance requirements surrounding the fiscal support package if press reports are to be believed. Mixed demand metrics were observed in the latest 40-Year JGB auction, which produced a high yield that was below wider expectations. Elsewhere, the cover ratio was a little softer vs. what was seen at the previous 40-Year auction, printing at the lowest level witnessed at a 40-Year auction since Aug '15. Still, 40s outperformed on the curve on the aforementioned issuance expectations.
• Aussie bond futures experienced a lacklustre session with YM -4.5 and XM -1.0 at the bell, looking through local data releases (a marginally softer than exp. private capex print for Q3, accompanied with negative revisions for Q2 and an uptick in 21/22 capex exp., as well as another uptick in ABS payrolls). The cash curve bear flattened after the U.S. Tsy-linked bid (from Wednesday trade) in the long end faded as we moved through the day. Swap spreads & EFPs tightened again after yesterday's aggressive narrowing from extremes. The initial tightening of spreads was seemingly facilitated by a combination of spill over from post-RBNZ rate market dynamics across the Tasman and a slight moderation in the usage of the RBA's SLF, with the latter pointing to slightly less worry re: collateral shortage in the ACGB space.