BoJ Policy Tweaks Applies Notable Pressure, Triggers Huge Volume

The BoJ’s YCC tweak (outlined elsewhere) has loosened what is arguably the final remaining anchor for global duration, which pressured wider core global FI markets during the Asia-Pac session.

• That leaves the major cash Tsy benchmarks running 1.5-10.0bp cheaper into London hours, bear steepening. TYH3 is -0-18+ at 112-18, 0-06+ off the base of its 0-26 range, on outstanding volume of ~365K.
• Modest two-way gyrations had been observed pre-BoJ as Asia-Pac participants set up for the event and adjusted to Monday’s wider price action.
• A flurry of screen sales dominated post-meeting, with a block sale of TY futures also observed (-2,023).
• BoJ Governor Kuroda’s post-meeting press conference will dominate into London hours. ECB speak will then headline after the London handover, while building permits and housing starts data provides the most notable round of economic data during the NY session.