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Cash Curve Bull-Flattener Ahead Of US Payrolls

JGBS

JGB futures remain sharply stronger but are off session highs, +64 compared to settlement levels.

  • The local calendar has been light today with only Monetary Base data released.
  • This morning’s BoJ Rinban operations saw mixed results, with negative spreads but slightly higher offer cover ratios. In line with the QT taper announcement at Wednesday’s BoJ Policy Decision, sizes were reduced by Y25-50bn than previous operations for the buckets beyond the 1 year.
  • Cash US tsys are currently ~1bp richer ahead of US Payrolls data later today, having been as much as 2-3bps richer earlier in the session.
  • Nonfarm payrolls are expected to moderate further in July after the slight beat in June was more than offset by large negative revisions to the prior two months. (See MNI US Payrolls Preview here)
  • The cash JGB curve has maintained its bull-flattening, with yields 3-8bps lower. The benchmark 10-year yield is 6.2bps lower at 0.979% versus the cycle high of 1.108%.
  • The swaps are dealing mixed, with rates 2-3bps lower apart from the 20-30-year zone which is flat. Swap spreads are wider.
  • Next week, the local calendar will see the BoJ Minutes of the June Meeting alongside Jibun Bank Composite & Services PMIs on Monday.
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