Curve Twist Flattens

The early Asia bid in core FI markets that we have flagged recently seems to be a mixture of regional demand after Friday’s post-NFP sell off and expectation that the BoJ will act (maybe even pre-emptively) to defend the top of its permitted 10-Year JGB yield trading band. There hasn’t been anything in the way of major macro headline flow for markets to latch onto and the move looks like it could be at least partially JGB-driven. TYH2 now +0-04+ at 126-29, a touch shy of highs, operating in a 0-08+ range thus far, on more than healthy volume of ~52K lots. Meanwhile, while cash Tsys have twist flattened with yields running +0.5bp to -1.0bp across the curve, pivoting around 7s.