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Demand Stronger At Liquidity Enhancement Auction For OTR 5-15.5-Year JGBs

JGBS

Stronger demand was seen at the latest liquidity enhancement auction covering off-the-run 5-15.5 Year JGBs, compared to the previous auction covering these maturities (June 8). Today’s cover ratio is 4.237x versus 3.100x prior.

  • Spreads observed at the auction were however slightly higher than that seen last time out with the average accepted spread +0.005% versus +0.002% previously.
  • As flagged in our auction preview, the cheapening in the 5-15-year zone since the June 8 auction likely enhanced demand for paper in those areas of the curve rebound.
  • Dissipating uncertainty with respect to a possible tweak to YCC at next week’s BoJ policy meeting may also have assisted demand today.
  • JGB futures are slightly weaker in early afternoon trade.
  • Cash JGBs in the 5-20-year zone are little changed post-auction.
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