Futures A Little Lower Overnight After Failing To Breach Recent Highs

Cross-market gyrations from the wider core global FI sphere drove JGB futures in post-Tokyo trade, albeit with the usual lower beta intact. The high from the previous overnight session and Tokyo hours wasn’t breached on the early London pop higher surrounding Credit Suisse worry, before weakness in U.S. Tsys (after the recent run of notable SVB-inspired richening) came to the fore.

• That left JGB futures 34 ticks softer come the close of post-Tokyo trade, with any wider central bank repricing front and centre for JGBs after the short position clear out witnessed since the SVB failure started to unfold (particularly given 10-Year JGB yield and swap rate levels).
• As we noted yesterday, 10-Year JGB yields showed comfortably below the BoJ’s prior 0.25% yield cap on Tuesday, registering levels not seen since August in the process, before a pull back above that level into the close (closing around 0.27%).
• 10-Year swap rates (seen as a bit of a proxy for “fair value” of 10-Year JGBs) briefly showed below the BoJ’s 0.50% YCC cap on the Credit Suisse news, before closing back above that level.
• Local headline flow has been light since the Tokyo close, with global matters at the fore.
• The outdated meeting minutes from the BoJ’s January gathering and BoJ Rinban operations covering 1- to 10- & 25+-Year paper headline the domestic docket today.