Futures Dip Into Negative Territory, Swaps Curve Bear Steepens

JGB futures sit at Tokyo session lows, -3 compared to settlement levels, after local participants faded strength seen in overnight trade ahead of the weekend. Assisting the move lower over the Tokyo session has been a cheapening in US tsys in Asia-Pac trade.

• Consumer Confidence for April, just released, surprised on the upside with a print of 35.4 versus expectations of 34.5 and 33.9 in March. The data however failed to generate a significant immediate market reaction.
• JBM3 currently sits at 148.57, sandwiched between the April trading range's top at 147.92 and the March 22 high at 149.53. Technical analysis from MNI suggests that breaking the March 22 high would signal the continuation of the uptrend.
• Cash JGBs are trading mixed across the curve, with the 4-5-year zone outperforming. Benchmark yields are 0.4bp lower to 4.2bp higher, with the 30-40-year zone experiencing the weakest performance. The benchmark 10-year yield is 0.3bp higher at 0.397%, well below BoJ's YCC limit of 0.50%.
• The swaps curve has bear steepened with rates 0.2-5.6bp higher. Swap spreads are wider across the curve.
• The local calendar is light tomorrow with Monetary Base data for April as the highlight.
• A Liquidity Enhancement Auction For OTR 1-5 Year JGBs is scheduled for tomorrow.