Futures Downtick Despite Strong Rally In US Tsys Sparked By Weak Data

In post-Tokyo trade, JGB futures downtick, closing -2 compared to settlement levels, despite US tsys finishing 4-11bp richer across the major benchmarks. The curve bull steepened. US tsys firmed after the latest round of US data, JOLT Job Openings were softer than forecast (lowest in over two years) and August Consumer Confidence printed at 106.1 versus expectations of 116.0.

• Terminal rate pricing, observed via FOMC dated OIS, ticked lower and now sits at ~5.45%. There are ~65bps of cuts priced to July 2024.
• Bloomberg reports that there’s a risk that JGB auctions will meet sluggish demand next week after investors showed little enthusiasm for this month’s debt sales, says Shoki Omori, chief desk strategist at Mizuho Securities. With fewer participants trading JGBs, demand at upcoming 10- and 30-year debt auctions could be tepid after disappointing results for 20- and 2-year debt sales in August.
• The BoJ should stop trying to keep policy normalisation speculation at bay by offering an inflation outlook that doesn’t reflect reality, according to one of the country’s leading experts on prices. (See link)
• Today the local calendar sees Consumer Confidence data for August, along with BoJ Rinban operations covering 3- to 25-Year+ JGBs.