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Futures Driven Rally, Super Long Swaps Tighten

JGBS

Cash JGBs firmed in Tokyo with 7s leading the way, richening by ~2.5p as the cash space played catch up to the U.S. Tsy-driven jump in futures during overnight trade. JBM1 +20, adding to the overnight rally, after an early, limited dip. Super-long dated swap spreads tightened by 1.0-2.0bp

  • A solid enough liquidity enhancement auction for off-the-run 5- to 15.5 Year JGBs was seen, with the cover ratio nudging higher and the difference between the high and average spreads only ever so slightly wider but moving deeper into negative territory when compared to the previous auction.
  • The quarterly BSI survey headlines the local docket on Friday.
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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