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Futures Firm As 5yr Supply Well Received & US Tsy Firmness, Q3 GDP On Tap Tomorrow

JGBS

JGB futures sit near session highs in afternoon dealing, last 144.63, +.25 (session highs at 144.67). The positive catalysts coming from well digested 5yr supply and a tick higher in US Tsy futures (last 117-14).

  • The 5yr auction registered a higher than expected cut-off price per BBG, while the bid to cover ratio rose to 4.17 from 4.06 prior (see this link). The last 5yr auction was held on October 11.
  • Cash JGBs sit lower in yield terms, led by the 5yr. We were last at 0.40% (down nearly 3bps), while the 10yr yield was 0.86%, off a touch for the session so far.
  • Swap rates are slightly weaker in yield terms, off between 2 to 3bps from the 5yr to 40yr tenors. The 10yr swap rate is back sub 1.05%.
  • Tomorrow, we have Q3 GDP as the main focus data wise. The market consensus looks for a modest q/q contraction in growth.
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