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Futures Hold Losses At The Break, 3 month Supply Soon

JGBS

JGB futures have maintained familiar ranges post the early dip. We sit at 146.48, -.27 at the break. Pre break highs were at 146.56, against earlier lows 146.42.

  • The bias in US Tsy futures has been to the downside as the session has progress, although we aren't yet sub Thursday lows.
  • Fresh macro drivers for JGBs have been absent post the earlier CPI data and onshore bank warning around a potential BOJ shift in January.
  • Cash JGB yields sit 4bps higher in the 10yr space, last at 0.623%. We have seen larger yield gains in the 20-40yr tenor. 10yr swap rates sit at 0.83%.
  • Still to come is 3 month supply, and the enhanced liquidity auction.

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