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Futures Holder Stronger Despite Poor 20-Year Auction

JGBS

JGB futures sit off session bests, +9 versus settlement levels, after a soft auction of 20-year JGBs. In terms of auction specifics, the cover ratio barely topped the level seen at the previous 20-year auction, which represented the lowest level seen at a 20-Year auction going back to 2012.

  • Nonetheless, JGB futures (147.51) sit comfortably in the range of 147.40-147.92, which it has generally traded in since early April, barring a few probes through the lower limit over the past few days. According to MNI's technical analyst, if prices break below this week’s low of 147.27, it may indicate a deeper retracement to 145.80, the March 13 low.
  • Cash JGBs curve steepened after the 20-year auction unwinding the morning session’s twist flattening. Yields are -1.4bp to +0.8bp across the curve, pivoting around the 20s.
  • Swap spreads are tighter out to the 30-year zone, with swaps also twist steepening.
  • Looking ahead, March CPI and Jibun Bank PMIs for April are scheduled for release tomorrow.
  • Friday will also see BoJ Rinban operations covering 1- to 25-Year JGBs.
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