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Futures Holding An Uptick At Lunch, Awaits 20-Year Supply

JGBS

JGB futures are holding an uptick at the lunch break, +8 versus settlement levels, reversing overnight weakness despite much stronger than expected Q1 GDP data.

  • There hasn’t been much in the way of domestic drivers to flag, outside of GDP data.
  • According to a Bloomberg article (link) Barclays suggests that investing in carry strategies is gaining strength as expectations for higher yields diminish and uncertainties surrounding monetary policy recede.
  • Cash JGBs are richer beyond the 1-year zone with yields 0.4-1.1bp lower and the yield curve flatter. The benchmark 10-year yield is 1.1bp lower at 0.386%, below the BoJ's YCC limit of 0.50%. Ahead of supply today, the 20-year yield is 0.9bp lower at 1.004%, showing no sign of concession as it performs in line with the curve.
  • Swap rates are lower across the curve with swap spreads wider out to the 30-year zone.
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