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Futures Holding In Negative Territory, Ahead Of 2Y Supply

JGBS

In Tokyo morning trade, JGB futures are holding weaker, -10 compared to settlement levels.

  • Today, the local calendar is light apart from 2-year supply, ahead of the BOJ policy decision tomorrow. There is a growing level of uncertainty surrounding the possibility of the BOJ making further adjustments to its yield curve control.
  • Cash US tsys are 2-3bps cheaper so far in the Asia-Pac session.
  • Cash JGBs are slightly mixed, with yield changes bounded by +1.2bp (10-year) and -0.2bp (30-40-year). The benchmark 10-year yield is at 0.892%, above BOJ's YCC soft limit of 0.50% but below its hard limit of 1.0%. It is also slightly lower than the cycle high of 0.897% set today.
  • The 2-year is 0.2bp higher at 0.095%, slightly outperforming on the curve, ahead of today's supply.
  • Swap rates are slightly higher across maturities. Swap spreads are mixed across the curve.

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