Futures Holding In Positive Territory, 20Y Supply Tomorrow

JGB futures remain richer, +8 compared to the settlement levels, but well below the post-Tokyo high seen before the weekend.

• There hasn’t been much in the way of domestic drivers to flag. The local calendar has been empty so far today, with Industrial Production and Capacity Utilisation for August due later.
• Accordingly, local investors have likely monitored US tsys in today’s Asia-Pac session for guidance. Cash US tsys are holding 1-5bbps cheaper, with the curve steeper. Little meaningful macro news flow has crossed. TYZ3 deals at 107-18, -0-05 compared to NY closing levels.
• Cash JGBs are slightly mixed, with the range of yield movements bounded by -0.7bp (10-year) and +1.5bps (40-year). The benchmark 10-year yield is at 0.754%, above BOJ's YCC soft limit of 0.50% but below its hard limit of 1.0%. It is also lower than the cycle high of 0.814%.
• MT Newswire reports that the BOJ has purchased a total of 1,010 trillion yen in JGBs over the past decade, according to recent data from the central bank.
• Swap rates have slightly bear-steepened, with 0.1bp to 0.8bp higher. Swap spreads are generally wider out to the 20-year and tighter beyond.
• Tomorrow the local calendar is light, with the Tertiary Industry Index as the sole release.
• Tomorrow, the MOF plans to sell Y1.2tn of 20-year JGBs.