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Futures & Longer-Dated JGBs Spike Higher In Afternoon Trade, No Obvious Driver

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In the Tokyo afternoon session, JGB futures spiked to a session high of 147.08, +26 compared to settlement levels, after trading in a narrow range in the Tokyo morning session. There was no obvious driver or headline. Currently, JBU3 is trading at 147.03.

  • There hasn’t been much in the way of domestic drivers to flag, outside of the previously outlined Q2 capex and company profits data, which were mixed relative to expectations, and an unchanged print for the Jibun Bank Manufacturing PMI.
  • Accordingly, local participants have likely been eyeing US tsys ahead of US Non-Farm Payrolls data later today. US tsys firmed off session lows alongside pressure on the USD after the PBOC cut the forex reserve requirement ratio by 2ppts. The move didn't follow through, with benchmarks little changed in Asia-Pac trade. ISM Mfg also crosses today.
  • The cash JGB curve has twist-flattened, pivoting at the 2s, with yields 0.2bp higher to 3.2bp lower. The benchmark 10-year yield is 1.9bp lower at 0.632%, above BoJ's YCC old limit of 0.50% but below its new hard limit of 1.0%.
  • Swaps rates are lower, with pricing 0.3bp to 1.8bp lower. Swap spreads are wider out to the 30-year.
  • Monday’s local calendar is light, with only Monetary Base data due. The BoJ will also conduct Rinban operations covering 1-5-year and 10-25-year+ JGBs.
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In the Tokyo afternoon session, JGB futures spiked to a session high of 147.08, +26 compared to settlement levels, after trading in a narrow range in the Tokyo morning session. There was no obvious driver or headline. Currently, JBU3 is trading at 147.03.

  • There hasn’t been much in the way of domestic drivers to flag, outside of the previously outlined Q2 capex and company profits data, which were mixed relative to expectations, and an unchanged print for the Jibun Bank Manufacturing PMI.
  • Accordingly, local participants have likely been eyeing US tsys ahead of US Non-Farm Payrolls data later today. US tsys firmed off session lows alongside pressure on the USD after the PBOC cut the forex reserve requirement ratio by 2ppts. The move didn't follow through, with benchmarks little changed in Asia-Pac trade. ISM Mfg also crosses today.
  • The cash JGB curve has twist-flattened, pivoting at the 2s, with yields 0.2bp higher to 3.2bp lower. The benchmark 10-year yield is 1.9bp lower at 0.632%, above BoJ's YCC old limit of 0.50% but below its new hard limit of 1.0%.
  • Swaps rates are lower, with pricing 0.3bp to 1.8bp lower. Swap spreads are wider out to the 30-year.
  • Monday’s local calendar is light, with only Monetary Base data due. The BoJ will also conduct Rinban operations covering 1-5-year and 10-25-year+ JGBs.