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Futures Nudge Lower, Swap Spreads Widen

JGBS

JGB futures adjust lower vs. late overnight session levels as Tokyo participants react to news flow since Friday’s close (outlined in previous bullets), leaving the contract +2 shortly after the re-open. A marginally firmer than expected domestic services PPI print will also be aiding that particular direction of travel. Cash JGBs see some net cheapening in the extremities of the wings (2s and 40s are higher in yield terms on the day), while the remainder of the curve is flat to 2bp richer as Tokyo assesses continued worry re: European banks and the potential for further policymaker support for U.S. banks. Swap flows will be providing a source of pressure, with steepening observed on that curve as rates run 0.5-2.0bp higher, meaning that swap spreads have widened. Local headline flow remains light outside of the data.

MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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