Futures Pare Overnight Gains

JGB futures chipped away at early overnight session gains during post-Tokyo dealing, with the wider risk-off impulse that was felt during the European morning providing support and a base to build on Tuesday’s post-40-Year JGB auction rally, before a turnaround in U.S. Tsys saw the contract off of bullish extremes. That left JGB futures +13 vs. yesterday’s settlement shortly after the Tokyo re-open, in line with late overnight session levels.

• Note that the contract showed above its Mar 14 high in post-Tokyo trade, extending the rebound from its mid-June cycle cheaps (the overnight high of 150.53 now provides the initial point of technical resistance).
• BlueBay Asset Management maintain their notable short position in 10-Year JGBs, even in light of the recent rally/BoJ defence of its current YCC settings, with their CIO noting that “we have been looking for the Bank of Japan to signal a policy shift in September as inflation continues to rise with the yen trending weaker as policies diverge. This continues to be the case.”
• Today’s domestic release calendar is limited at best, with the leading and coincident indicators providing the only economic releases.