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Futures Pare Overnight’s Downtick, Swaps Curve Bear Steepens


JGB futures pare the post-Tokyo downtick to be -8 versus settlement levels. The move away from overnight cheaps has been aided by marginally richer US tsys in early Asia-Pac trade.

  • April’s monetary base fell 1.7% Y/Y versus -1.0% in March but failed to have any appreciable impact on the market.
  • Without any meaningful domestic headlines, local participants appear content to eye US tsys ahead of Euro Area CPI (Apr) later today and the FOMC policy decision tomorrow.
  • Cash JGBs are 0.2bp richer to 1.7bp cheaper with the 2-year zone the strongest and the 20-year zone the weakest. The benchmark 10-year yield is 0.8bp higher at 0.415%, below the BoJ's YCC limit of 0.50%.
  • Swaps curve bear steepens with swap spreads wider out to the 10-year zone and narrower beyond.
  • The MoF is also scheduled to sell Y6.3tn 3-month bills and conduct a Liquidity Enhancement Auction For OTR 1-5 Year JGBs.

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