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Futures Retrace Lower, But Within Recent Ranges, BoJ Bond Buying Ops In Focus

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JGB futures gravitated lower post the Tokyo close on Thursday. JBM4 finished up at 144.10, -.17. This keeps us within recent ranges for the past week.

  • We had some negative spill over from US Tsys, with the 10yr future pulling back from recent highs. Fed commentary was cautious around inflation, while US data was mixed.
  • Today the focus will be on the BoJ buying ops. Recall on Monday the ¥50bn reduction in purchases for the 5-10yr tenor drove a sharp pull back in JGB futures.
  • The BoJ will offer to buy 1-3yr bonds (prior purchases at ¥376bn), 3-5yr (prior purchases at ¥425.6bn), 5-10yr (prior purchases at ¥425.7bn) and 25yr+ (prior purchases at ¥75.4bn).
  • The sell-side community is somewhat divided around further cuts in purchases today (per Bloomberg). If we do see another reduction it could remain within the planned schedule announced by the central bank (see this link), as was the case on Monday.
  • In terms of cash JGB yields, the 10yr finished up just under 0.93% on Thursday, the 30yr near 2.035%. The 10yr swap rate tracks around 0.98%.
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JGB futures gravitated lower post the Tokyo close on Thursday. JBM4 finished up at 144.10, -.17. This keeps us within recent ranges for the past week.

  • We had some negative spill over from US Tsys, with the 10yr future pulling back from recent highs. Fed commentary was cautious around inflation, while US data was mixed.
  • Today the focus will be on the BoJ buying ops. Recall on Monday the ¥50bn reduction in purchases for the 5-10yr tenor drove a sharp pull back in JGB futures.
  • The BoJ will offer to buy 1-3yr bonds (prior purchases at ¥376bn), 3-5yr (prior purchases at ¥425.6bn), 5-10yr (prior purchases at ¥425.7bn) and 25yr+ (prior purchases at ¥75.4bn).
  • The sell-side community is somewhat divided around further cuts in purchases today (per Bloomberg). If we do see another reduction it could remain within the planned schedule announced by the central bank (see this link), as was the case on Monday.
  • In terms of cash JGB yields, the 10yr finished up just under 0.93% on Thursday, the 30yr near 2.035%. The 10yr swap rate tracks around 0.98%.