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Futures Sit Slightly Above Session Lows At the Break, As BoJ Comes Into View

JGBS

Futures sit at 147.97, -11 at the break. We are up slightly from session lows of 147.93, but moves above 148.00 have drawn selling interest. The tone in TYU3 has been an offered one, last at 113-09, -05, which has likely weighed on JBU3 to some degree. US cash Tsy yields are higher, +2/+4bps, led by the front end.

  • Cash JGB yields are mixed, firmer in the 10yr, last to 0.432%, while the 7yr was last near 0.228% in yield terms. The 30-40yr are slightly lower in yield terms though.
  • 10yr swap rates are down a touch, back sub 0.60%. Yields are slightly higher in the 1-7yr bracket though.
  • We are now entering in the BOJ release window period.

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