Futures Slide Back Into Negative Territory

JGB futures have slid back into negative territory, -6 compared to settlement levels, in the Tokyo afternoon session. The session range has been relatively narrow today ahead of US payrolls later today.

• There have been no economic releases today.
• (Bloomberg) “A rise to 0.7% is possible and the BoJ may continue to slow the pace of yield gains if it reaches that level too soon,” said Hideo Shimomura, senior portfolio manager at Fivestar Asset Management Co. in Tokyo. “The BoJ doesn’t want a sharp, one-way move close to 1%. Operations so far have seen more ‘smoothing’ actions rather than efforts to stop gains. They may tighten their grip more if the 10-year yield rises near 0.8%”. (See link)
• Cash JGBs are flat to 4.7bp cheaper (30-year zone) across the curve. The benchmark 10-year yield is unchanged at 0.653%, above BoJ's YCC old limit of 0.50% but below its new hard limit of 1.0%.
• The swaps curve has twist steepened, pivoting at the 7-year, with rates 0.1bp lower to 2.9bp higher (30-year). Swap spreads are tighter out to the 5-year and mixed beyond.
• On Monday, the local calendar sees the release the BoJ Summary of Opinions for the July MPM along with the Leading and Coincident Indices for June (preliminary).