Futures Stronger But At Session Cheaps At Lunch

At the Tokyo lunch break, JGB futures are stronger, currently standing at 148.53, +9 compared to the settlement levels. The contract is however at Tokyo session lows after reaching 148.65 in early trade.

• Whether there will be a large loss in the Bank of Japan’s sovereign debt holdings during an exit from monetary easing will depend on the economic circumstances of that time, BoJ Governor Ueda says in response to questions in parliament. (link)
• Bloomberg reports that Mizuho Financial Group Inc. is ditching illiquid assets and shortening the average maturity of its Japanese and other sovereign bond holdings, so it’s positioned to deploy money after expected policy changes over the next 12 months. (link)
• Cash JGBs are little changed across the curve apart from the 1-year and 40-year zones which are 0.7bp higher. The benchmark 10-year yield is 0.2bp lower at 0.439%. The 2-year JGB is trading flat at -0.059%, showing little concession, ahead of the planned Y2.9tn of supply.
• The swap curve has twist steepened. Rates are 0.4bp lower to 0.4bp higher with a pivot at the 20-year zone. Swap spreads are generally tighter.