Futures Stronger But Off Session Bests, FX Intervention Talk Impacts

JGB futures are higher but off session highs, +11 compared to the settlement levels. The move higher in JGB futures was seen alongside pressure on the USD/JPY as Finance Minister Suzuki reiterated that Japan won't rule out any options to address excessive FX moves. JBU3 hit a high of 147.03 versus its current level of 149.95.

• US tsy futures also spiked on the comments, although have subsequently pared those gains, with cash US tsys currently sitting 2-3bp richer across the major benchmarks. TYZ3 deals at 110-07, +0-07+.
• The move higher in futures was likely assisted by the previously outlined domestic data drop that was weaker than expected across the board, including labour cash earnings and Q2 (Final) GDP.
• Cash JGBs are flat to richer across the curve, with yields flat to 1.2bp lower. The benchmark 10-year yield is 1.2bp lower at 0.645%.
• Swap rates are lower across the curve, with pricing -0.1bp to -0.8bp. Swap spreads are generally tighter.
• Bloomberg reports that the continued weakness in the yen could put the BoJ under political pressure to trim the amount of its debt-purchase operations, according to Barclays chief yen rates strategist Ebihara. “The BoJ could realistically reduce its JGB purchases at a pace needed to avoid a net increase in its holdings in 2024”. (See link)
• On Monday, the local calendar is light, with M2 & M3 Money Stocks as the only releases.