Futures Test Week To Date Highs, BoJ Bond Buying Ops On Tap Tomorrow

JGB futures sit just below session highs. JBM4 was last at 144.27, +.36. Post the lunch time break we got to highs of 144.35, after a solid 20yr auction result.

• These moves put us back to earlier highs for the week and above levels that prevailed prior to the BoJ curbing its bond buying ops (for the 5-10yr tenors).
• The 20yr auction saw a pick up in the bid to cover ratio to 3.65, the highest since February, while the tail also shortened compared to the prior auction, suggesting firm underlying demand.
• Positive impetus for JGB futures has also been from higher US TSy futures, which pushed through Wednesday highs in earlier dealings.
• On the data front, we had weaker than expected Q1 GDP and downward revisions to Q4 growth. Still, government officials are hopeful Q2 momentum will be better as some one-off headwinds fade, while consumption could be aided by higher wages.
• For cash JGBs yields, losses are concentrated in the 7-10yr tenors where we are off 3-4bps. The 10yr yield sits back near 0.92%. The 30yr yield is down around 2bps. The 10yr swap rate has continued to track lower last under 0.98%.
• Tomorrow the data calendar is empty but we do have BoJ bond buying ops, as well as a 3mth bill auction.