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Futures Tight, Curve Twist Steepens

JGBS

JGB futures held a tight range in morning trade, going out 1 tick above settlement levels, with little to go off on the headline front. Cash trade saw some twist steepening, with swap spreads widening across the curve.

  • The latest round of BoJ Rinban ops saw the BoJ leave its 1-3, 5-10 & 25+ Year purchase sizes unchanged, with the following breakdown observed:
  • 1-3 Year: Offer/Cover 2.28x (prev. 2.91x) Average Spread 0.003 (prev. -0.006)
  • 5-10 Year: Offer/Cover 3.66x (prev. 2.37x) Average Spread 0.004 (prev. -0.006)
  • 25+ Year: Offer/Cover 4.48x (prev. 3.69x) Average Spread 0.015 (prev. 0.018)
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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