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Futures Weaker At Lunch, Rinban Operations Saw Positive Spreads & Higher Cover Ratios

JGBS

JGB futures are slightly lower at lunch, -12 versus settlement levels, ahead of the results of BoJ Rinban operations covering 1-10-year and 25-Year+ JGBs.

  • There hasn’t been much in the way of domestic drivers to flag, outside of the previously outlined weaker-than-expected trade data which appeared to give JGB futures an initial pop at the start of the Tokyo session.
  • The cash JGB curve twist steepens beyond the 1-year zone with the 7-year as the pivot. Yield changes range from -0.6bp (3-year) to +0.7bp (40-year). The benchmark 10-year yield is 0.3bp higher at 0.373%, well below the BoJ's YCC limit of 0.50%. The 20-year yield is 0.3bp higher at 0.979%, after yesterday's auction-induced decline of 3.7bp.
  • This morning’s BoJ Rinban operations saw flat to positive spreads and slightly higher cover ratios (1-3-year: 1.67x, 3-5-year: 2.21x, 5-10-year: 2.45x and 25-year+: 4.10x), which may generate some slight pressure in early rounds of the Tokyo afternoon session.
  • The swap curve twist steepens with rates 0.1bp lower to 1.0bp higher. Swap spreads are wider except for the 1-year zone.
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