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BLOCK, Green June Call Fly


Russia 1Q21 GDP Prints Above Expectations

JGBS: JGB futures have once again edged away from support around the 150.00
region, with participants focused on the upcoming 10-Year JGB auction.
- Early dealing has seen little in the way of concession being built into the
space, with yields edging lower and some modest curve flattening apparent.
- From a RV perspective the 10-Year sector trades rich in ASW terms vs. the
20-Year b'mark, but holds slightly more appeal than 7-Year paper. The same holds
true in z-spread terms. 20-Year paper also offers a more attractive carry & roll
prop. This auction will draw attention after the BOJ's recent reduction to both
the lower & upper bounds of its 25+ Year JGB purchases for the month of Oct. The
alterations to the BOJ's super-long purchase plan may mean that funds decide to
allocate more capital to 10-Year paper, at least in the short-term. There seems
to be a lack of short covering requirements at the auction, although the lack of
conviction in establishing fresh shorts could prove to be supportive.
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