JGB futures last -0.01, with the cash curve....>

JGBS: JGB futures last -0.01, with the cash curve twist steepening on the day,

following the theme seen in the broader core FI markets. 10+-Year paper has

underperformed, although the 20+-Year sector is the notable underperformer on

the curve.

- Local data was virtually ignored, and a very slight bid crept into futures in

the wake of the latest BoJ Rinban operations, which saw the size of 1-5 Year

purchases left unchanged. Looking at the breakdown of the latest operations:

- The 1-3 Year operations saw the offer to cover ratio come in a touch to 2.25x

(prev. 2.42x), with the average yield spread moving back into positive

territory.

- The 3-5 Year operations saw the offer to cover ratio moderate to 2.06x (prev.

3.17x), with the average yield spread in this bucket also moving back into

positive territory.

- Market reaction shows that the drawdowns in the offer to cover ratios

outweighed the effect of the yield spreads moving back into positive territory.

- Focus tomorrow turns to 20-Year JGB supply.