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JGBS: JGB futures once again edged away from support around the 150.00 region,
with participants focused on the upcoming 10-Year JGB auction. Early dealing saw
little in the way of concession being built into the space, with yields edging
lower and some modest curve flattening apparent. That was before 10-Year paper
softened into the lunchbreak, as futures moved back from session highs.
- 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.
- There was also some focus on Samurai issuance with SocGen set to price 5- &
10-Year paper & BFCM set to price and 5-, 7- & 10-Year paper.