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JGBS: Futures Remain Sharply Cheaper At Lunch Ahead Of 2Y Supply

JGBS
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JGB futures remain sharply cheaper, -63 compared to settlement levels, at the Tokyo lunch break.

  • Outside of the previously outlined IP and Retail Sales data, the market has had news of a general election on October 27th to digest. The new LDP leader Shigeru Ishiba will dissolve the lower house on October 9th (per BBG/NHK). There was speculation on Friday, after he won the LDP leadership run-off, of an early election.
  • Cash US tsys are flat to 1bp cheaper in today’s Asia-Pac session after Friday’s solid post-PCE deflator gains.
  • Cash JGBs are flat to 5bps cheaper across benchmarks, with a flattening bias. The benchmark 2-year yield is 2.3bps higher at 0.390% ahead of today’s supply.
  • Last month’s 2-year Treasury auction showed robust demand, with the low price surpassing dealer expectations and the cover ratio rising to 5.542x.
  • Today's auction occurs in the context of an outright yield level similar to late August and roughly 10bps below the cyclical peak reached in early August—the highest since 2009.
  • Both the 2/5 and 2/10 yield curves are near their flattest levels over the past 12 months.
  • Swap rates are little changed out to the 30-year and 2bps higher beyond. Swap spreads are mixed.
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JGB futures remain sharply cheaper, -63 compared to settlement levels, at the Tokyo lunch break.

  • Outside of the previously outlined IP and Retail Sales data, the market has had news of a general election on October 27th to digest. The new LDP leader Shigeru Ishiba will dissolve the lower house on October 9th (per BBG/NHK). There was speculation on Friday, after he won the LDP leadership run-off, of an early election.
  • Cash US tsys are flat to 1bp cheaper in today’s Asia-Pac session after Friday’s solid post-PCE deflator gains.
  • Cash JGBs are flat to 5bps cheaper across benchmarks, with a flattening bias. The benchmark 2-year yield is 2.3bps higher at 0.390% ahead of today’s supply.
  • Last month’s 2-year Treasury auction showed robust demand, with the low price surpassing dealer expectations and the cover ratio rising to 5.542x.
  • Today's auction occurs in the context of an outright yield level similar to late August and roughly 10bps below the cyclical peak reached in early August—the highest since 2009.
  • Both the 2/5 and 2/10 yield curves are near their flattest levels over the past 12 months.
  • Swap rates are little changed out to the 30-year and 2bps higher beyond. Swap spreads are mixed.