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JGBS: Twist-Flattener With Long-Term Assisted By US Tsys

JGBS
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JGB futures have clawed back to a small gain, +3 compared to settlement levels, after reversing the weakness seen following this morning’s local data drop.

  • Of particular importance was the Tokyo CPI print, a leading indicator of the national average. Today core CPI registered a 2.2% increase in November, up from the 1.8% growth in October, while the core-core CPI rose 1.9% y/y in November, quicker than the 1.8% y/y previously.
  • For the upcoming December 18-19 meeting, ois pricing has increased by 10bps since late October, reflecting a 54% probability of a 25bp rate hike.
  • Cash US tsys have opened 2-3bps richer in today’s Asia-Pac session after yesterday’s holiday.
  • Cash JGBs have twist-flattened, pivoting at the 20-year, with yields 1.5bps higher to 2bps lower. The benchmark 2-year yield is 1.1bps higher at 0.593% after today’s supply.
  • The 2-year bond auction displayed mixed demand metrics today. The low price surpassed dealer expectations but the cover ratio declined and the auction tail lengthened versus the previous month. This came despite the 2-year yield standing at its highest level since 2008.
  • The swaps curve has bear-steepened, with rates flat to 3bps higher. Swap spreads are mostly wider.
  • On Monday, the local calendar will see Capital Spending and Jibun Bank PMI Mfg data. 
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JGB futures have clawed back to a small gain, +3 compared to settlement levels, after reversing the weakness seen following this morning’s local data drop.

  • Of particular importance was the Tokyo CPI print, a leading indicator of the national average. Today core CPI registered a 2.2% increase in November, up from the 1.8% growth in October, while the core-core CPI rose 1.9% y/y in November, quicker than the 1.8% y/y previously.
  • For the upcoming December 18-19 meeting, ois pricing has increased by 10bps since late October, reflecting a 54% probability of a 25bp rate hike.
  • Cash US tsys have opened 2-3bps richer in today’s Asia-Pac session after yesterday’s holiday.
  • Cash JGBs have twist-flattened, pivoting at the 20-year, with yields 1.5bps higher to 2bps lower. The benchmark 2-year yield is 1.1bps higher at 0.593% after today’s supply.
  • The 2-year bond auction displayed mixed demand metrics today. The low price surpassed dealer expectations but the cover ratio declined and the auction tail lengthened versus the previous month. This came despite the 2-year yield standing at its highest level since 2008.
  • The swaps curve has bear-steepened, with rates flat to 3bps higher. Swap spreads are mostly wider.
  • On Monday, the local calendar will see Capital Spending and Jibun Bank PMI Mfg data.