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No Lasting Reaction As BoJ Defends 10-Year Yield Cap

JGBS

JGB futures show limited reaction as the BoJ steps in to defend its 10-Year JGB yield cap of 0.25% after the benchmark traded around 0.245% this morning. Futures last print -6, 14 ticks off their overnight base (and 9 ticks off their post-fixed rate op announcement reaction high), while 10-Year cash JGB yields stick to 0.245%, the market seemingly wants to continue to test the BoJ’s resolve. More broadly, the cash JGB curve has bear steepened, in reaction to Friday’s post-Tokyo core FI market moves, with 40s running ~3bp cheaper on the day. Note that some of the weakness in 40s may be a function of concession ahead of tomorrow’s 40-Year JGB auction.

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JGB futures show limited reaction as the BoJ steps in to defend its 10-Year JGB yield cap of 0.25% after the benchmark traded around 0.245% this morning. Futures last print -6, 14 ticks off their overnight base (and 9 ticks off their post-fixed rate op announcement reaction high), while 10-Year cash JGB yields stick to 0.245%, the market seemingly wants to continue to test the BoJ’s resolve. More broadly, the cash JGB curve has bear steepened, in reaction to Friday’s post-Tokyo core FI market moves, with 40s running ~3bp cheaper on the day. Note that some of the weakness in 40s may be a function of concession ahead of tomorrow’s 40-Year JGB auction.