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Pullback Considered Corrective


Holding Above Recent Lows


BLOCK, Large 3Y Midcurve Put Condor

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The Japanese MOF will today sell Y3.0tn of 2-Year JGB's opening JB#427. The MOF last sold 2-Year debt on June 29, the auction drew cover of 4.291x at an average yield of -0.116%, average price of 100.243, high yield of -0.114%, low price of 100.240, with 94.4616% of bids allotted at the high yield.

  • Current 2s trade a touch richer than the yield that prevailed at the previous auction, last printing at ~-0.13%.
  • The flatness of the 2-/10-Year curve (which hovers relatively close to the lowest levels witnessed since January) may generate some demand at auction if participants look to enter steepeners, although the negative carry of such a position must be considered here.
  • 2-Year swap spreads have widened in July, but sit ~2.0bp off the YtD wides.
  • Results due at 0435BST/1235JST.