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JGBS AUCTION: PREVIEW: The Japanese MOF will today sell Y2.2tn of 10-Year JGB's,
representing the opening of #JB352. The MOF last sold 10-Year debt on Sep 05,
the auction drew cover of 4.548x at an average yield of 0.113%, average price of
99.87, high yield of 0.114%, low price of 99.86, with 57.5664% allotted at the
high yield. The 10-Year yield has traded in a ~3.5bp range since the most recent
auction, last trading at 0.132%, 0.7bp back from the high of the recent range.
- From a RV perspective the 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.
- Results due at 0435BST/1235JST.