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JGBS AUCTION: PREVIEW: The Japanese MOF will today sell Y400bn of 40-Year JGB's
re-opening JB#12. The MOF last sold 40-Year debt on November 26 2019, the
auction drew cover of 3.502x at a high yield of 0.460%, low price of 101.44,
with 73.5926% of bids allotted at the high yield.
- Yields have backed away from recent cheaps, with the risk-off flows
surrounding Coronavirus supporting safe havens. Both 20-/40- & 30-/40-Year yield
spreads sit around the middle of their recent ranges. Benchmark 20s & 30s offer
a more attractive carry & roll prop than the line.
- Reports point to a lack of short covering requirement. The line should remain
excluded from the BoJ's Rinban ops, and there is always the risk that the BoJ
tapers its super-long purchases, pursuing a steeper yld curve, which would have
knock on effects for the line, despite its lack of inclusion in the ops.
- Indications (via LCH/JSCC 30-Year spd) suggest that foreigners have started to
enter receiver positions in longer dated swaps, which could support demand.
- Line's ASW spd sits closer to the top of its recent range, than the bottom.
- Results due at 0335GMT/1235JST.