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JGBS: The JGB curve was subjected to some bear steepening, as super-long paper
underperformed, with 40-Year yields finishing the session ~2.0bp higher. Longer
dated swap rates tracked yields higher.
- JGB futures ticked lower as a result, with little in the way of headline
- A strong morning session for Japanese equities on the back of Wall St.'s
positive lead & a soft JPY (resulting in fresh YTD highs for USD/JPY) likely
explains at least part of the move, with JGB futures breaching yesterday's low.
- Stepping back, the softness in JGBs could be a result of traders unwinding
positions ahead of the release of the BOJ's JGB purchase plan for October, due
later today, which could prove key for the space after the adjustments made for
September to factor in calendar effects & trimming of longer dated purchases
(25+ Year paper) last Friday. Some are looking for further cuts to longer dated
purchases in October.
- Marginal widening was apparent in USD/JPY 3-Month x-ccy basis after
yesterday's big move.