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Tsy Sec Yellen


BLOCK, Green June Call Fly

JGBS: The super-long end of the curve benefitted from the BOJ leaving the size
of its Rinban operations unch. on Thursday (after the tweaks it made to its
longer dated purchases last Friday), which has allowed the curve to flatten. The
offer to cover of the operations can be found below:
- 1-3 Year 2.71 (prev. 2.69), 3-5 Year 2.41 (prev. 2.43), 10-25 Year 2.67 (prev.
3.16), 25+ Year 3.41 (prev. 4.40).
- Futures stuck to a narrow range after moving higher with Tsys & drawing
support from super-long paper after the contract failed to break below 150.00 on
Weds. Resistance isn't noted until the down trendline (~150.32).
- The move higher came in spite of reports made late Wednesday noting that the
GPIF will adjust its JGB purchase plan, allowing for more flexibility in JGB
allocation during 2019 (reverting after that).
- Elsewhere, participants highlighted the ~30bp widening in USD/JPY 3-Month
basis, which now covers year-end, a period typically associated with USD demand.
- Focus turns to the BOJ's Oct JGB purchase plan & summary of opinions from its
latest MonPol decision later today, as well as a 2-Year JGB auction.
MNI London Bureau | +44 0203-865-3809 |