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Weaker Demand At Liquidity Enhancement Auction For OTR 5-15.5-Year JGBs

JGBS AUCTION

Weaker demand was seen at the latest liquidity enhancement auction covering off-the-run 5-15.5 Year JGBs, compared to the previous auction covering these maturities (July 21). Today’s cover ratio is 3.604x versus 4.237x prior.

  • The average spread observed at the auction was however unchanged from that seen last time out at +0.005%. The high spread was actually lower than the July auction coming in at +0.006% versus +0.011% previously.
  • As indicated in our auction preview, the cheapening in the 5-15-year zone since the July 21 auction was not expected to bolster demand for bonds in this round compared to the previous occasion, primarily due to the July auction having taken place prior to the BoJ's recent yield curve control adjustment.
  • JGB futures are slightly stronger in early afternoon trade.
  • Cash JGBs in the 5-20-year zone are slightly richer in post-auction trade.
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