SOUTH KOREA: Big Falls for Korean Bond Futures Again Today.
Mar-06 02:31
* Korea's 10YR future is down for the third successive day today. * Following yesterday's fall of -0...
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JGBS: Cheaper, 10Y Supply & BoJ Ueda In Parliament Are Due
Feb-04 02:16
At the Tokyo lunch break, JGB futures are holding weaker, -20 compared to the settlement levels.
- BoJ's Ueda is scheduled to appear in parliament today.
- Japan’s monetary base fell 2.5 per cent in January from a year ago.
- Cash US tsys are flat to 1bp cheaper in today’s Asia-Pac session after yesterday’s modest sell-off following news that President Trump agreed to delay a 25% tariff on Mexico and Canada.
- Cash JGBs are flat to 2bps cheaper across benchmarks, with a steepening bias. The benchmark 10-year yield is 1.5bps higher at 1.267% after setting a fresh cycle high of 1.268% ahead of today’s supply.
- The relative affordability of 10-year JGBs compared to futures—measured by the 7- to 10-year spread—remains largely unchanged from last month, having recently rebounded from the lower end of its range over the past year
- Swap rates are 1-3bps higher. Swap spreads are mostly wider.
STIR: BoJ Dated OIS Mostly Softer Than Pre-BoJ Hike Levels
Feb-04 02:06
BoJ-dated OIS pricing is flat to 5bps softer across meetings through October compared to pre-MPM levels.
- Prior to the January 23–24 MPM, market expectations reflected a 98% probability of a 25bp hike, a cumulative 99% chance by March, and more than a full 25bp increase (108%) priced in by May 2025.
- Currently, the probability of another 25bp hike in March stands at 0%, with a full 25bp increase not priced in until December.
Figure 1: BoJ-Dated OIS – Today Vs. Pre-BoJ MPM (January)
Source: MNI – Market News / Bloomberg
JGBS AUCTION: 10-Year JGB Supply Supported By Fresh Cycle Yield High
Feb-04 01:57
This month, the 10-year auction offers an outright yield at a fresh cyclical peak of 1.268%, 10-15bps higher than last month.
- Additionally, the yield curve between 2- and 10-year bonds has steepened slightly compared to the prior month.
- Today’s auction is also likely to be supported by an improvement in sentiment toward global long-end bonds over the past month. For instance, the US 10-year yield is roughly 25bps lower than its early January high.
- The relative affordability of 10-year JGBs versus futures— gauged by the 7- to 10-year spread — sits little changed relative to last month, after bouncing off the lower end of its range over the past year during the month.
- Amid this backdrop, it will be interesting to see if the current 10-year yield generates sufficient demand at today’s auction.
- Results are due at 0435 GMT / 1235 JT.
