JPY Swaps: 5y bid steepens 2s/5s; 10s/20s flatter

Japan Shrine
Trading in JPY swaps has been subdued with light bid-side flows around 5-. 10- and 20-year. 2s/5s steepened up and 10s/20s was a tad flatter.

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  • JGB slumps, trims losses after 2y auction

  • 5y bid steepens 2s/5s; 10s/20s flatter


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JGB slumps, trims losses after 2y auction

JGB future slumped today, after some modest rally on the previous day. The lead bond future was down by 43-ticks in mid-morning domestic trading before trimming losses in the afternoon session after decent demand at the 2-year JGB auction.


Earlier today, the MOF sold JPY2.8993trn worth of its JPY2.9trn 2-year 0.005% JGBs (Number 447) at tender. The auction drew bids worth 3.89 times, down from 4.11 times last month. Average yield was -0.063%. The tail widened out from 0.005 last month to 0.011.


JGB future was marked 33-ticks lower at 148.29 in late-afternoon domestic trading, and the yield on the benchmark 10-year JGB was up 2bps at 0.32%.



5y bid steepens 2s/5s; 10s/20s flatter

Swaps trading has been subdued with only decent amount of paying in 5-, 10- and 20-year.


10-year traded in a tight range between 0.63% and 0.635% in the morning, up from previous close of around 0.57%. Paying there ceased after lunch break and 10-year was marked about a basis point higher at time of writing.


20-year traded in several clips about 1-3bps higher, leaving 10s/20s swaps just marginally flatter at just above 39.75bps.


5-year traded between 1.5-2.5bps higher of 0.27% and 0.28%, steepening 2s/5s swaps by a basis point to 15.75bps.