JPY Swaps: 10y bid eases; 10s/20s steepens more

Steep 5 Jun 2020
Paying in 10y JPY swaps eased today as players were cautious after two unscheduled BOJ buyback operations this week. 10s/20s steepened more.

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  • 10y bid eases; 10s/20s steepens more

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10y bid eases; 10s/20s steepens more

JPY rates players have been extra cautious, following two unscheduled BOJ buyback operations this week due to the surge in 10-year JGB yield.


JGB future has been moving a few ticks below and above its previous close, and was a tick higher of 146.33 soon after mid-day. The yield on the benchmark 10-year JGB was up to 0.65% in earlier trading before being marked marginally lower at 0.644%.


Paying in longer-dated swaps has receded a tad today as players have backed off from selling-off further. Indeed, Citigroup noted in a recent research piece that paying in long-end JPY swaps has driven a clear bear-steepening after the July BOJ meeting, and that the selloff has overshot somewhat in super-long JGBs with poor market liquidity amplifying price movements. The bank believes that the BOJ will steadily reduce Rinban operation offer amounts for 10-year and shorter maturities, and ASWs should cheapen as a result.


10-year swaps were briefly offered down to 0.76% in early morning domestic trading before being traded mostly little changed from previous close of around 0.8%. 20-year was slightly better bid and traded about 2bps higher of 1.29%.


10s/20s swaps steepened up by 1.5bps to 48.5bps.



New issues

  • Chiba City priced JPY5bn in 0.782%, June 20, 2033 bonds at JGBs + 14bps.


  • Development Bank of Japan issued JPY10bn in 0.105%, August 14, 2025 bonds. Priced at JGBs + 10.5bps.


  • Hokkaido Prefecture sold JPY20bn in 0.802%, August 31, 2033 bonds at JGBs + 16bps.


  • Ibaraki Prefecture raised JPY15bn via selling the following bonds:


    • JPY10bn, 0.354%, August 24, 2028 at JGBs + 14.5bps.

    • JPY5bn, 1.381%, August 25, 2043 at JGBs + 23bps.


  • Miyagi Prefecture issued JPY5bn in 0.958%, August 21, 2043 bonds at JGBs + 28bps.


  • Nagasaki Prefecture sold JPY10bn in 0.982%, August 18, 2043 bonds at JGBs + 28bps.


  • Niigata Prefecture priced JPY20bn in 0.802%, August 25, 2033 bonds at JGBs + 16bps.


  • OSG Corporation raised JPY5bn via selling 0.514%, August 10, 2028 bonds.


  • Saitama Prefecture sold JPY30bn worth of bonds as follows:


    • JPY1bn, 0.782%, August 29, 2033.

    • JPY29bn, 0.782%, August 29, 2033 at JGBs + 14bps.


  • Shizuoka Prefect priced JPY10bn in 0.324%, June 20, 2028 bonds at JGBs + 11bps.


  • Tokyo Waterfront Area Rapid Transit Inc sold JPY8bn in 0.952%, August 10, 2033 bonds. Priced at JGBs + 31bps.

  • Yokohama Minatomirai Railway Co JPY6bn in 1.092%, August 15, 2033 bonds at JGBs + 45bps.