JGBS: Futures Dips Supported, BoJ Pricing Little Changed Past Week

ACGBs (YM -4.0 & XM -5.5) remain weaker.

• S&P Global PMI Manufacturing Index falls to 51.4 from 53 in Aug.
• Cash US tsys are slightly cheaper in today's Asia-Pac session after yesterday's modest twist-steepener.
• Cash ACGBs are 4-7bps cheaper with the AU-US 10-year yield differential at +22bps.
• The latest ACGB Dec-34 supply achieved a weighted average yield that printed 0.40bp through prevailing mids (per Yieldbroker). However, the cover ratio decreased to 2.1033x, thelowest since its debut in 2023, from 3.1708x.
• The bills strip is -4 to -6 beyond the first contract.
• RBA-dated OIS pricing has firmed modestly across meetings following yesterday’s RBA Policy Decision.  Pricing across meetings is 1-4bps firmer than yesterday’s pre-RBA levels. Notably, this post-RBA move leaves pricing some 10-19bps firmer than last Wednesday’s pre-CPI levels.
• A 25bp rate cut in October is given a 35% probability, with a cumulative 11bps of easing priced by year-end.

RBA-dated OIS pricing has firmed modestly across meetings following yesterday’s RBA Policy Decision.  

• At the time of writing, pricing across meetings was 1-4bps firmer than yesterday’s pre-RBA levels.
• Notably, this post-RBA move leaves pricing some 10-19bps firmer than last Wednesday’s pre-CPI levels.
• A 25bp rate cut in October is given a 35% probability, with a cumulative 11bps of easing priced by year-end.

Figure 1: RBA-Dated OIS – Current Vs. Pre-CPI

Source: Bloomberg Finance LP / MNI

Ethereum had a range overnight of $4093.19 - $4208.98, Asia is trading around $4152, -1.05%. Ethereum had a decent bounce after triggering stop losses sub $4000 last week. Having broken big support around $4100, technically rallies should now be faded initially. The first sell zone is now back towards the $4300/$4500 area. 

• Menthor Q on X: "Crypto asset flows. "Digital asset investment products saw US$812m in outflows last week, though YTD inflows remain robust at US$39.6bn, close to last year’s record ... Bitcoin (-US$719m) and Ethereum (-US$409m) faced pressure, while Solana (+US$291m) attracted strong inflows.”
• Milk Road on X: “For a decade, crypto has moved in 2yr up / 2yr down cycles, pointing to a 2025 peak. But the data just shifted. PMI, liquidity, and analysts all say the cycle hasn’t ended, it’s been extended. The top now looks more like 2026… or later”
• “FTX will release $1.6B in stablecoins to creditors today. That’s $1.6B in fresh liquidity about to hit the crypto markets. Fresh powder is on the way.”

Fig 1: Ethereum spot Daily Chart

Source: MNI - Market News/Bloomberg Finance L.P