JGBS: Twist-Steepener, US Tsys Richer Ahead Of US Payrolls
Mar-07 01:40
In Tokyo morning trade, JGB futures are stronger, +8 compared to settlement levels.
- Today, the local calendar is empty ahead of US payrolls data later today. Fed Chair Powell will discuss his economic outlook (text, Q&A) at Chicago Booth's Monetary Policy Forum at 1230ET.
- Cash US tsys are ~2bps richer in today’s Asia-Pac session after yesterday’s twist-steeper.
- “Japan’s Minister of Economy, Trade and Industry Yoji Muto says he is preparing a trip to DC to meet US Commerce Secretary Howard Lutnick and discuss an economic relationship that’s a win for both countries.” (per BBG)
- Cash JGBs have twist-steepened, with benchmarks yields 3bps lower to 3bps higher. The benchmark 10-year yield is 1.1bp lower at 1.53% versus the cycle high of 1.553%.
- Swap rates are 1bp lower to 3bps higher, with a steeper curve. Swap spreads are wider.
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STIR: BoJ Dated OIS Slightly Firmer After Cash Earnings Beat
Feb-05 01:38
BoJ-dated OIS pricing is slightly firmer following the release of December cash earnings data.
- Japan’s December labor earnings data exceeded expectations. Headline nominal earnings rose 4.8% year-on-year, outperforming the 3.7% forecast and a revised 3.9% gain in November. Real earnings increased by 0.6% year-on-year, compared to a forecast of -0.1%, following a revised 0.5% rise in November. Cash earnings on a same-sample basis surged 5.2% year-on-year, well above the 3.6% forecast and 3.7% prior reading. Scheduled full-time pay rose 2.8% year-on-year, matching forecasts and slightly up from 2.7% previously.
- OIS pricing remains flat to 4bps softer across meetings through September compared to pre-MPM levels. However, both the October and December meetings now show firmer pricing relative to pre-MPM levels, reflecting the impact of today’s data.
- Market expectations prior to the January 23–24 MPM indicated 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
CHINA: Central Bank Drains Liquidity via OMO.
Feb-05 01:32
- The PBOC issued CNY697bn of 7-day reverse repo at 1.5% in this morning’s operations.
- Today’s maturities CNY1413.5bn of 14-day reverse repo and CNY.
- Net liquidity withdrawal CNY716.5bn.
- The PBOC controls and maintains liquidity through the issuance of 7-day reverse repo.
- Leading into the Lunar New Year holiday, the PBOC issued 14-day reverse repo to meeting the maturity requirements created by the holiday.
- The CFETS pledged repo institutions 7-day index value printed today at 1.75%.
- China’s overnight repo rates increased to 1.7712%, and the 7-day repo rate declined to 1.8041%
MNI: CHINA PBOC CONDUCTS CNY697 BLN VIA 7-DAY REVERSE REPO WEDS
Feb-05 01:31
- CHINA PBOC CONDUCTS CNY697 BLN VIA 7-DAY REVERSE REPO WEDS
