HALISTER1: Japan Bond Futures Calendar Spread May Tighten on Roll, MS Says

Japan Bond Futures Calendar Spread May Tighten on Roll, MS Says

(Bloomberg) -- Spread in Japan’s 10-year bond futures between June and September contracts is expected to tighten by 0.04-0.05 from the current 0.08-0.09 as lead contract rolls over from June to September, Morgan Stanley MUFG strategist Koichi Sugisaki writes in note Tuesday.
  • Forward yield differential implied by calendar spread suggests the spread is cheap by by historical standards: Sugisaki
    • Overseas investors appear to have built long exposure around the 150.50 level
  • NOTE: Contract expiring June 13 up 0.05 at 150.74, while September futures up 0.07 at 150.67
--With assistance from Daisuke Sakai. To contact the reporter on this story: Masaki Kondo in Singapore at mkondo3@bloomberg.net To contact the editors responsible for this story: Tan Hwee Ann at hatan@bloomberg.net Patricia Lui

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Source: BFW (Bloomberg First Word)

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Koichi Sugisaki (Morgan Stanley)

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