HALISTER1: JGB Futures Calendar Spread to Tighten as Roll Nears, MS Says

JGB Futures Calendar Spread to Tighten as Roll Nears, MS Says

(Bloomberg) -- Calendar spread in Japan’s 10-year note futures between September and December contracts will come under tightening pressure as roll activity approaches, Morgan Stanley MUFG strategist Koichi Sugisaki wrote in note Monday.
  • Spread may compress to 17/18 from 21/22 Monday
  • Overseas investors have bought more than 10,000 contracts of JGB futures, and the average purchase cost appears to be about 150.50-60, which is currently deep in the money
  • Sees long-roll demand from these investors unless market adjusts significantly from here
  • Current spreads are wide relative to implied value of cheapest-to- delivery spreads
  • NOTE: September contract will last trade on Sept. 12
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

Alert: HALISTER1
Source: BFW (Bloomberg First Word)

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Koichi Sugisaki (Morgan Stanley)

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