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Fixed Income Commentary

Intriguing RV graphs: Net basis for super-long JGB futures

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Intriguing RV graphs: Net basis for super-long JGB futures

Key points
  • Trading volume for super-long JGB futures growing; net basis range (deviation from fair value) also narrowing
  • Market size quite limited relative to 10yr JGB futures market; mainly proprietary trading, while agency transactions currently limited to overseas investors
  • Focusing on expansion of participant base going forward; potential demand for relative value transactions targeting distortions in asset swap hedges and super-long JGB zone
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