预期区间波动的日历展期

Restricted - External Shinichiro Kadota+81 3 4530 1374shinichiro.kadota2@barclays.comBSJL, JapanAyao Ehara+ 81 3 4530 1379ayao.ehara@barclays.comBSJL, Japan Source: Bloomberg, Barclays ResearchFIGURE 3. JGB futures prices and overseas investors' cumulativepositions-3,000-2,000-1,00001,0002,0003,0004,0005,0006,000JPY bn, cum vs LT avgSource: Bloomberg, Barclays Research3 June 2025 FIGURE 4. BoJ holdings ratio for issues around CTD (as of 20 May)136138140142144146148150ForeignersJGB fut price (RHS)0%10%20%30%40%50%60%70%80%90%100%012345678910JB367JB368JB369JB370JB371JB372Mkt outstandingBoJ holdingBoJ ratio (RHS)JPY trnSource: Bloomberg, Barclays ResearchOverseas investors' positioning points to a short roll. The bond futures positioning(cumulative) of overseas investors currently shows a slight short bias (Figure 3; as of 23 May).This suggests a vulnerability to slight short roll pressure.The BoJ holds more than 80% of the CTDs (JB367, JB368) for both front-month and back-month contract bond futures, so the repo rate remains an important factor deciding thecalendar spread(Figure 4). In terms of the SLF reduction measures to improve liquidity, theBoJ announced in January that it will, in principle, consent to requests for reductions untilmarket holdings per issue recover to around JPY1.2trn in January 2025, so utilization of the SLF,which exceeded JPY8trn in 2023, has now fallen to less than JPY100bn (Figure 5).Current calendar spreads are at largely fair levels. The calendar spread this time around is at0.57. Assuming a Jun25 (JB367)/Sep 25 (JB368) spread at 2.7bp and given the underlyingconditions in the repo rate market (JB368 at SLF level), the fair value of the calendar spreadcomes to 0.59, a level broadly consistent with actual market conditions (fair value using the GCTokyo repo rate instead is 0.50). Hence, we expect limited volatility in the calendar spreadoverall, resulting in ranged trading, as in the case of previous rolls. 2 FIGURE 6. JB1/JB2 ASW box012345678Oct-23Jan-24Apr-24Jul-24Oct-24Jan-25Apr-25JB1/JB2 ASW BoxbpNote: JB2 ASW - JB1 ASW. Higher spread means relative cheapening of JB2 ASW vsJB1 ASW.Source: Bloomberg, Barclays ResearchFrom a futures ASW perspective, the JB1/JB2 ASW box (spread of front-month contract ASW andback-month contract ASW) came to 4.4bp as of 2 June, remaining near the recent peak (Figure6). This itself puts downward pressure on the calendar spread, but given that short rolls areviewed as slightly dominant, we do not see calendar spreads sharply exceeding the range thistime around.3 FIGURE 5. SLF utilizationSource: BoJ, Barclays Research3 June 2025 Analyst(s) Certification(s):We, Shinichiro Kadota and Ayao Ehara, hereby certify (1) that the views expressed in this research report accurately reflect our personal views aboutany or all of the subject securities or issuers referred to in this research report and (2) no part of our compensation was, is or will be directly orindirectly related to the specific recommendations or views expressed in this research report.Important Disclosures:Barclays Research is produced by the Investment Bank of Barclays Bank PLC and itsaffiliates(collectively and each individually, "Barclays").All authors contributing to this research report are Research Analysts unless otherwise indicated. The publication date at the top of the report reflectsthe local time where the report was produced and maydifferfrom the release date provided in GMT.Availability of Disclosures:For current important disclosures regarding any issuers which are the subject of this research report please refer to https://publicresearch.barclays.com or alternatively send a written request to: Barclays Research Compliance, 745 Seventh Avenue, 13th Floor, New York, NY10019 or call +1-212-526-1072.Barclays Capital Inc. and/or one of itsaffiliatesdoes and seeks to do business with companies covered in its research reports. As a result, investorsshould be aware that Barclays may have a conflict of interest that couldaffectthe objectivity of this report. Barclays Capital Inc. and/or one of itsaffiliatesregularly trades, generally deals as principal and generally provides liquidity (as market maker or otherwise) in the debt securities that are thesubject of this research report (and related derivatives thereof). Barclays trading desks may have either a long and / or short position in such securities,other financial instruments and / or derivatives, which may pose a conflict with the interests of investing customers. Where permitted and subject toappropriate information barrier restrictions, Barclays fixed income research analysts regularly interact with its trading desk personnel regardingcurrent market conditions and prices. Barclays fixed income research analysts receive compensation based on various factors including, but notlimited to, the quality of their work, the overall performance of the firm (including the profitability of the Investment Banking Department), theprofit