摩根大通：日本国债期货展期展望-我们持看涨 ，利差扩大倾向

Investment Rating - The report holds a bullish/widening bias for the Japan Rates market, specifically for JGB futures rollover transactions [1][11]. Core Insights - Market activity is expected to focus on rollover transactions as the last trading day approaches, with a modest bullish/widening bias anticipated on the calendar spread [2][4]. - The theoretical value of the calendar spread as of May 29 was estimated at 60.8 sen, which is 4.8 sen higher than the actual market close of 56.0 sen [11][44]. - The report forecasts the trading range of the calendar spread to be between 51 and 66 sen, with a close at 56 sen on May 29 [44]. Summary by Sections Rollover Analysis - The JBM5 and JBU5 futures contracts are expected to see concentrated market activity in rollover transactions as the last trading day nears [2][4]. - The calendar spread is expected to rise as short rollovers predominate, reaching the upper bound of the anticipated range before declining as long rollovers occur [44]. Positioning - Foreign investors were estimated to be net long around 1,300 contracts, while domestic investment trusts were net short by approximately 8,000 contracts as of May 23 [17][22]. - The positioning of CTAs is significant, as they hold relatively large short positions, which could lead to a bullish/widening bias on the calendar spread [21][45]. CTD Bonds and Scarcity - The CTD bonds for the JBM5 and JBU5 futures contracts are JB367 and JB368, with the Bank of Japan holding 86% and 87% of these bonds, respectively, indicating a neutral bias on the calendar spread due to scarcity [35][36]. - The CTD spread between JB368 and JB367 closed at around 3bp, which is expected to remain stable, contributing to a neutral impact on the calendar spread [37][43]. Delta and Sensitivity - A 1bp parallel shift in the yield curve results in a 0.295 sen sensitivity of the calendar spread, indicating a neutral bias overall [7][43]. - Even with a 3bp parallel shift in the yield curve, the calendar spread is expected to widen by less than 1 sen, reinforcing the neutral outlook [43].