JPY Swaps: Longs bid on currency move; 10s/20s steeper

Japanese Yen Notes
Long-dated JPY swaps were bid following the move in the currency market. 10s/20s steepened up.

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  • Weak yen triggers longs bid; 10s/20s steepens up


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Weak yen triggers longs bid; 10s/20s steepens up

JGB future was mostly firmer as players continued to chase the rates market higher after the BOJ, and tracking the gains in the USD rates market on Friday which was in turn prompted by the demand for safe-haven assets after further slump in the stock price of First Republic Bank.


However, the rally was not sustainable and the lead bond future erased all the gains in a late-day selloff so that it finally closed the day 8-ticks lower at 148.52. The yield on the benchmark 10-year JGB was 1.5bps higher at 0.4%.


Swap trading has turned less active. Players have almost fully digested the BOJ, and as some players have already taken their days off as the market will be closed from Wednesday until next Monday.


A swapper noticed flows mostly from the 10-year point of the curve, mainly due to expectations about further rally in the Nikkei due to the sharp depreciation of the yen against the USD.


The pair spiked in domestic trading today and traded near 137 in the afternoon session. It traded down to 133.4 in domestic trading on Friday.


10-year traded mostly between 0.58% and 0.585% on the day, backed by paying interest there, or about 3-3.5bps higher than previous close. Paying in 20-year emerged in mid-morning domestic trading. It traded in a tight range around 0.9575% before lunch break, and all the way to 5.5bps higher of 0.99% in the afternoon session.


10s/20s swaps steepened up by 0.75bp to 39.25bps.