JPY Swaps: 2s/10s flatter despite 10y bid; 20y flow

Deflated old football 21 Jun 2021
USD/JPY stayed at levels that might trigger an intervention anytime. This has prompted price action in 2y and so 2s/10s was flatter despite 10y bid.

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  • Nikkei sold off; JPY rates firmer

  • 2s/10s flatter despite 10y bid; 20y flow


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Nikkei sold off; JPY rates firmer

USD/JPY rose above 145.8 in overnight trading although it fell to 145.1 in the US session. However, the pair regained its momentum in domestic trading today and traded up to 145.7, backing strong expectations about an official intervention although the idea has been around the market for a couple of days. The Nikkei was however sold off despite the weakness in the yen, prompting some light demand for JPY rates.


In early-afternoon Tokyo trading JGB future was up 3-ticks at 146.63, and the yield on the benchmark 10-year JGB was unchanged at 0.627%.



2s/10s flatter despite 10y bid; 20y flow

Swappers said the market has almost completely digested the strong GDP data. “The data was a bit of a lag and the market had already priced in that after the recent YCC tweak,” a dealer explained. However, Nomura revised its prediction for the scrapping of the YCC and pushed it back to the last quarter of 2024.


10-year swaps saw better paying in the morning session. A trader reported flows at up to 4bps higher of 0.845% near market open. There were also flows down to 0.8075bps at the open and 10-year was last seen changing hands at 0.83%.


2s/10s swaps were 0.25bp flatter at 67.5bps, as the persistent weakness in the yen has supported some price action in 2-year swaps where it was marked a tad higher at 0.129% at time of writing.


20-year traded between 1.265%-1.285%, compared to previous close of 1.2675%. At time of writing 20-year was down marginally at 1.2625%, flattening 10s/20s swaps by 0.25bp to 45.75bps.