Total Derivatives

Bonds - JPY

There has been a pickup in JPY forward trade. Bets on the BOJ dropping its YCC commitment are backing interest in the Japanese Bear Trade.

Long swap flow has picked up after Thursday's poorly received 20y JGB auction. Renault issued a 3y Samurai Bond.

There has been some trade in JPY forwards as the market rallies. Dysfunction and disruption in the JGB market is dampening liquidity.

There has been trade in 3m JPY forwards as price action has calmed after yesterday's weak 5y auction. The yen is at its weakest point in 24 years.

Japan is selling 5-year JGBs against a backdrop where historical cheapness must be balanced against the lack of an effective hedge instrument.

The long-end of the JPY curve is steeper after the BOJ pinned the 10y yield and triggered a wave of spread volatility.

The pinned 10y JGB is outperforming on the sell-off. No change is expected from the BOJ this week. The yen is at its weakest point in 20y.

Listing of structured bonds and vanilla bonds issued in the Asia Pacific markets over the past week.

Today's 2y JGB auction was well received. Rising bond yields and spreads have backed the recent postponement of corporate bond issuance.

The long-end of the JPY curve is expected to steepen directionally on the sell-off due to segmentation caused by the BOJ's YCC commitment.

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