Total Derivatives

Japanese Yen (Jpy)

A more hawkish than expected FOMC dot plot essentially sent all major asset classes lower with TIPS/BEs far from unscathed today.

There has been cautious paying in JPY swaps after data from the US. The belly has been bid, and 2s/10s swaps are due to correct steeper.

A much stronger-than-expected May PPI print gave another point to Team Reflationista. BEs bull flattened as better TIPS/BE selling abated.

Superlong and ultralong JPY swap spreads have dropped to their cheapest levels since the beginning of the year.

JPY IRS clearing basis has dipped back below zero. Superlong swap spreads are seen widening. The. BOJ is scheduled to meet later this week.

Yesterday’s CPI sugar high for the U.S. inflation asset class didn’t last too as real money sellers knocked BEs lower today.

JPY swaps saw good amount of receiving after US CPI data. 10-year JGB yield hits recent low and 2s/10s swaps are at their key psychological level.

Today’s stronger-than-expected May CPI print woke BEs up from a six-day narrowing spell but selling pressure still remained in the background.

JPY swaps have been offered ahead of the potentially strong US CPI data, as players are concerned about a scale back of US monetary policy.

BEs remained hellbent on limping into tomorrow’s CPI print as continued end-user selling/profit taking persisted.

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