Total Derivatives

Japanese Yen (Jpy)

There has been trade in 20-30 year swaps ahead of a superlong JGB auction today. Ultralong asset swaps have richened significantly in recent weeks.

Long JPY swap spreads have ticked higher in calm trade. Long-dated forward swaps are considered cheap after the recent push higher.

BEs reluctantly rode the risk on move spurred by better retail sale today amid an otherwise tranquil trade. Attention shifts to 5y TIPS auction.

Disappointing jobs data in the US saw good receiving in 10-year JPY swaps. The long-end of the curve flattened out.

BEs followed the ebb and flow with broader risk tone, ultimately ending mixed but little changed. Treasury announced new 5y TIPS.

The superlong-end of the JPY swap curve saw receiving from foreign accounts. Dealers expect the long-end of the curve to correct flatter.

BEs traded off with the risk tone today, but ended well off their intraday lows as dip buying prevailed again. It was an upside PPI surprise.

Negative news about Covid-19 vaccine trial has backed light receiving in 10y JPY swaps. 10s/30s swaps steepen more after weak JGB auction.

JGB future was a tad lower. Paying in 20-year has steepened 10s/20s swaps.

The 20y JPY swap spread has pushed to its least negative point in 3 months. The 20s/30s curve steepening trend is expected to continue.

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