Japanese Yen (Jpy)
Domestic and overseas data has prompted better paying interest at the long-end of the JPY swap curve. 2s/10s swaps are steeper.
Listing of structured bonds and vanilla bonds issued in the Asia Pacific markets over the past week.
10y JPY-USD swap spread has tightened to a level that may soon trigger receiving in 10y JPY swaps. 20y saw light offered-side flow at the open.
JPY swap spreads have steadied and ticked slightly higher ahead of a 10-year JGB auction today. Tokyo CPI printed above expectations.
The 20y swap spread has cheapened. A Tibor/Libor trade has been proposed. The recent bout of yen strength has slowed.
JGB issuance has increased significantly following Japan's second supplementary (COVID-19 response) budget. Who will absorb this extra issuance?
Month-end proved to be a flow-driven random walk for BEs that ultimately saw them solidly in the black off the back of decent end-user demand.
The sharp strengthening of JPY has prompted receiving at the long-end of the JPY swap curve. 2s/10s swaps are now too flat.
Dismal GDP data pressured BEs lower today with the back-end giving back yesterday’s FOMC-driven gains. Attention shift to month-end tomorrow.
In a year of statistical firsts a flatter basis swaps curve will not earn a ‘Bong’ moment on the ITV news, but gamma flow is weighing heavily upon it.