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Mizuho: Tactically Buy JGBs Or JPY SSAs And Swap To SOFR Or ESTR

JGBS

Mizuho note that “buying JGBs and swapping them to SOFR or ESTR remained a popular trade in 2023.”

  • “Japanese bills were also in high demand, especially in Q4, and even JPY SSAs have been able to profit from the flows.”
  • “While the spreads to SOFR have decreased vs where they were one year ago, we still think there is room to profit from adding high-quality JPY paper and swapping it to SOFR and/or ESTR.”
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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