Thursday saw Bank of America Research.......>

US TSYS: Thursday saw Bank of America Research note that "Japan is a significant

source of demand for US assets. In 1Q20, Japanese holdings of US Treasuries

increased approximately $50bn according to Treasury data. Market participants

often speculate on potential levels of 10y rates or fx forwards that might lead

to Japanese inflows. We tested potential triggers of Japanese demand for US

sovereigns by correlating them with market moves across time zones and monthly

accumulation of Japanese holdings reported by the Ministry of Finance. Our main

takeaways are:

- Japanese flows materialize the week after US 10y rates rise relative to JGB

rates. This appears as rallies in Tokyo time. Tokyo-time rallies can provide a

large offset to NY-time selloffs.

We also find Tokyo-time rallies concurrent with declining fx hedge costs. In

addition, Japanese accumulation of US sovereign bonds occurs more during months

with a decline in three-month JPY/USD hedging costs."

- Nothing too surprising here, but nice to see some confirmation of a thesis.