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MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
JPY
USD/JPY correlations against US and Japan yields still remain dominated by the US leg, at least per swap rates. In the past month USD/JPY spot correlations with US-JP 10yr swap differentials sit at 96%, while for 2yr differentials it sits slightly lower.
- Breaking this up into US and JP legs, shows that USD/JPY remains strongly positive correlated with US swap rate moves, both around 96% for the 2yr and 10yr.
- For Japan's 10yr swap rate the correlation has dipped slightly into negative territory, -14%, but is strongly positive for the 2yr, which is somewhat counter intuitive (i.e. higher Japan swap rates correlate with higher USD/JPY levels).
- This of course could change as we approach the next BoJ meeting in March (19th), but for now US rate trends are dominating.
- We did see some yen strength yesterday associated with the CPI beat, but this was not sustianed once US yields started to recover.
Fig 1: USD/JPY Versus US-JP 10yr Swap Rate Differential
Source: MNI - Market News/Bloomberg
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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