Free Trial

USD/JPY Drifts Higher, Slightly Above US-JP 10yr Swap Rate Differential Implied Level

JPY

USD/JPY is tracking higher is the last bit of trading, above 149.40, around 0.20% weaker in yen terms versus NY closing levels. The yen hasn't seen any material support from the spike in 10yr cash JGB yields, which spiked to fresh cyclical highs of ~0.95%, amid speculation of another YCC tweak at the upcoming BoJ policy announcement.

  • 10yr swap rates sit slightly down from Monday closing levels, last near 1.14%. The US-JP 10yr swap rate differential was last near +335bps, down from recent highs near +355bps.
  • A simple regression of USD/JPY versus this swap spread suggests USD/JPY should be closer to 149.00, so only a negligible difference (this is based off a regression since the start of this year, note the R^2 is ~90%). The chart below plots this implied level against spot USD/JPY.

Fig 1: USD/JPY Versus Implied Level Based Off US-JP 10yr Swap Differential

Source: MNI - Market News/Bloomberg

To read the full story

Close

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.