The 260bp Question: Can USDJPY Keep Ignoring the Yield Spread?

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The 260bp Question: Can USDJPY Keep Ignoring the Yield Spread?

Research preview

US 2s10s has normalised to +41bp with the 10-year at 5.20%, and it steepened from the long end — the least friendly version for risk. USDJPY has not followed: it trades near 158.284, roughly 260bp above its carry. This note maps the curve, the yen carry, and the trades. The read: this is a repricing, not a forecast. USDJPY is 260bp rich to carry; the spread decides when that matters. The US curve, in context US 2s10s sits at +41bp — the 10-year at 5.198%, the 2-year at 4.787%....

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