257bp Rich: The Case Against Chasing USDJPY Here
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257bp. That is the distance between USDJPY and the rate differential that explained it for a decade. The US 10-year is at 5.28%, the 2s10s spread at +45bp, and the yen has not followed. This note maps the curve, the carry, and the trade. The read: a duration-led repricing the FX market has not answered. USDJPY carries the clearest 257bp gap. What the US curve just did US 2s10s sits at +45bp — the 10-year at 5.275%, the 2-year at 4.827%. Over the past 20 sessions the spread has steepened 13bp, led by the long end, not the front — a term-premium move, not an easing signal....
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