Duration, Not Policy: The Real Driver of the Yen Crosses

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Duration, Not Policy: The Real Driver of the Yen Crosses

Research preview

255bp. That is the distance between USDJPY and the rate differential that explained it for a decade. The US 10-year is at 5.32%, the 2s10s spread at +50bp, 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 255bp gap. Reading the US curve today US 2s10s sits at +50bp — the 10-year at 5.320%, the 2-year at 4.818%. Over the past 20 sessions the spread has steepened 25bp, led by the long end, not the front — a term-premium move, not an easing signal....

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