537 Days Inverted, Then This: The Bond Market’s New Regime
Research preview
Rates have repriced; the yen has not. The US 10-year yields 5.18% and 2s10s sits at +44bp, yet USDJPY trades near 157.567 — roughly 267bp above its carry. That dislocation is the subject of this note: the curve, the two legs of the yen carry, and the levels with invalidation. The read: the curve repriced from the long end, the yen has not, and USDJPY is the clearest expression — roughly 267bp rich to carry. The risk is timing, not direction. The US curve, in context US 2s10s sits at +44bp — the 10-year at 5.176%, the 2-year at 4.733%....
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