The Term-Premium Reset and What It Does to the Yen Crosses
Research preview
US 2s10s has normalised to +38bp with the 10-year at 5.33%, and it steepened from the long end — the least friendly version for risk. USDJPY has not followed: it trades near 158.227, roughly 249bp above its carry. This note maps the curve, the yen carry, and the trades. The read: a duration-led repricing the FX market has not answered. USDJPY carries the clearest 249bp gap. What the US curve just did US 2s10s sits at +38bp — the 10-year at 5.325%, the 2-year at 4.946%....
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