Report
2Y-10Y steepener Fwd 1Y on the JPY OIS curve
The recent flattening of the JPY OIS curve has been excessive. While 2Y JPY rates are fair valued, 10Y rates are way too low and subject to upside pressures given the BoJ QT which will weaken the correlation vis a vis $ rates. The 2Y-10Y steepener on the JPY OIS curve offer more value on a 1Y forward basis with an entry level around 4 4 bp. Over 1Y the slope should get closer to 65bp . We set our stop at 35bp .
Provider
Natixis
Based across the world’s leading financial centers, Natixis CIB Research offers an integrated view of the markets. The team provides support to inform Natixis clients’ investment and hedging decisions across all asset classes.
Cyril Regnat
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