The FX Files – The Mystery of Chessboxing

FICC Strategy Reports

Into the start: The sell-off in core rates continues. The move is still being driven by real yields. US 10-year TIPS is now yielding -46.2bps
(from -109.9bps to start the year). 10-year nominals are at 194.5bps as I type this. In Japan, the 10-year JGB yield is now above the BoJ tolerance band at 21.4bps. It hasn’t been this high since before the YCC era began there (in 2016). Euro rates are also defensive but things have calmed a bit since de Cos spoke this morning (see point 3). Spreads are still wider between ‘peripherals’ and Germany in the long-end. In FX – no real themes emerging overnight.

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