Need a new JGB thread here just because I'd like to see the discussion take place. 2% inflation targeting, a currency that moves ~15% in response (as verification of it as a credible threat), yet 7 yr JGB yields at .44% and 10 yr at .8%. All amidst risk premia globally reduced (verifiably) with much of Euro zone worries, fiscal cliff worries, etc all being minimized. And developed countries' treasury debt all well off highs. It's cognitive dissonance, especially since inflation expectations trump central bank buying, since total outstanding debt is arguably more important than flow (since existing holders can trump a flow rate if worried...). Thoughts here? Is China vs Japan enough to justify this? I won't even bring the debt/GDP argument in -- just on a relative basis of developed countries' rates, the Japan situation really does look like a real mispricing. Even a 100-150bp correction really seems warranted (even if debt/GDP was in-line with US) regardless ... Should we add the Swiss to the argument?
I agree with the premise of your post & a correction in 5 and 10yr JGB yields seems warranted but I think a sub 2% TNX is putting a ceiling on this for obvious reasons. Quick question, where can you find the pricing & maybe a chart of the yen demoninated interest rate swaps? I know most of these trade OTC but I'm want to get some pricing info w/o having to use a terminal (If I have to pay and use so be it).
The discussion is taking place: http://www.elitetrader.com/vb/showthread.php?s=&threadid=181522 last post: http://www.elitetrader.com/vb/showthread.php?s=&postid=3713192#post3713192
Bump. I imagine bloomberg is what you'd need. JSCC has some stats, but no prices what I found on their website. Options were woefully underpriced on JGB pre-Thurs night trading, at ~2.5% annualized vol... now they are double... Any thoughts on this? Am surprised post-close buying (all the way to 145.40...) : http://quote.tse.or.jp/tse2/qsearch.exe?F=listing/EFulist (for non mini) only shows before post-close.... What happens tommorow night?
The link is dead BTW. I would think something would be really transparent in the IRS (especially considering a sub 200bp tnx).
I am looking for information on JBG futures, do those trade on SIMEX and what's the symbol (on eSignal/futuresource.com) ? Also is there some website where you can chart yields and/or prices on JGB's ?