Fixed Income Commentary

Intriguing RV graphs: Pronounced caution regarding super-long JGBs even vs US/Europe

Download PDF Printable Version

Intriguing RV graphs: Pronounced caution regarding super-long JGBs even vs US/Europe

Key points
  • 30yr JGB auction passes without incident, but caution regarding super-long JGBs persists; high implied volatility more likely in super-long zone

  • Implied volatility for super-long JGB yields higher than historical volatility for cash market yields; persistent high levels stand out even vs US/Europe

  • Concerns about not only fiscal expansion, but also about declining JGB liquidity in Japan; this factor could amplify rise in yields during times of shock

I understand that any materials on this website have been produced only for persons regarded as professional investors (or equivalent) in their home jurisdiction and in jurisdictions which the MUFG entity producing the material is permitted to do so under applicable laws, rules and regulations.

I also understand that all materials on this website are not investment research or investment advice.