12/20/2022
Japan will now allow 10-year yields to trade as high as 0.50% – Why This Matters
What about the long-end?
We have already seen the sharp reaction in JGB futures, and swap markets are pricing the BoJ to further move the trading band allowing 10-year JGBs to trade around 1% in ’23
Bond markets are preparing for higher volatility: look at this chart…
…which shows the implied volatility for the next 12 months priced in for 10-year Japanese government bonds.
It’s literally 3x (!) what was priced at the beginning of 2022.
Source: Macro Alf
