As expected, 10Y yields are falling on Sunday evening in a delayed reaction to Friday’s inflation data which showed core CPI falling for the first time in over 7 years:
Yields are falling across the curve, with the 5Y down as much as 5bps at 1.72%, the lowest since November 18.
You’ll recall that while the dollar fell after the dismal data deluge on Friday, the Treasury market was closed for the holiday.
This could well set the tone overnight.
“The yen may rise against the dollar if U.S. Treasury yield declines in reaction to Friday’s weak CPI,” Tohru Sasaki, head of Japan markets research at JPMorgan in Tokyo said earlier this evening. “CPI was really weak but as markets were closed, there was no reaction in Treasury yields, which left FX market unsure of direction,” Sasaki added.
If the prevailing correlation with 10Y yields and FX holds, 10s below 2.1% will likely push USDJPY to lower 107 levels.
Oh, and from 2 hours ago….
Yen May Gain If Treasury Yield Falls on Weak U.S. CPI: JPMorgan
lol.. do you think?
— Walter White (@heisenbergrpt) April 16, 2017