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PAGE 1
July 24, 2018 01:05 PM GMT
July 24, 2018 01:05 PM GMT
Japan Interest Rate Data Package
Morgan Stanley does and seeks to do business with companies covered in Morgan Stanley Research. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of Morgan Stanley Research. Investors should consider Morgan Stanley Research as only a single factor in making their investment decision.
For analyst certification and other important disclosures, refer to the Disclosure Section, located at the end of this report.
+= Analysts employed by non-U.S. affiliates are not registered with FINRA, may not be associated persons of the member and may not be subject to NASD/NYSE restrictions on communications with a subject company, public appearances and trading securities held by a research analyst account.
Market Summary
Exhibit 1: Market Summary
JGB Par Rate
Swap Rate
Swap Spread
Maturity 7/24Close 1DChg(bp)
Maturity 7/24Close 1DChg(bp)
Maturity 7/24Close 1DChg(bp)
1y
-0.15
- 0.9
1y
0.03
- 0.3
1y
-17.6
- 0.6
2y
-0.13
- 1.1
2y
0.04
- 0.4
2y
-17.4
- 0.7
3y
-0.11
- 1.0
3y
0.06
- 0.4
3y
-16.9
- 0.6
4y
5y
-0.10
-0.08
- 1.1
- 0.8
4y
5y
0.08
0.11
- 0.4
- 0.4
4y
5y
-18.6
-19.6
- 0.7
- 0.4
6y
-0.05
- 0.4
6y
0.14
- 0.3
6y
-19.7
- 0.2
7y
-0.03
- 0.6
7y
0.18
- 0.1
7y
-21.6
- 0.4
8y
0.00
+ 0.0
8y
0.22
+ 0.0
8y
-22.1
+ 0.0
9y
10y
0.04
0.08
+ 0.0
+ 0.0
9y
10y
0.26
0.30
+ 0.1
+ 0.3
9y
10y
-21.9
-21.6
- 0.1
- 0.2
12y
0.20
+ 0.7
12y
0.38
+ 0.5
12y
-17.8
+ 0.2
15y
0.35
+ 1.7
15y
0.50
+ 0.9
15y
-15.1
+ 0.8
20y
30y
0.58
0.78
+ 2.7
+ 2.5
20y
30y
0.68
0.86
+ 1.4
+ 2.3
20y
30y
-9.6
-8.0
+ 1.3
+ 0.2
On-The-Run Issue
JGB Futures / Equity / FX
No.
Maturity Cpn
j-Yield
1DChg
7/24 Close 1DChg
2yr
390
2020/7/1
0.1
-0.125
- 1.50
JB1
150.59
+ 0.03
5yr
136
2023/6/20
0.1
-0.090
- 1.00
JB2
150.72
+ 0.02
10yr
351
2028/6/20
0.1
0.080
+ 0.00
JJA1
154.87
- 0.38
20yr
165
2038/6/20
0.5
0.590
+ 3.00
ImpVol 1m
1.2
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