Ratesdailybp

10-year US-Japan differential (unhedged)

The price behind the largest cross-border bond flow in the world. A Japanese life insurer holds Treasuries when the pickup over JGBs is worth the trade, and this is that pickup before any hedge, so it moves before the weekly purchases the Ministry of Finance reports move. It is unhedged, and the hedged figure is what actually decides the trade: that needs FX forward points or the cross-currency basis, neither of which this warehouse holds, so it is not computed and not estimated. The basis is not a small correction either. It reached roughly minus 150 basis points on yen at the end of 2008 and again in 2011 and 2016, wider than this differential was through much of that period, and it moves exactly when dollar funding gets scarce. One further caveat a reader cannot see in the number: a shared date is not a shared moment, because the JGB fixing is a Tokyo afternoon and the Treasury yield is a New York afternoon, so a shock between the two closes lands in one leg a day before the other.

Latest

214.80 bp

As of

1 Oct 2026

Standard deviations

0.46

Percentile

71st percentile