Japan Swaps Signal Yields to Break BOJ’s New Ceiling: In Charts
- Ten-year swap implied volatility jumps to most since Dec. 2010
- Swaps pricing for BOJ policy rate above 0.4% for October
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The Bank of Japan’s shock decision to tweak its yield-curve control ceiling has boosted policy-normalization bets, fueled expectations for higher and more volatile yields and may also damp demand for US Treasuries.
Overnight indexed swaps are factoring in a steeper policy rate path to levels above 0.4% by October next year. That compares with pricing for 0.2% before Tuesday’s BOJ decision: