After Japanese Yen Weakness, BOJ Policy in Doubt (04/29/2022)
We’re at the end of the yield curve chart pack for this pamphlet. Bunching in the intermediate spread measure is very tight, nearly down to 60 basis points. In the longer-term spread, things are widening, and the unbunching mechanism is at work. Australia is now an apparent outlier, as a comparison of the intermediate-term with the longer-term demonstrates. We do not know when and how Japan will change its policy course. We watch the news of the Russia-Ukraine war and observe the continuing Covid lockdown in China. Note how the muni term structure in the U.S. continues to reveal that munis appear to be very cheap for an American bond buyer. And this is also true for a crossover buyer. The Fed has achieved market influence through “jawboning,” and the market is pricing in several rises in policy short-term interest rates. Note that yield curves are still mostly parallel.
So far, the cumulative evidence points to successful use of swaps by market agents as they apply the cross-currency interest rate swap techniques. As for tomorrow, more will be revealed.
After Japanese Yen Weakness, BOJ Policy in Doubt (04/29/2022)
Table A: Every Curve on a Specific Date
This slide summarizes the data from the time series. We have divided the intermediate 2-year–10-year spread and the longer-term 3-month–30-year spread into two sections. Notice the same dates and the different currencies. Also notice the z-scores and how they depict the gravitation over time. We are showing both the positive and negative z-scores and the absolute z-scores. That is where we see the power of the use of the cross-currency interest rate swap mechanism that we have described in this pamphlet.
Table A: Every Curve on a Specific Date
Intermediate Spread (2 & 10YR) Range Mean Std. Dev. 7/2/2009 7/26/2012 6/24/2016 11/9/2016 11/17/2017 11/1/2019 1/21/2020 12/29/2020 1/7/2021 5/20/2021 6/18/2021 7/26/2021 8/30/2021 9/24/2021 10/27/2021 11/29/2021 1/28/2022 2/11/2022 3/4/2022 3/25/2022 4/8/2022 4/29/2022 1.435 2.049 1.067 0.955 1.089 0.665 0.974 0.804 1.176 0.786 0.708 0.259 0.768 0.316 0.745 0.452 0.839 0.492 1.446 0.884 1.304 0.745 0.968 0.629 0.941 0.617 1.170 0.725 1.220 0.678 0.904 0.618 0.746 0.546 0.707 0.535 0.807 0.484 0.998 0.510
0.404 0.384 0.288 0.272 0.323 0.183 0.201 0.226 0.256 0.405 0.342 0.291 0.290 0.316 0.329 0.253 0.195 0.219 0.261 0.295 0.252 0.248
U.S. TREASURY Z-Score U.S. MUNI AAA Z-Score 1.137 0.487
CNY (China) Z-Score JPY (Japan) Z-Score EUR (Germany) Z-Score DKK (Denmark) Z-Score SEK (Sweden) Z-Score CAD (Canada) Z-Score AUD (Australia) Z-Score CHF (Switzerland) Z-Score GBP (Great Britain) Z-Score
-0.053 -2.414 0.123 0.323 0.845 0.318 -1.206 -0.540 0.979
Absolute Average Z-Score (ALL)
0.766 Absolute Average Z-Score (Positives) 0.602
Absolute Average Z-Score (Negatives) 1.053 0.697 0.997 -0.132 -1.031 1.377 N/A -1.054 -0.765 -1.403 -0.056 1.369
0.888 1.110
0.740 0.956 0.335 -0.958 -1.970 -0.393 0.491 1.805 0.089 -0.490 -0.729 0.862
0.825 0.756
0.908 1.336 0.649 -1.136 -2.241 0.135 0.289 0.979 0.256 -0.398 -0.706 0.836
0.815 0.640
1.120 -0.539 0.053 -1.043 -1.755 1.121 1.037 1.885 -0.774 -0.050 -0.127 0.192
0.779 0.857
0.715 -0.607 0.474 1.909 -0.956 0.321 0.987 0.315 -1.954 0.403 -0.061 -0.830
0.801 0.735
0.882 -0.413 0.568 1.739 -0.986 0.184 0.673 0.812 -2.087 0.608 -0.687 -0.408
0.833 0.764
0.917 1.487 0.422 0.082 -1.269 -1.203 -0.885 -0.240 0.449 2.021 -0.580 -0.284
0.811 0.892
0.744 1.487 0.289 0.324 -1.302 -1.158 -0.869 -0.346 0.508 1.970 -0.717 -0.187
0.833 0.916
0.763 1.493 -0.030 -0.575 -1.653 -0.804 -0.375 -0.234 0.925 1.915 -0.580 -0.081
0.788 1.444
0.542 1.318 0.192 -0.492 -1.636 -0.846 -0.332 -0.203 0.587 2.178 -0.554 -0.212
0.777 1.069
0.611 1.636 0.504 -0.002 -1.649 -1.057 -0.383 -0.435 0.731 1.680 -0.597 -0.428
0.827 1.138
0.650 1.601 0.788 -0.139 -1.563 -1.053 -0.460 -0.429 0.653 1.681 -0.629 -0.450
0.859 1.181
0.675 1.415 0.477 -0.552 -1.702 -0.812 -0.169 -0.245 0.566 2.004 -0.530 -0.454
0.811 1.116
0.637 1.093 0.954 -0.191 -1.431 -0.641 -0.052 -0.267 -0.404 2.275 -0.450 -0.887
0.786 1.441
0.540 1.416 0.902 -0.450 -1.620 -0.628 -0.007 -0.478 0.100 1.953 -0.276 -0.912
0.795 1.093
0.624 0.203 0.644 0.603 -1.680 -0.252 0.628 -0.631 -0.385 2.138 0.065 -1.332
0.778 0.714
0.856 -0.830 0.228 0.919 -1.196 0.127 0.818 -0.065 -0.619 2.040 0.223 -1.644
0.792 0.726
0.871 -1.192 0.338 0.709 -1.061 0.353 0.916 -0.279 -0.816 1.901 0.598 -1.468
0.876 0.803
0.963 -1.487 -0.105 0.285 -0.770 0.472 1.097 -0.119 -1.161 1.902 0.863 -0.977
0.840 0.924
0.770
Long-Term Spread (3M & 30YR) Range Mean Std. Dev.
7/2/2009 7/26/2012 6/24/2016 11/9/2016 11/17/2017 11/1/2019 1/21/2020 12/29/2020 1/7/2021 5/20/2021 6/18/2021 7/26/2021 8/30/2021 9/24/2021 10/27/2021 11/29/2021 1/28/2022 2/11/2022 3/4/2022 3/25/2022 4/8/2022 4/29/2022 2.121 3.395 0.737
3.108 1.510 0.880
1.907 1.385 0.515
1.636 1.596 0.481
1.879 1.572 0.507
1.491 0.695 0.349
1.555 0.754 0.380
1.471 1.032 0.440
1.584 1.106 0.498
1.892 1.523 0.563
1.633 1.364 0.479
1.420 1.254 0.463
1.428 1.234 0.451
1.495 1.365 0.440
1.933 1.355 0.546
1.733 1.291 0.490
1.671 1.334 0.497
1.973 1.451 0.501
1.877 1.349 0.505
2.120 1.616 0.558
U.S. TREASURY Z-Score U.S. MUNI AAA Z-Score
1.031 N/A
CNY (China) Z-Score JPY (Japan) Z-Score EUR (Germany) Z-Score
DKK (Denmark) Z-Score SEK (Sweden) Z-Score CAD (Canada) Z-Score
AUD (Australia) Z-Score CHF (Switzerland) Z-Score
N/A -1.849 0.374
N/A 0.602 0.296
N/A -1.182
GBP (Great Britain) Z-Score 0.729
Absolute Average Z-Score (ALL)
0.866 Absolute Average Z-Score (Positives) 0.606 Absolute Average Z-Score (Negatives) 1.516 1.012 N/A
-0.164 0.179 0.885
N/A -0.609 -0.269
-1.983 -0.600 1.549 0.805 0.906 0.725 1.270 0.697
-0.481 -1.794 -0.380
-0.352 1.911 -0.166
-0.420 -0.945 0.660 0.825 1.134 0.648 1.587 0.939
-0.982 -1.811 0.165
-0.465 1.336 -0.218
0.061 -1.044 0.431 0.822 0.753 0.904 -0.202 0.228
-1.418 -1.248 1.013
0.309 2.290 -0.850
0.252 -0.425 0.052 0.753 0.691 0.829 -0.337 0.965
1.968 -0.429 0.391
-0.013 0.116 -2.307
0.345 -0.202 -0.498 0.688 0.757 0.631 -0.351 1.033
1.836 -0.527 0.240
0.153 0.479 -2.261
0.358 -0.754 -0.206 0.745 0.683 0.820 1.055 0.714
0.575 -0.576 -1.079
-1.213 -0.337 0.257
2.049 -1.297 -0.148 0.845 0.930 0.775 1.132 0.531
0.895 -0.669 -1.097
-1.175 -0.489 0.337
1.895 -1.286 -0.073 0.871 0.958 0.798 1.352 0.108
-0.103 -1.298 -0.843
-0.649 -0.402 0.858
2.065 -1.081 -0.007 0.797 1.096 0.626 1.159 0.150
0.269 -1.176 -0.988
-0.825 -0.140 0.564
2.235 -1.074 -0.174 0.796 0.876 0.730 1.346 0.194
0.684 -1.030 -1.060
-0.874 -0.280 0.840
1.791 -1.278 -0.334 0.883 0.971 0.809 1.296 0.573
0.380 -1.034 -1.090
-0.839 -0.265 0.768
1.835 -1.332 -0.292 0.882 0.970 0.809 1.218 0.346
-0.195 -1.298 -0.856
-0.631 -0.165 0.823
2.097 -1.192 -0.147 0.815 1.121 0.640 0.945 0.473
0.094 -1.014 -0.868
-0.556 -0.225 0.517
2.403 -1.137 -0.631 0.806 0.886 0.739 0.996 0.258
-0.107 -0.970 -0.590
-0.652 -0.178 1.001
2.239 -1.296 -0.701 0.817 1.123 0.642 0.951 0.437
0.395 -1.010 -0.766
-0.541 -0.311 0.504
2.344 -1.020 -0.983 0.842 0.926 0.772 0.665 0.285
0.303 -1.005 -0.523
-0.276 -0.008 0.223
2.524 -0.773 -1.416 0.728 0.800 0.667 0.655 0.469
0.394 -0.843 -0.787
-0.657 -0.184 0.111
2.595 -0.635 -1.118 0.768 0.845 0.704 0.590 0.371
-0.397 -1.033 -0.417
-0.467 -0.141 0.180
2.757 -0.403 -1.040 0.709 0.974 0.557
