rv: curve-based relative value
Carry & Rolldown (1y, bp)
| Tenor | Yield (%) | Carry | Roll | Total |
|---|
| 2Y | 1.682 | 71 | 25 | 96 |
| 3Y | 1.814 | 84 | 13 | 97 |
| 4Y | 2.000 | 102 | 19 | 121 |
| 5Y | 2.127 | 115 | 13 | 128 |
| 6Y | 2.269 | 129 | 14 | 143 |
| 7Y | 2.410 | 143 | 14 | 157 |
| 8Y | 2.576 | 160 | 17 | 177 |
| 9Y | 2.713 | 174 | 14 | 187 |
| 10Y | 2.854 | 188 | 14 | 202 |
| 15Y | 3.409 | 243 | 11 | 254 |
| 20Y | 3.719 | 274 | 6 | 280 |
| 25Y | 4.017 | 304 | 6 | 310 |
| 30Y | 3.995 | 302 | -0 | 301 |
| 40Y | 4.002 | 303 | 0 | 303 |
Unit: bp per year.
Spread / Fly Rich-Cheap (1y window)
| Now (bp) | 1y mean | Z | %ile | Range |
|---|
| 2s5s10s fly | -28.2 | -15.6 | -2.80 | 1 | -28〜-7 |
| 5s10s20s fly | -13.8 | -35.9 | +1.44 | 92 | -60〜-7 |
| 10s20s30s fly | 58.9 | 54.8 | +0.76 | 78 | 46〜74 |
| 20s30s40s fly | 26.9 | 26.4 | +0.12 | 62 | 17〜39 |
| 5s10s | 72.7 | 56.8 | +1.39 | 85 | 41〜83 |
| 10s30s | 114.1 | 130.6 | -1.22 | 8 | 107〜158 |
| 20s30s | 27.6 | 37.9 | -1.18 | 15 | 20〜52 |
| 10s20s | 86.5 | 92.7 | -1.13 | 10 | 82〜108 |
| 5s20s | 159.2 | 149.6 | +1.03 | 78 | 133〜176 |
| 2s10s | 117.2 | 98.1 | +0.93 | 73 | 70〜143 |
| 30s40s | 0.7 | 11.5 | -0.90 | 28 | -11〜29 |
| 2s5s | 44.5 | 41.3 | +0.34 | 63 | 26〜61 |
Auction Concession (last 12, coupon JGBs)
Unit: bp. Source: Ministry of Finance.