M UpdateGlobal Macro Data | JapanJapan Macro Data Tracker - 2024/01/26Morgan Stanley MUFG Securities Co., Ltd.+Koichi SugisakiStrategist Koichi.Sugisaki@morganstanleymufg.com +81 3 6836-8428 Japan Rates Bulletin Global Macro Data: Market Outstanding JGBs: 2023 December-end (22 Jan 2024) We provide holistic daily data set and charts for Japan interest rates. This includes important data such as JGB, OIS, ASW, JGB Futures and JGBi.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 FINRA restrictions on communications with a subject company, public appearances and trading securities held by a research analyst account. January 26, 2024 09:10 AM GMTM Update2Market SummaryExhibit1:Market SummaryJGB Par RateSwap RateSwap SpreadMaturityClose1D Chg (bp)MaturityClose1D Chg (bp)MaturityClose1D Chg (bp)1y-0.06-1.51y0.10-1.01y-15.9-0.52y0.03-1.22y0.22-2.12y-19.1+0.93y0.06-1.83y0.32-3.13y-25.2+1.44y0.18-2.44y0.41-3.34y-23.1+0.95y0.30-3.05y0.50-3.45y-20.1+0.46y0.32-3.26y0.58-3.76y-26.9+0.47y0.42-3.87y0.67-3.97y-25.6+0.18y0.53-3.48y0.76-3.98y-22.5+0.59y0.62-3.29y0.83-4.19y-20.4+1.010y0.72-2.710y0.90-4.310y-17.6+1.512y0.89-4.012y1.02-4.112y-12.9+0.115y1.14-3.815y1.20-3.715y-5.4-0.120y1.50-2.520y1.42-3.820y7.9+1.330y1.76-1.430y1.56-3.030y20.5+1.6On-The-Run IssueJGB Futures / Equity / FXIssue NoMaturityCouponYield/Price1D Chg (bp)Close1D Chg2yr4562026/01/010.10.045-1.50JB1146.34+0.375yr1642028/12/200.20.295-3.00JB2145.54+0.3710yr3732033/12/200.60.715-3.00JJA1128.34+0.8020yr1872043/12/201.31.525-3.00Implied Volatility2.77%-0.71%30yr0812053/12/201.61.815-1.50Nikkei 22535751.07-485.4040yr0162063/03/201.32.065-2.50TOPIX2497.65-34.27CPI0272032/03/100.005107.45+0.10USD/JPY147.79+0.13EUR/JPY160.16+0.01Source: Bloomberg, Morgan Stanley ResearchExhibit2:JGB Cushion (Horizon 6m)11.2 7.8 5.0 9.6 10.3 4.7 9.5 9.8 9.0 9.4 8.6 8.6 8.8 8.8 8.8 8.5 8.5 8.3 8.4 7.4 5.3 5.3 -3.02.07.012.017.022.01 2 3 4 5 6 7 8 9 10111213141516171819202530CarryRollBasis PointsSource: Morgan Stanley ResearchExhibit3:Swap Cushion (Horizon 6m)12.211.810.59.99.79.59.48.98.58.37.97.67.47.37.16.96.66.46.15.74.23.4-3.51.56.511.516.521.51 2 3 4 5 6 7 8 9 10111213141516171819202530CarryRollBasis PointsSource: Morgan Stanley ResearchM UpdateMorgan Stanley Research3Market Summary 2Exhibit 4:JGB Par Rate (2y, 5y & 7y)-0.17-0.070.030.130.230.330.430.53-0.080.020.120.220.320.420.520.620.72Jul-23Sep-23Nov-23Jan-245y (LHS)7y (LHS)2y (RHS)%Exhibit 5:JGB Par Rate (10y, 20y & 30y)0.000.100.200.300.4...
