Japanese government bonds (JGB) futures have been halted once again this evening as the market opens down over 1 point. 10Y yields smash 11.5bps higher to 1.00% and 5Y yields add 6bps to 47bps. These are quite simply unprecedented moves in what 'was' a safe asset class and impresses yet another VaR shock on the market (as we detailed here [4]). What this means practically is that Japanese banks push further into insolvency land (as we explained here [5]) today's move wipes out another 1.5% of blended Tier 1 capital off the entire Japanese banking industry. Since the 10Y JGB yield lows of 32.5 bps on April 5, the move is rapidly approaching a full percentage point, or the parallel shift amount that the IMF warned [6]would lead to 10% and 20% MTM losses for regional and major banks respectively. Today's jump in 10Y yields continues the post-BoJ regime of greater-than-six-sigma moves... something no risk model can withstand for three weeks. Just a good job the BoJ didn't have anything at all to say about this totally disorderly fiasco yesterday [7].
JGB Futures plunge to two-year lows...
[8]
leaving yields spiking...
[9]
10Y yields have now tripled from the post-BoJ meeting lows (in 7 weeks!!)
[10]
JPY is being sold like there's no tomorrow (which for the Japanese may well be true)
[11]
Meanwhile the Nikkei 225 is tearing hiugher once again - now up ovcer 85% from its Oct 2012 lows...
[12]
Charts: Bloomberg