Japanese Market Monitor

Latest edition · August 31, 2026

fixed income market monitor jpy eur

This report monitors global fixed income sectors hedged to JPY as of August 28, 2026, comparing effective yields, option-adjusted spreads, and Solvency II capital-adjusted returns across EUR, USD, and GBP assets. Covered bonds and investment-grade corporate bonds demonstrate the highest capital efficiency (RoSCR), while credit spreads across the market have compressed substantially from 2022 highs.

The J.P. Morgan Japanese Market Monitor tracks USD-, EUR-, and GBP-denominated fixed income indices hedged to JPY as of August 28, 2026. Nominal JPY-hedged yields range from approximately 2.0% for short-dated sovereign paper up to 6.2% for GBP high yield debt. However, after incorporating Solvency II spread risk SCR charges, short-dated covered bonds deliver by far the highest Return on Spread SCR (RoSCR), reaching 134.9% for 1-5y USD covered bonds and 91.5% for EUR covered bonds, compared to under 30% for high yield credit. The publication also details 52-week and 10-year historical ranges for yields and spreads, alongside 5-year cross-currency FX hedging adjustment costs across various maturities.

Key takeaways from the latest edition

• 1.Hedging foreign fixed income into JPY continues to provide positive effective yields across all major global sectors, ranging from 2.0% for short-dated EUR and GBP Treasuries to over 5.2%–6.2% in emerging market and sterling high yield bonds.
• 2.Covered bonds provide superior capital efficiency on a return-on-spread-SCR (RoSCR) basis under Solvency II frameworks, with 1-5y USD Covered bonds yielding a 134.9% RoSCR and EUR Covered bonds yielding 91.5%, well above corporate and high yield alternatives.
• 3.Option-Adjusted Spreads (OAS) have tightened meaningfully across most sectors from their 2022 peaks, with EUR Tsy compressing to 4 bps, EUR Covered bonds to 36 bps, and USD BBB corporates to 98 bps.

What this series covers

• Summary table
• Effective Yield (%) – Fixed Income sectors
• OAS (bps) – Fixed Income sectors
• Capital Adjusted Yield
• Yield to Worst – 52 weeks range
• OAS – 52 weeks range
• Yield to Worst – 10 years of history
• OAS – 10 years of history
• Yield to Worst by maturity bucket
• OAS by maturity bucket
• FX hedge adjustment – 5 years of history

Edition archive

• fixed income market monitor jpy eur

  August 31, 2026

• fixed income market monitor jpy gbp

  August 31, 2026

• fixed-income-market-monitor-jpy-eur

  June 2, 2026

• fixed-income-market-monitor-jpy-gbp

  June 1, 2026