先锋资管反向布局日本债市 押注央行加息促收益率曲线趋平

Core Insights - Despite political instability in Japan, Vanguard Asset Management maintains its investment strategy, anticipating potential profits if the Bank of Japan raises interest rates and flattens the yield curve [1] - Vanguard's International Rates Head, Ales Koutny, is preparing for a possible rate hike in December, adjusting positions by shorting short-term bonds while buying long-term bonds [1] - This stance contrasts with the prevailing market sentiment, which expects the Bank of Japan to maintain its current policy for a longer period due to political uncertainties [1] Group 1 - Koutny believes the market is underestimating the timing of the next rate hike, creating opportunities for repositioning trades [2] - He estimates a 50% probability of a rate hike this month, acknowledging that political turmoil may delay it until December [1][2] - Current market expectations show only a 23% probability of a rate hike at the October 30 meeting and a 62% probability by December 19 [1] Group 2 - Koutny has increased bets on rising two-year swap rates and added a new trade of shorting five-year Japanese government bonds while going long on 25-year bonds [2] - The yield spread between five-year and 30-year Japanese government bonds is currently about 190 basis points, down from a peak of 216 basis points last month [5] - This spread is significantly higher than the approximately 140 basis points before the last rate hike in January, indicating potential for narrowing before the next hike [5] Group 3 - Koutny has long advocated for a flattening of the Japanese yield curve and has increased holdings in long-term Japanese government bonds [6] - Despite the lack of returns from this strategy since the Bank of Japan paused rate hikes in January, Vanguard remains committed to its positions [6] - RBC BlueBay Asset Management, also bullish on long-term bonds, has taken a direct short position in 10-year Japanese government bonds to hedge against risks in their yield curve flattening trades [6]