低利率时代系列（五）：负Carry困境：海外机构如何破局

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - Negative carry risk has emerged as a significant challenge in the fixed - income investment field due to the global low - interest - rate environment and monetary policy cycle shifts. Overseas experience shows that addressing negative carry is crucial for institutional profitability, risk resistance, and financial system stability. China's asset management institutions can learn from overseas strategies to manage negative carry risks [10][15]. Summary According to the Table of Contents 1. Negative Carry: Impact in Progress - The cause of negative carry usually stems from asset - liability duration mismatch and interest - rate fluctuations. When the liability - side cost rises due to short - term interest - rate hikes or rigid payment pressure, and the asset - side long - term bond yields are locked or decline, institutions face the risk of return inversion [10]. - Overseas experience indicates that negative carry risks typically occur after a long - term low - interest - rate environment followed by a rapid interest - rate increase. For example, after the Fed's 2022 interest - rate hikes, the US banking industry faced "interest - rate increase + negative carry" pressure. In Japan, after the 2016 negative - interest - rate policy, a "interest - rate decrease + negative carry" situation emerged [10][11]. - China's banks and insurance institutions are also facing challenges of high liability - cost stickiness and low asset returns. They are forced to allocate low - yield bonds due to a shortage of high - quality assets, while liability - side costs adjust slowly [13]. 2. How Do Overseas Asset Management Institutions Break the Deadlock? 2.1 Asset - side: Increase Positive Returns - Japanese insurance institutions hedge negative carry pressure by extending asset duration and increasing ultra - long - term bond allocation, using term premiums to offset short - term return inversions [16]. - US commercial banks, with short - term deposits on the liability side, conduct band - trading by accurately predicting interest - rate cycles. They adjust their bond - asset repricing periods and use interest - rate swaps to hedge risks [21]. 2.2 Liability - side: Cost Control - European insurance institutions implement liability - duration matching strategies by issuing long - term policies or deposits to reduce liability - side interest - rate sensitivity. They lock in low - cost funds during interest - rate declines and adjust duration as interest rates change [22]. - Swiss insurance companies attract low - cost liabilities to form a liquidity buffer, using products like non - guaranteed products to reduce costs [24]. - Overseas asset management institutions use derivatives for duration matching and interest - rate risk hedging. For example, UK banks use structural hedging to improve returns and manage risks, and US insurance companies use interest - rate swaps to hedge interest - rate increase risks [30]. 3. What Strategies Can China Use to Address Negative Carry? - In China, banks face a contradiction between slow - growing deposit business and rigid costs, while asset - side fixed - income assets are highly sensitive to interest - rate fluctuations. The end of the negative carry environment depends on the interest - rate policy cycle [37]. - Strategies for China include dynamic duration adjustment, liability - side innovation and cost control, diversified asset allocation, and re - defining bond asset classifications. These strategies can help Chinese asset management institutions actively manage asset - liability linkages and reduce negative carry risks [38].