【申万宏源策略】长端日债利率上行归因与套息交易后续展望——全球资产配置热点聚焦系列之二十九

Core Viewpoint - The article discusses the significant rise in long-term Japanese government bond yields, attributing it to factors such as improving employment, rising wages, and inflationary pressures, alongside supply-demand imbalances in the bond market [2][8][15]. Group 1: Long-term Japanese Government Bond Yields - The auction of 1 trillion yen 20-year bonds on May 20, 2025, saw a bid-to-cover ratio drop to 2.5, the lowest since 2012, and a tail difference of 1.14, the highest since 1987, leading to a sharp increase in 30-year bond yields to 2.74% [1][6]. - The yield spread between 30-year and 10-year Japanese bonds increased significantly to 126 basis points, placing it in the 99.3 percentile since 2000, indicating a steepening of the yield curve [1][6]. Group 2: Economic Factors Influencing Yields - The Japanese labor market has shown consistent improvement since 2021, with a declining unemployment rate and rising labor participation, contributing to wage increases and inflation that have exceeded the Bank of Japan's target of 2% for two consecutive years [2][8][12]. - The Bank of Japan is expected to initiate a rate hike cycle in March 2024 to address rising inflation and normalize monetary policy, which has been extremely accommodative for 25 years [12][15]. Group 3: Supply-Demand Imbalances - The supply-demand imbalance in the long-term bond market is a primary driver of the recent yield increases, with the Bank of Japan reducing its bond purchases, leading to liquidity risks in the market [15][22]. - Major Japanese life insurance companies are facing significant unrealized losses on their bond holdings, prompting them to reconsider their long-term bond positions, further exacerbating liquidity issues [22][24]. Group 4: Future Outlook - Upcoming bond auctions from May 28 to June 5, 2025, for 40-year, 10-year, and 30-year bonds are expected to impact the overall bond market, with potential for continued upward pressure on yield spreads [3][24]. - The actions of the Bank of Japan and the Ministry of Finance in mid-June will be crucial in determining the trajectory of Japanese bond yields, as they seek to balance currency appreciation, economic recovery, and market normalization [3][24]. Group 5: Impact on Global Markets - The ongoing rise in Japanese bond yields may influence global bond markets, as the interconnectedness of developed economies means that changes in Japanese yields could lead to similar movements in other countries' long-term bond rates [5][41]. - A reversal in the carry trade, where investors borrow in yen to invest in higher-yielding dollar assets, could lead to capital outflows from U.S. equities, increasing volatility in those markets [5][41].