专题报告 2025-11-26 日元套息交易浅析 报告要点： 日元套息交易长期以来在全球金融体系中扮演着重要角色，其影响力不仅体现在汇率波动，也 深刻牵动着跨国资本流动、全球风险偏好与各类资产的配置。随着日本货币政策迈向有限正常 化，日元套息交易未来可能成为全球流动性的重要扰动因素。高市早苗上台后，日本政府推出 规模超过 21 万亿日元的大型财政刺激方案，通过增加国债发行扩大支出规模，在改善短期增 长的同时显著加大了市场对日本长期债务可持续性的担忧。长端利率的上升不仅抬高了日元的 内生回报率，也可能引发日本国内寿险公司、养老金等传统长久期投资者对投资组合进行再平 衡。在上述宏观背景下，日元套息交易的未来呈现不确定性，需关注日元政策路径与日本债券 收益率的结构性变化。当前看，日元套息交易逆转的系统性风险尚未出现，日本国债实际收益 率仍为负。后续需观察日本货币政策独立性以及美联储货币政策表态，以及市场波动率的表现 带来的风险偏好的变化等。 国债研究员 从业资格号：F3048844 交易咨询号：Z0017196 0755-23375128 jiangwb@wkqh.cn 程靖茹（联系人） 宏观研究员 从业资格号：F ...

其次，高负债一直是日本经济多年来的"顽疾"——日本的债务占国内生产总值（GDP）比重多年来一直 维持在230%左右。不顾日本债务规模已达经济总量两倍以上，高市政府推出巨额刺激计划，大概率会 尾随大规模的发债计划。据悉，该方案包括通过追加预算新增17.7万亿日元支出，以及2.7万亿日元的减 税措施。若加上地方政府支出和私营部门投资，总影响规模将膨胀至42.8万亿日元，远超去年39万亿日 元的刺激计划。市场人士表示，如此大规模的刺激计划意味着日本政府需增发国债，规模可能超过去年 6.69万亿日元的借款额。如若市场认定，日本政府在发债问题上已经丧失财政自律，这可能会从根本上 侵蚀投资者对日本国债市场的信心，从而酝酿巨大的震荡风险。 第三，随着日本央行开启加息进程，日本不仅为延续数十年的超级宽松货币政策画上句点，其利率也升 至10多年来的高点。若日本国债收益率持续攀升，将形成恶性循环：日本政府不得不将更多预算用于支 付现有债务利息；日本银行和保险公司持有大量日本国债，随着收益率上升，这些债券的价值下降，损 害了它们的财务健康；为支付更高利息，日本政府又不得不依赖创纪录的发债来"筹钱"，从而进一步推 高日本国债收益率。 ...

Economic Overview - On October 21, 2025, Sanna Marin became Japan's first female Prime Minister, coinciding with a critical phase of structural reform and cyclical adjustment in the Japanese economy[1] - Japan's inflation has gradually moved out of a long-term low range, with the monthly CPI maintaining a year-on-year growth of 2%-4% since April 2022[2] - Average wage growth from spring negotiations is expected to exceed 5% for two consecutive years in 2024 and 2025, marking the highest level in nearly 30 years[2] Inflation Dynamics - Current inflation is primarily driven by short-term factors such as rising food, energy, and import prices, with the CPI growth rate at 3.1% in July 2025, while excluding energy and food, the inflation rate is only 1.6%[2] - The wage-price interaction mechanism in Japan is still fragile, with potential disruptions from external shocks affecting corporate profits and investment willingness[2] Economic Policy Framework - Sanna Marin's economic policy, termed "Marin Economics," continues the legacy of Abenomics, emphasizing active policy intervention to address structural stagnation[1] - The policy framework retains Abenomics' "three arrows": accommodative monetary policy, expansionary fiscal policy, and structural reforms, but with a stronger focus on strategic investments and structural guidance[1][6] Market Implications - If Marin's policies are effectively implemented, fiscal expansion may increase government bond supply, potentially steepening the yield curve[1] - The normalization pace of Japan's monetary policy may slow, exerting short-term pressure on the yen, but medium-term support is expected as the U.S. enters a rate-cutting cycle[1] Regional Impact - Japanese asset performance has significant spillover effects on Asian markets, with structural trends in the Japanese stock market often signaling global capital reallocation towards Asian risk assets[1][6]

Core Viewpoint - The Japanese yen strengthened significantly on September 19, leading to a sharp decline in the Japanese stock market and a ripple effect across Asian markets, driven by the Bank of Japan's decision to begin selling its holdings of domestic exchange-traded funds [1][2]. Group 1: Bank of Japan's Policy Decision - The Bank of Japan maintained its benchmark interest rate at 0.5%, marking the fifth consecutive meeting without change, which was in line with market expectations [2]. - The announcement of gradually selling off its holdings in domestic exchange-traded funds caused market turbulence, with the Nikkei index dropping by 1.6% [2]. - Analysts interpret this move as a significant step away from the ultra-loose monetary policy of the Abe administration, indicating a potential tightening of policy [5]. Group 2: Economic Indicators and Market Reactions - Despite some signs of weakness, the Japanese economy is described as being on a path of moderate recovery, with stable private consumption and moderate growth in capital expenditure [5]. - A media survey indicated that most observers expect the Bank of Japan to raise the benchmark interest rate by January next year, with a 58% probability of a rate hike by the end of the year [5]. - The strengthening of the yen is expected to impact various markets, particularly through the reversal of carry trade positions, which could lead to significant market adjustments [5][6]. Group 3: Historical Context and Future Implications - Historical data shows that reversals in yen carry trade have occurred in specific periods, leading to yen appreciation and pressure on equity and commodity markets [6]. - Current carry trade volumes in yen are significantly lower than historical highs, suggesting a reduced scale of arbitrage trading due to narrowing interest rate differentials between the US and Japan [6].

Core Viewpoint - The Japanese bond market is undergoing significant changes as the Bank of Japan normalizes its monetary policy after decades of near-zero interest rates and aggressive quantitative easing, leading to a substantial rise in government bond yields [1][10][13] Group 1: Bond Yield Changes - The 10-year Japanese government bond yield reached 1.62%, an increase of 72 basis points year-on-year, while the 30-year yield surged to 3.236%, effectively doubling within a year [3][10] - The yield curve has steepened, indicating rising term premiums as investors seek compensation for duration risk [10][11] Group 2: Central Bank Actions - The Bank of Japan announced a slower pace of bond purchases, with a plan to reduce monthly purchases to approximately 3 trillion yen between January and March 2026, reflecting a cautious approach to tightening monetary policy [5][7] - As of August 8, the Bank of Japan held 561.73 trillion yen in Japanese government bonds, with over 78% in long-term and super-long-term bonds [5][6] Group 3: Debt Levels and Economic Impact - Japan's government debt is projected to reach 1,129 trillion yen by the end of the fiscal year 2025, with total central and local government long-term debt expected to hit 1,330 trillion yen, representing 211% of GDP [7][10] - The actual interest rates on government debt have been rising slowly but remain below inflation levels, supporting a decline in the debt-to-GDP ratio [1][10] Group 4: Market Reactions and Investor Behavior - Japanese investors are reallocating funds from foreign assets back to domestic bonds due to rising interest rates and changing global monetary policies, with a net reduction in overseas long-term bonds [10][11] - The bond market is no longer seen as a safe haven for global investors, with increased volatility prompting a preference for short-term bonds or high-quality corporate bonds [11][12] Group 5: Future Outlook - Market expectations indicate a 64% probability of a 25 basis point rate hike by the end of the year, with potential further hikes in 2026 [9][12] - The normalization of the Bank of Japan's monetary policy is viewed as a pivotal moment for global fixed income and foreign exchange markets, reshaping capital flows and investment strategies [12][13]

Core Viewpoint - The article discusses the potential for the Renminbi (RMB) to challenge the dominance of the US dollar in the context of a changing global trade and financial environment, particularly in the emerging G2 world [2][9]. Historical Context - Previous currencies like the Japanese Yen and Euro had opportunities to challenge the dollar but ultimately failed due to various economic and political factors [3][5][6]. - The Yen appreciated significantly from 1985 to 1989, but this did not lead to its status as a global reserve currency, highlighting that currency strength does not guarantee international acceptance [4][5]. - The Euro faced challenges from its inception, including the Eurozone debt crisis, which undermined its credibility as a reserve currency [6][10]. Characteristics of Global Reserve Currencies - A global reserve currency typically requires military power to ensure its dominance, as seen historically with currencies from Spain, the Netherlands, and the UK [7]. - The US dollar's status is supported by a favorable external environment post-World War II, characterized by globalization and reduced geopolitical conflicts [8]. - The concept of "seigniorage" allows the issuer of a reserve currency to benefit from printing money, but this is not an unlimited power, as evidenced by the US's current debt situation [8][11]. Current Situation of the Renminbi - The global interest in the RMB is increasing, driven by concerns over the US's weaponization of the dollar and the need for alternative financial systems [10][13]. - The RMB's role as a transaction currency is growing, but it still lacks the characteristics necessary for it to be a long-term reserve currency, such as liquidity and full convertibility [10][14]. - The RMB's internationalization is influenced by the relative decline of trust in the US and the rise of China's economic influence [13][14]. Future Outlook - The potential for the RMB to challenge the dollar's dominance is contingent on several factors, including the establishment of a robust RMB settlement network and the resolution of existing economic and policy risks [10][14]. - The transition to a multi-currency world may take time, as the dollar's dominance is deeply entrenched [14].

Core Viewpoint - The article discusses the historical and current challenges faced by currencies like the Ruble, Yen, Euro, and the potential for the Renminbi to challenge the dominance of the US dollar in the global financial system [1][2][3][4][5][6][9][10]. Group 1: Historical Context of Currency Competition - The Ruble was once considered a competitor to the dollar until the economic weaknesses of the Soviet Union became apparent [1]. - The Plaza Accord in 1985 led to a rapid appreciation of the Yen, which contributed to Japan's asset bubble, but did not result in the Yen becoming a major global reserve currency [2][3]. - The Euro has faced significant challenges since its inception, particularly during the Eurozone debt crisis, which highlighted the lack of a unified fiscal policy among member states [3][4]. Group 2: Characteristics of Global Reserve Currencies - A global reserve currency typically requires military power to ensure its dominance, as seen with historical currencies of Spain, the Netherlands, and the UK [5]. - The US has maintained its position as the global reserve currency due to its military spending and the favorable external environment post-World War II [5][6]. Group 3: Current and Future Prospects for the Renminbi - The increasing global attention on the Renminbi is partly due to the erosion of trust in the US dollar under Trump's administration, leading to a search for alternative reserve currencies [6][9]. - The Renminbi's potential as a reserve currency is hindered by its limited circulation and the lack of liquid Renminbi-denominated assets [7][9]. - For the Renminbi to challenge the dollar, it must establish a settlement network, particularly in Asia, and build trust in its stability and convertibility [10].

Group 1 - The latest auction results for Japan's 40-year government bonds show a bid-to-cover ratio of 2.21, the lowest since July 2024, indicating a lack of confidence among investors in current bond prices [1] - Long-term bond yields in Japan have risen sharply, with 10-year and 20-year yields reaching their highest levels since 2000, and the 30-year yield surpassing 3%, causing significant volatility in the global financial markets [1][2] - Major Japanese life insurance companies reported substantial unrealized losses on domestic bond holdings, with total losses amounting to approximately 8.5 trillion yen (about 60 billion USD), a threefold increase year-on-year [2] Group 2 - The rapid rise in Japanese bond yields may lead to a reversal of carry trade strategies, where investors previously borrowed yen to invest in higher-yielding assets, potentially causing increased market volatility [3][4] - The last significant reversal in global carry trades occurred in July 2024, triggered by pressures in the U.S. stock market and interest rate hikes by the Bank of Japan, leading to a sell-off in risk assets globally [4] - If Japanese domestic interest rates continue to rise, it could trigger a broader increase in global interest rates, as Japanese investors may be forced to liquidate overseas assets to cover domestic bond losses [4][5] Group 3 - The Japanese authorities are aware of the issues surrounding rising long-term bond yields, but resolving these challenges remains complex [5][6] - The Japanese Ministry of Finance has issued a survey to market participants regarding the appropriate scale of government bond issuance, reflecting concerns about current market conditions [6] - The Bank of Japan faces a dilemma in its monetary policy, balancing the need to address rising bond yields while avoiding a return to ultra-loose monetary policies that could exacerbate inflation, which has recently reached a core CPI increase of 3.5% year-on-year [6][7]

Macro - Japan's ultra-long bond yields have risen significantly due to increased market concerns over bond supply shocks from fiscal expansion influenced by tariffs [1] - Demand for ultra-long bonds from domestic institutions has been weak since 2025, contributing to the supply-demand imbalance [1] - The recent cold reception of Japanese government bond auctions has exacerbated negative market sentiment [1] - Future attention should be paid to upcoming government bond auctions, potential dovish signals from the Bank of Japan, and the results of the July Senate elections [1] Fixed Income - Japan's 20-year government bond auction showed a rapid decline in market demand, reaching a new low since 2012, with the auction tail spread hitting the highest level since 1987 [4] - The yield on Japan's 20-year bonds surged to 2.539%, the highest since 2000, while the 10-year and 30-year yields also reached record highs [4] - Japan's government debt-to-GDP ratio was 219.15% in Q1 2025, the highest among developed economies, with rising interest rates further increasing debt servicing costs [5] - The Bank of Japan's ongoing reduction in bond purchases necessitates finding new buyers for government bonds [5] - Rising inflation and interest rate pressures in Japan make long-term bond yields difficult to decrease [5] - The rapid rise in Japanese bond yields poses risks of fiscal strain, losses for bondholders, and potential spillover effects on global bond markets [6] - The impact of rising yields on China's bond market is expected to be limited due to differing inflation environments and fiscal conditions [6] Non-Ferrous Metals - The lithium and cobalt sectors are experiencing price fluctuations, with lithium prices showing signs of stabilization despite high inventory levels [8] - Lithium carbonate prices have decreased, with a weekly average of 61,600 yuan/ton, down 2.25% from the previous week [9] - Cobalt raw material supply is tightening, but demand remains cautious, leading to a weak overall market [10] - Phosphate iron lithium and ternary material prices have also seen declines, with phosphate iron lithium averaging 30,300 yuan/ton, down 1.16% [11]

Core Viewpoint - Japan's ultra-long-term government bond yields have been rising sharply since April, with 30-year and 40-year bond yields reaching historical highs, reflecting market concerns over fiscal sustainability and poor auction results [1][2]. Group 1: Bond Market Dynamics - As of May 22, the 30-year and 40-year Japanese government bond yields were reported at 2.999% and 3.336%, respectively, marking historical peaks [1]. - The poor auction results for the 20-year bonds on May 20, with a bid-to-cover ratio of only 2.5, the lowest since 2012, indicate a significant supply-demand imbalance in the ultra-long bond market [1][2]. - The tail risk spread for the 20-year bond auction surged to 1.14, the highest since 1987, suggesting weak market demand for long-term bonds [1]. Group 2: Central Bank and Economic Policy - The Bank of Japan, historically the largest buyer of government bonds, has reduced its bond purchases since July 2022, leading to increased supply in the market [2]. - Concerns over Japan's fiscal sustainability have diminished investor appetite for government bonds, particularly as government debt exceeds 260% of GDP [2]. Group 3: Global Market Impact - The volatility in Japan's bond market may trigger a rise in global interest rates, as Japanese investors may liquidate overseas assets to cover domestic bond losses [3]. - Despite the turmoil in Japan's bond market, the impact on China's bond market remains limited, with foreign investment in domestic bonds showing a net increase of $10.9 billion in April [3]. Group 4: Future Uncertainties - Upcoming bond auctions on May 28 and June 5 for 40-year and 30-year bonds could further affect market sentiment if results are poor [4]. - The potential for continued volatility in Japan's bond market may prompt the Bank of Japan to adopt a more dovish stance to alleviate market fears [4]. - The results of the July Japanese Senate elections could influence expectations for fiscal easing, thereby exacerbating concerns over long-term bond supply and fiscal sustainability [4].