Core Viewpoint - The Japanese yen carry trade is at a critical juncture, with the USD/JPY exchange rate remaining above 140 since summer 2023, but pressures from rising Japanese interest rate expectations and U.S. rate cut pressures may lead to a significant downturn in the exchange rate, potentially triggering a global asset allocation chain reaction [1]. Group 1: Economic Indicators - Japan's inflation rate continues to exceed the central bank's target, with Q2 GDP annualized growth at 1%, significantly above market expectations [1]. - The U.S. labor data has been weak, coupled with calls for rate hikes from former President Trump, placing the Federal Reserve in a difficult position [1]. Group 2: Bond Market Dynamics - The 10-year Japanese government bond yield is expected to rise significantly between 2024 and 2025, currently nearing a technical resistance level of 1.58%, which has been tested multiple times in recent months [1]. - If this resistance level is breached, yields could rise to 1.86%, and the yield spread between U.S. and Japanese 10-year bonds may narrow significantly [1]. Group 3: Yield Spread Analysis - The yield spread between U.S. and Japanese 10-year bonds has been fluctuating between 2.75% and 2.8% since September 2024, facing a critical support test [4]. - A breakdown of this support could lead to a further decline towards approximately 2.3% [4]. Group 4: Historical Correlation - Historically, the USD/JPY exchange rate has shown a strong correlation with the U.S.-Japan 10-year bond yield spread, but a recent divergence has been noted [7]. - Similar divergence occurred in summer 2024, which eventually led to a convergence of the exchange rate and yield spread [11]. Group 5: Market Sentiment and Technical Analysis - The USD/JPY exchange rate is approaching a critical support level at 140, and a breach could trigger large-scale unwinding of carry trades that have supported the exchange rate above this level since July 2023 [12]. - The 5-year USD/JPY cross-currency basis swap has formed a bullish "ascending triangle" pattern, indicating a decrease in the cost of hedging dollar borrowings, which adds pressure on Japanese investors holding dollar assets [11]. Group 6: Conclusion - Although the correlation between the yen's strength and the Nasdaq 100 index is weaker than last year, historical trends suggest that rising risk aversion typically accompanies yen appreciation [17]. - The market widely anticipates that the prolonged carry trade may come to an end sooner than expected, following multiple tests of key resistance levels in the interest and currency markets [17].

文 ： 华创证券研究所副所长 、首席宏观分析师 张瑜（执业证号：S0360518090001） 联系人：殷雯卿（19945767933） 核心观点 近期关于美债今年是否会是到期最高峰、 6 月前后是否会出现天量到期潮的问题被市场高度关注。对 这一问题我们详细解释了国债到期额的合理统计方法，并对其进行统计。可以看到： 2025 年美国国 债并未如市场所传的那样出现天量到期墙问题，但目前美国国债、特别是短期国债的到期滚续压力确 实很大，远高于 2023 年以前的水平，高额的国债到期规模可能会加大国债市场的供需压力，美债收 益率难下。 报告摘要 1 、 2025 年是天量到期潮吗？与 2024 年大致持平 以上文所述统计方法，滚动以每年 1 月 1 日为数据观察日，统计美国国债每年到期额。 则 2025 年 美国国债到期规模 10.8 万亿美元，与 2024 年到期额 10.6 万亿美元接近，但远高于 2023 年以前 水平。因此， 2025 年其实并没有出现国债到期额相较 2024 年的巨幅提升，但美国国债的债务到期 问题确实愈发严重。 2 、 2025 年 5-6 月将是年内债务到期高峰？ 为何会出现 2025 ...