摩根士丹利-日本利率策略：10年期日本国债能反弹多少？-260605

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大家好

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欢迎来到本期深度解析

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今天咱们要一起潜入日本国债

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也就是JGB市场的深水区

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探究一个非常有意思的现象

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消失的反弹

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大家懂得

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最近日本国债市场简直像个迷宫

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我们将顺藤摸瓜追踪隐秘的收益率走向

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看看那些被死死束缚住的市场巨头

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在里面到底扮演了多么复杂的角色

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准备好一起拨开迷雾了吗

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那么咱们直奔主题

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目前日本历史市场波动率极高

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可以说是充满了困惑

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所有的交易员

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所有的定价模型

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其实都在试图解答一个核心问题

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10年期日本国债究竟还能反弹多少

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在这个看似波澜不惊的市场表象下

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多空双方的暗流可是正在激烈交锋的

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今天咱们的拆解分五步走

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接着聊聊通胀风险溢价

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然后是中东局势的潜在冲击

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再看看被市场拒精的寿险公司们

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到底在搞什么名堂

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最后我们来算一算GGB到底有多大的反弹空间

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好第一部分

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这是定调整个市场的关键视角

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你看目前市场的情画其实非常有意思

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其实市场早就非常激进的把

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而且每次25个基点啊

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给完全定价进去了

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这意味着什么呢

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前端利率基本上已经被锁死了

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市场已经做好了充分的心理准备

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空间真的已经非常非常小了

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这时候你再品一品

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最近的发言就相当耐人寻味了

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他明确说经济下行风险有限

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但要警惕物价上行风险

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听出来了吗

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摆出了一副极为强硬的姿态

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但问题来了

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这种对通胀的极度恐惧

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真的跟底层的经济现实对得上号吗

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这种预期跟现实的错位

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往往就是大行情爆发的温床

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这就引出了我们的第二部分

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通胀风险溢价

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这是隐藏在收益率里的一个关键缓冲垫

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想要看懂接下来的戏码

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必须先弄明白通胀风险溢价

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简单来说

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大家买偿债

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怕未来通胀把利润吃掉

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所以硬要市场额外付一笔补偿费

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你可以把它想象成

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垫在债券价格底下的一块厚厚的保护性海绵垫

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为什么这个概念如此重要

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因为一旦大家不怕通胀了

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这块海绵垫就会瞬间贬下去

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债券价格向上反弹的动能马上就会释放出来

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这里有个数字啊

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大家绝对得记住

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30~40个基点

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根据摩根士丹利的经历测算

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目前10年期收益率曲线中段

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正死死卡着这么厚的一层通胀溢价垫子

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这是一个相当庞大的安全荣誉

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说明整个市场

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依然在为唯一个所谓的高物价时代

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付着极其昂贵的保费呢

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接下来这一点

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极其直观地揭示了当前定价里巨大的撕裂感

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你把市场里真金白银交易出来的盈亏平衡

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通胀率跟冷静的企业调查数据放在一起

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看好家伙反差惊人

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调查那边通胀预期不到两帕

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基本是一条平滑的直线

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但市场交易的指标硬是比他高了

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大概30个基点

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这就实锤了那层溢价海绵垫是真的存在

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换句话说

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只要风向微微一变

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这被吹大的30~40个BP

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分分钟就能被挤得一干二净

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顺理成章的

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咱们进入第三部分

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中东紧张局势到底会怎么搅动这盘棋

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所以关键点在于

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如果中东地缘冲击真的打乱了全球供应链

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会发生什么

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大家看

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日本最地气的零售销售或超市价格双双熄火

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企业那边的传统资本投资也明显踩了刹车

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如果这时候再来个外部冲击

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真正的系统性风险根本不是什么通胀过热

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而是经济直接原地停滞啊

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一旦市场回过味儿来

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发现增长停滞才是头号大敌

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前面说的那层昂贵的通胀缓冲垫马上就会漏气

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债券绝对会迎来强势反弹

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咱把话说明白点

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下行的现实已经是摆在眼前的

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最贴近老百姓的超市

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物价涨不动了

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企业扩张的步伐也停滞了

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这些冷冰冰的微观消费和投资数据

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根本撑不起

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日本

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说到底

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在跟通胀过热斗智斗勇了

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OK第四部分

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咱们把目光转向市场里的超级巨警

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日本寿险公司

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看看这些所谓的lifers到底在干嘛

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聊到这些寿险巨头就绝对绕不开es2

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也就是经济偿付能力比率这道紧箍咒

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这套资本充足率监管法则极其严苛

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他强制要求

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保险公司必须完美匹配资产和负债的久期

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防的就是灾难性的大规模退保风险

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在市场里

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寿险公司体量庞大

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像巨鲸一样

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但现在呢

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这些巨鲸的鱼鳍被ESR

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死死的钉在了监管的框架上

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根本动弹不得

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这种严苛的束缚

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直接让巨鲸们的操作变得极其保守和扭曲

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第一他们根本没有大把撒钱扫货

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只是在玩存量博弈

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卖掉低息的老债

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换成高息的新债

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第二

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每天光是靠衍生品去对冲

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利率上升带来的退保狂潮风险

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已经焦头烂额了

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第三受制于负债端收缩

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他们增加长期债券敞口的需求被压到了最低

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这就完美解释了一个大错觉

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为啥日本利率好不容易转正了

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大家翘首以盼的海外巨额日资回流潮

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竟然连个水花都没打起来

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咱们让数据来说话

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你看这11家主力寿险公司持有的代表

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10年以上超长期国债的条款不仅没有暴增

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反而在持续缩水

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这可是实打实的证据

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正是因为有es2卡着脖子

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还指望这些巨鲸冲到超长端去当救市接盘侠

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显然是完全不切实际的幻想

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那么最后也就是第五部分

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这GB到底还能反弹多少

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直接上推演结论

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20~30个基点

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你想想看

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如果市场的焦点从中东带来的通胀恐慌

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那前面提到的那层

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多达30多BP的通胀溢价垫子

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绝对会被无情挤压

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就算我们大方地扣掉市场已经完全定价的

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10年期收益率的下行

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也就是国债价格的反弹

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保守估计

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也至少还腾出了20~30个基点的丰厚空间

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为了把咱们这一趟烧脑的逻辑

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转化成真金白银的策略

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报告里给出了三个核心的操作药方

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首先坚决维持5年期国债的多头

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因为收益率曲线中断

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吸饱了通胀溢价的水分

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即水分的收益最确定

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其次做空30年期国债的资产互换

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因为财政担忧会让海外资金对超长端非常犹豫

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固定利率博弈的就是一旦经济疲软的苗头确立

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把按兵不动的时间拉得更长

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这三招可以说是把宏观洞察吃得透透的了好了

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今天的拆解就先到这里

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但最后我想给大家留一个极其迷人

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甚至有点危险的重疾思考题

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既然作为绝对主力的寿险巨鲸们

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被监管死死按在了场外

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而经济停滞

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又随时可能无情戳破那层通胀哄冲电

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与疲软经济现实的世纪大碰撞中

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这把收益率飞刀呢

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这个问题绝对值得咱们持续追踪

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感谢大家的陪伴

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咱们下期解析不见不散

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