野村东方国际 美债市场动荡及日本机构投资者行为

Investment Rating - The report does not explicitly provide an investment rating for the industry Core Insights - The overseas holding of US Treasury bonds has significantly decreased from 50% in 2012 to approximately 30% currently, with a more pronounced decline in official overseas holdings from 70% in 2014 to 45% [1][3] - Japanese institutional investors have generally favored net purchases of US Treasury bonds since 2010, benefiting from Japan's long-term low interest rate environment and LDT strategy aimed at enhancing yields, with exceptions noted in 2013 and 2022 due to Federal Reserve policy adjustments [1][4] - The Bank of Japan, as a significant holder of US Treasury bonds, exhibits a wave trading strategy, selling during interest rate increases and buying when rates decline, reflecting a flexible response to Federal Reserve policies [1][8] - The Agricultural and Forestry Central Bank has drawn attention due to substantial losses in 2024, with a high proportion of its securities investment business and an extreme application of the LDT strategy, having nearly completed its planned reduction of US Treasury bond holdings [1][10] - Japanese commercial banks typically engage in net selling during Federal Reserve rate hike cycles, indicating a strategy of optimizing investment portfolios and controlling risks through phased profit-taking or bottom-fishing [1][11] Summary by Sections US Treasury Market Dynamics - Recent volatility in the US Treasury market is driven by multiple factors, including tariff measures, concerns over US assets and stagflation, and deteriorating market liquidity [2][17] - Data does not support rumors of significant US Treasury bond reductions by Chinese and Japanese officials, as overall foreign holdings have decreased but not to the extent suggested [3][20] Japanese Institutional Investor Strategies - Japanese institutional investors have shown a consistent tendency to purchase US Treasury bonds, particularly under the LDT strategy, despite exceptions during periods of market turmoil [4][5] - In times of global financial market turbulence, Japanese institutional investors maintain a strong net buying inclination towards US Treasury bonds, leveraging their safe-haven status [5][18] - Different types of Japanese institutional investors exhibit distinct strategies, with banks operating flexibly and insurance companies employing high hedging ratios due to domestic liabilities [13][19] Impact of Federal Reserve Policies - The Federal Reserve's rate hikes typically lead to increased US Treasury yields, prompting Japanese commercial banks to engage in net selling, reflecting their adaptive strategies to international financial conditions [11][19] - The Agricultural and Forestry Central Bank's net selling actions are seen as stop-loss measures rather than primary drivers of market volatility, with its holdings being less significant compared to larger banks [12][10] Asset Allocation Trends - There is a clear trend of diversification in foreign official holdings of US Treasury bonds, decreasing from 70% to 45% over the past decade, indicating a shift towards multi-asset strategies to mitigate risks [6][21] - The Government Pension Investment Fund (GPIF) has adjusted its investment strategy to increase foreign securities in response to aging demographics, impacting the US Treasury market during stock market fluctuations [14][15]