日本利率策略：通胀风险溢价的向下重定价

Downward Repricing of theInflation Risk Premium We argue that the recent outperformance of the belly reflects adownward repricing of excessive inflation risk premium as themarket increasingly focuses on "real" economic data. While theMiddle East situation remains fluid, we see scope for a furtherbelly-led rally under both "de-escalation" and "escalation"scenarios. Key Takeaways Earlier market concerns centered on the BoJ potentially falling “behind thecurve,” particularly after the strong April CGPI print. Rising JGBi breakevens alsoreinforced fears for a second-round effect. However, actual consumer inflation data (excluding temporary factors) have beensofter. April nationwide CPI showed slowing in core-core and “US-style” coreinflation, despite energy-driven headline pressure. The recent resilience of the belly suggests markets are shifting focus from"forward looking" inflation overshoot risk to "real" economic data. We see further rally potential in the belly as it still prices in ample inflation riskpremium, and we maintain a 5y JGB outright long position. In contrast, we see the super-long sector remaining vulnerable to fiscal expansionconcerns, including potential “bridging bonds” and relief spending. Morgan Stanley does and seeks to do business withcompanies covered in Morgan Stanley Research. As a result,investors should be aware that the firm may have a conflict ofinterest that could affect the objectivity of Morgan StanleyResearch. Investors should consider Morgan StanleyResearch as only a single factor in making their investmentdecision. For analyst certification and other important disclosures,refer to the Disclosure Section, located at the end of thisreport. += Analysts employed by non-U.S. affiliates are not registeredwith FINRA, may not be associated persons of the memberand may not be subject to FINRA restrictions oncommunications with a subject company, public appearancesand trading securities held by a research analyst account. Interest Rate Strategy Japan | Downward Repricing of the Inflation Risk Premium Koichi Sugisakikoichi.sugisaki@morganstanleymufg.comHiromu Uezatohiromu.uezato@morganstanleymufg.com MORGAN STANLEY MUFG SECURITIES CO., LTD. +81 3 6836-8428 +81 3 6836-8431 Downward repricing of the inflation risk premium The belly sector of the JGB yield curve outperformed markedly this week (see Exhibit 1 ).As we discussed in "Switching to Outright Long on the Belly", an excessive inflation riskpremium appeared to have been priced into the belly zone amid market concerns aboutthe risk of the BoJ falling “behind the curve”. However, our discussions with clients this week have left us with the impression thatmany are starting to feel that the BoJ’s terminal policy rate level might very well endup being lower than is currently priced in. A big upside surprise in the BoJ’s corporate goods price index (CGPI) for April—with pricesclimbing particularly sharply for “petroleum and coal products” and “chemicals and relatedproducts”—seemingly fueled expectations that a continuing lack of progress in MiddleEast peace negotiations could trigger a significant inflation overshoot and thereby forcethe central bank’s hand on additional rate hikes (see Exhibit 2 ). JGBi breakevens have meanwhile continued to strengthen, which may also have givenmarket participants cause to contemplate a scenario in which increasingly aggressivecorporate pricing behavior starts to feed through to the prices faced by consumers. WithBoJ officials having moreover acknowledged such a possibility, the net upshot appears to have been an acceleration in positioning premised on “behind the curve” risk. Consumer price trends have however been telling a different story. The Nikkei CPINowindex points to continuing disinflation even in May (as we discussed in "Switching toOutright Long on the Belly") (see Exhibit 3 ), and the slightly less timely Tokyo CPI datafor May have subsequently painted a similar picture. Moreover, while the nationwide CPI numbers for April did show a quickening of year-on-year inflation for the BoJ’s core gauge excluding fresh food and institutional factors(reflecting the recent surge in energy prices), core-core inflation (excluding energy as wellas fresh food) and “US-style” core inflation (excluding all food and energy) meanwhileslowed in a manner consistent with the CPINow trajectory (see Exhibit 4 ). Teikoku Databank’s May survey (only Japanese is available) of 195 major foodmanufacturers points to the number of June price hikes being well down from 2025 andmoreover shows “higher ingredient and raw material costs” having taken over from otherjustifications for raising prices (such as “higher labor costs”) by comparison with the startof this year. This change in stance could quite conceivably be attributable to firms fearing a backlashfrom consumers if price hikes go beyond what can be readily explained in terms of higheringredient costs. To summarize: whereas markets initiall