* This report is a periodic monitoring update automatically generated and posted using AI based on publicly available information. Facts are distinguished from analysis and inferences.
Crude Oil & Yen Depreciation Risk Monitoring
Assessment
Since the previous note (September 20, 00:02), a significant improvement signal has emerged in (3) “Physical Supply Constraint Regime.” On September 19, General Brad Cooper of U.S. Central Command (CENTCOM) explained that the volume of crude oil, liquefied natural gas, and other shipments passing through the Strait of Hormuz has reached a six-month high over the last two weeks, that major shipping lanes have been cleared of mines, and that over 1 billion barrels of crude oil have passed through the strait from Gulf countries in recent months. Since the previous assessment identified “worsening physical constraints” based primarily on tanker attacks, VLCC shortages, and rising insurance premiums, this is a clear reversal signal in terms of direction. However, as some vessel tracking data from sources like Kpler still observe low daily transit numbers, we evaluate this as an “improvement signal” rather than a “normalization.”
What has changed
・According to CENTCOM, the volume of crude oil, cargo, and LNG shipments via Hormuz over the last two weeks has reached its highest level in the past six months.
・The clearing of mines in major shipping lanes and escorts by the U.S. military and Gulf nations are said to be supporting the recovery of transit, which is a factor in the opposite direction of the physical supply constraints in (3) compared to the previous report.
・On the other hand, war risk insurance and VLCC freight rates remain high, and low transit numbers persist in vessel tracking data, so we do not judge that supply constraints have been resolved.
・Crude oil futures fell for the third consecutive day on September 18, with Brent closing at $104.87 and WTI at $100.30. The easing of concerns regarding Saudi supply is beginning to be reflected in prices.
・Regarding U.S. interest rates and policy, following the Fed’s 25bp rate hike on September 16, the structure where the U.S. 2-year Treasury yield is around 4.74% and the 10-year is around 5% continues. The Bank of Japan also raised rates to 1.25% on September 18, but USD/JPY has depreciated to the 157 yen level, and (5) “Yen-specific weakness/interest rate differential model divergence” still remains.
Implications for the Yen, U.S. Interest Rates, and Japanese Equities
If the effective transit volume through Hormuz recovers sustainably, it will exert downward pressure on the supply premium for crude oil and petroleum products and on Japan’s yen-denominated energy prices, helping to alleviate the deterioration of the yen’s terms of trade. In the U.S., it may weaken the upward pressure on energy-derived inflation expectations and suppress expectations for additional rate hikes and rising short-term interest rates. For Japanese equities, this is an improvement factor for sectors with high sensitivity to energy costs such as transportation, chemicals, and retail, but at this point, it is premature to shift to a full normalization scenario due to high insurance, freight, and shipping lane risks.
Indicators to watch going forward
We will prioritize the actual transit volume through Hormuz and verify the consistency between CENTCOM announcements and vessel tracking data from Kpler, IMF PortWatch, etc. At the same time, we will continue to monitor VLCC charter rates, war risk insurance premiums, Dubai physical premiums, Singapore gasoil and jet fuel cracks, U.S. 2-year and 5-year BEI and 5-year 5-year forward inflation expectations, Fed OIS, BOJ OIS, USD/JPY, yen-denominated Dubai crude, and Japan’s import prices.
Main Sources
・The Straits Times / Bloomberg (2026-09-19) CENTCOM Commander: Hormuz oil shipments hit 6-month high: https://www.straitstimes.com/world/middle-east/hormuz-oil-shipments-hit-6-month-high-us-commander-says
・Reuters (2026-09-18) Oil prices, Saudi supply concerns: https://www.reuters.com/business/energy/oil-prices-fall-1-hopes-limited-supply-disruptions-2026-09-18/
・Reuters (2026-09-18) Saudi Gulf exports increase: https://www.reuters.com/business/energy/aramco-boost-exports-strait-hormuz-60-million-bbl-september-october-traders-say-2026-09-18/
・Reuters (2026-09-18) Japanese refiners secured sufficient supplies through November: https://www.reuters.com/business/energy/japans-refiners-secured-sufficient-crude-supplies-through-november-industry-body-2026-09-18/
・Reuters (2026-09-18) BOJ rate hike to 1.25%: https://www.reuters.com/world/asia-pacific/bank-japan-set-raise-interest-rates-31-year-high-2026-09-17/
The current “Crude Oil & Yen Depreciation Risk Monitoring” tracks the following five regimes.
(1) Supply Shock Inflation/Strong Dollar/Weak Yen Regime:
Crude oil ↑ → Petroleum products ↑ → U.S. BEI ↑ → Fed hawkishness → U.S. interest rates ↑ → Dollar ↑ → Yen depreciation. Specifically, we monitor whether “higher crude oil, higher product prices, higher U.S. interest rates, stronger dollar, and yen depreciation” are occurring simultaneously.
(2) Demand Destruction/Economic Slowdown Regime:
A state where even if crude oil prices remain high or rise, BEI ↓, real interest rates ↓, Fed pricing ↓, and U.S. interest rates ↓. We determine whether the market has begun to prioritize lower real income, demand destruction, and economic slowdown over inflation caused by high energy prices.
(3) Physical Supply Constraint Regime:
We monitor transit through the Strait of Hormuz, tanker freight rates, war risk insurance premiums, crude oil physical premiums, refinery operations, and gasoil/jet fuel cracks. We distinguish whether “futures crude oil has just risen” or if there is an actual shortage of crude oil, transportation, and refined products.
(4) Fed/BOJ Policy Reaction Function Regime:
Focusing on Fed OIS and BOJ OIS, we monitor not only the probability of rate hikes/cuts but also whether the speed of policy changes, terminal rates, and the reaction function itself have changed. We specifically watch the U.S.-Japan policy divergence of “Fed dovishness vs. BOJ hawkishness.”
(5) Yen-Specific Weakness/Interest Rate Differential Model Divergence Regime:
We monitor whether USD/JPY rises or remains high even when U.S. interest rates ↓, Fed dovishness, BOJ hawkishness, and U.S.-Japan interest rate differentials narrow. In that case, we judge it to be a regime where terms of trade, yen-denominated energy prices, capital flows, dollar supply/demand, and positioning dominate the yen rather than interest rate differentials.
As a Japan-specific confirmation series that cuts across these, we track Dubai crude oil × USD/JPY → yen-denominated Dubai crude → Japan’s import prices. Overall, we watch the transmission path: Middle East physical supply shock → crude oil/product prices → U.S. inflation expectations → Fed → U.S. interest rates → Dollar → USD/JPY → yen-denominated energy prices → Japan’s import inflation → BOJ → Japanese equities.
