2026年国债期货展望：政策导向与通胀预期扰动实际利率定价，把握债市逆风下结构性机遇

Report Industry Investment Rating - The report maintains a view that the overall situation of treasury bond futures will be fluctuating with a downward bias, indicating a relatively cautious investment attitude towards the bond market [4]. Core Viewpoints of the Report - The current interest rate is supported by the central bank and capped by the fundamentals. The restraint of the central bank's monetary policy, the disappointment in bond - buying, the redistribution of new funds between the equity and fixed - income markets due to the entry of long - term funds, and the unfalsifiable "14th Five - Year Plan" policies in the next year limit the significant decline in long - term interest rates. The trend of commodities and inflation expectations may make the bond market face more headwinds [3]. - The report maintains the view that the overall situation of treasury bond futures will be fluctuating with a downward bias. In addition to short - selling hedging at high prices and long - position substitution at low prices under the high - selling and low - buying framework, strategies such as positive spreads trading and long positions in inter - delivery spreads under the timing framework are also recommended [4]. Summary According to the Table of Contents 1. Anti - involution Policy Consolidates the Inflation Floor 1.1 Inflation Floor Consolidation Disturbs the Pricing of Real Interest Rates - In 2025, the overall operation of treasury bond futures was tortuous. The market showed a high - level shock in the first half of the year and a fluctuating downward trend except in October. The 30Y - 10Y spread widened from about 10bp at the beginning of the year to over 30bp [7]. - The macro - economy remained in the bottom - shock pattern. Exports were affected by the Sino - US trade war in the first half of the year, and domestic demand recovery was not significant. In the second half of the year, the policy intensity declined, and the GDP growth rate slowed down in the third and fourth quarters due to weak downstream demand [7]. - The "asset shortage" of RMB assets still exists, but the structure has changed. The net long - position in treasury bond futures has decreased, and the market's expectations for the bond market have diverged. After the anti - involution policy, the bond market showed a fluctuating downward trend [9]. - The capital market reform policies have increased the importance of the equity market, and the "slow - bull" of the equity market has become the "political correctness" of the capital market. If the Fed cuts interest rates further and domestic policies are arranged beyond expectations next year, the equity market will continue to recover, and the bond market will only have structural opportunities [9]. 1.2 Monetary Policy Orientation and Micro - analysis of Treasury Bond Futures - The statements in the Q1 monetary policy implementation report indicated that the central bank's next - stage focus was to increase inflation, promote growth, and reduce costs. However, the bond market's recovery did not exceed the high at the beginning of the year. After the introduction of policies such as anti - involution and the resumption of the collection of value - added tax on bond interest, the market's inflation expectations and the central bank's orientation changed rapidly, and the market showed a fluctuating downward trend from the middle of the year [20]. - The Q2 report emphasized the importance of structure, and the Q3 report aimed to maintain a relatively loose liquidity environment. The central bank's bond - buying, interest - rate cuts, and reserve - requirement ratio cuts at the end of the year were less than expected. In the framework of the unfalsifiable "14th Five - Year Plan" policies and the relatively restrained monetary policy next year, treasury bond futures may continue to fluctuate within a range with a downward bias [20]. - In terms of market characteristics, the trading volume of the 12 - contract is limited, and the short - term inter - delivery spread may be positively correlated with the market. The basis has converged during the repair process since early June, and there is a demand for profit - taking in positive hedging. The curve structure has limited factors to support long - term steepening, and the steepening space may be reversed [21]. 2. Maintain the Judgment of Fluctuating and Downward - biased Interest Rates 2.1 Interest Rates are Supported by the Central Bank and Capped by the Fundamentals - Since 2015, China's interest rates have generally shown a downward trend, with three upward trends lasting more than a quarter. The duration and amplitude of these upward trends have gradually decreased, and the economic significance behind them has changed from fundamental and inflation - driven to short - term expectation and policy - driven [30]. - China has been in the passive de - stocking phase for nearly 34 months, longer than the 21 - month period in 1998. The GDP deflator has not turned positive. The second growth curve based on globalization and the real - estate model has encountered difficulties, and the future growth path depends on internal stimulus and external cooperation [30]. - Since the "9.24" in 2024, the policy bottom of the new economic cycle has been clear. The policy orientation of the financial sector is to guide long - term funds into the equity market. Although the fundamental recovery is still insufficient, the policy orientation makes it difficult for the market to break through the previous low of interest rates in the short term. Meanwhile, the limited elasticity of fundamentals and inflation restricts the upward space of interest rates, resulting in a fluctuating market where interest rates are supported by the central bank and capped by the fundamentals. In the long run, the inflow of funds into the equity market may lead to a fluctuating and downward - biased trend in treasury bond futures [31]. 2.2 Market Outlook for 2026 - The report maintains the view that the bond market will be fluctuating with a downward bias since the middle of the year. In addition to short - selling hedging at high prices and long - position substitution at low prices, strategies such as positive spreads trading and long positions in inter - delivery spreads under the timing framework are recommended [38].