2026年展望系列六：陡峭的极限和骑乘的边界

1. Report Industry Investment Rating No information provided. 2. Core Viewpoints of the Report - In 2025, the bond market showed a pattern of "fast bull, slow bear, mainly oscillating", with the 10 - year Treasury bond yield fluctuating between 1.6% - 1.9%. The yield curve changed from bull - steep to bear - flat and then to bear - steep [2][9]. - In 2026, the yield curve is likely to maintain a relatively steep shape, with the short - end being prone to decline and the long - end difficult to fall. The probability of the curve remaining oscillating or slightly bull - steep is higher [3]. - In 2026, the riding strategy is a better choice than simply relying on duration extension. The 5 - year to 4 - year Treasury bond riding strategy is optimal on the current yield curve, with relatively controllable risks [4]. 3. Summary According to the Directory 3.1 1.行情回顾：债市“快牛慢熊”，曲线从牛陡走向熊陡 - In 2025, the bond market experienced a "fast bull, slow bear" and entered an oscillating market. The 10 - year Treasury bond yield oscillated between 1.6% - 1.9%. The short - term bond interest rate first rose and then fell during the year, and the yield curve changed from bull - steep to bear - flat and then to bear - steep [9]. - In Q1, long - term interest rates dropped significantly, short - term interest rates rebounded sharply, and the curve changed from bull - steep to bear - flat; in Q2, the bond market entered a sideways consolidation, and the curve remained relatively flat; in Q3, long - term bond yields rose significantly, short - term fluctuations were limited, and the curve changed from bear - flat to bear - steep; in Q4, the "bear - steep" of the curve was further strengthened [11]. 3.2 2.行情展望：排除长端大幅上行风险，曲线陡峭化或延续 3.2.1 2.1 曲线形态：短端易落长端难下，收益率曲线或延续陡峭 - After the bear - steep, there are three typical trends: bear - flat, bull - steep, and oscillation. In 2026, the curve is most likely to remain steep or slightly bull - steep, with a high probability of a structural differentiation pattern of "short - end decline, long - end oscillation" [14][15]. 3.2.2 2.2 四个约束：限制长端收益率大幅上行的因素 - ROIC: The central decline of ROIC in recent years restricts the significant upward movement of long - term Treasury bond yields [16][18]. - Long - term loan interest rate and long - term Treasury bond interest rate: The long - term loan interest rate is still falling, and the long - term Treasury bond yield is difficult to rise significantly [19]. - Stock - bond ratio: The current stock - bond ratio is in a neutral range, and if the bond yield rises significantly, it will enter the allocation value range [21]. - Asset - liability ratio: The spread between the liability costs of banks and insurance and the Treasury bond yields has been significantly eased, and the stabilizing effect of the allocation disk may suppress the significant upward movement of yields [23]. 3.3 3.利率策略：做陡曲线，骑乘策略或是最佳选择 3.3.1 3.1 策略选择：曲线偏陡背景下，骑乘优于单纯久期博弈 - In 2026, it is difficult to simply rely on duration extension to bet on interest rate decline. The riding strategy can obtain certain returns from the curve shape and is more suitable for the market characteristics of "low interest rate, low volatility, and dominated by curve structural changes" [25][28]. 3.3.2 3.2 策略思路：在陡峭曲线下，选择1年持有期的曲线凸点 - In the riding strategy, the 5 - year Treasury bond riding to the 4 - year is the optimal convex point on the current yield curve, which can obtain relatively certain structural returns while controlling risks [30][32]. 3.3.3 3.3 策略模拟：不同情景下骑乘目标收益测算与风险衡量 - Under the static curve assumption, the one - year target return of the 5 - year to 4 - year riding strategy is about 2.01%; under the bull - steep assumption, it can be increased to about 2.20%. The 5 - year riding strategy has a relatively thick risk cushion, and the risk is relatively controllable [34][35].