国際投資戦略ウィークリー

研报英文原文证据摘录

国際投資戦略ウィークリー

on 2-year and shorter tenors, -25bp on 5-year point, and -50bp to 10-year point and beyond.

‡ Bear steepener assumes no change on 2-year and shorter tenors, +25bp on 5-year point, and +50bp to 10-year point and beyond.

‡‡ Bear flattener assumes +50bp to 2-year and shorter tenors, +25bp on 5-year point, and no change to 10-year point and beyond.

© 2026 Citigroup Inc. No redistribution without Citigroup’s written permission.

出所: Citi Research, LSEG Yieldbook

図表 4. Excess returns across the stack across various rate scenarios

3-Month Excess Returns vs. 5yr Desk HR, Annualized (%) 3-Month Excess Returns vs. 5yr Model HR, Annualized (%) As of Date:

Bull Bull Bear Bear Bull Bull Bear Bear 07/16/26 rwards* +50bp -50bp Forwards* +50bp -50bp

Steepener† Flattener†† Steepener‡ Flattener‡‡ Steepener† Flattener†† Steepener‡ Flattener‡‡

2.0s -1.4 -5.0 2.7 -6.5 8.0 -10.4 4.2 -1.4 -5.0 2.8 -6.5 8.0 -10.4 4.2

2.5s -1.3 -4.5 2.3 -6.3 7.4 -9.7 4.1 -1.4 -4.4 2.0 -6.5 7.2 -9.8 4.1

3.0s -1.3 -4.2 1.7 -6.2 6.6 -9.3 3.9 -1.3 -4.1 1.6 -6.3 6.6 -9.3 3.9

3.5s -1.2 -2.0 -1.1 -6.2 3.6 -7.1 3.7 -1.0 -2.1 -0.5 -5.8 4.0 -7.0 3.7

4.0s -1.2 -2.2 -1.3 -6.0 3.1 -7.2 3.5 -0.7 -2.7 0.4 -4.8 4.2 -7.1 3.4

4.5s -0.9 -0.9 -2.6 -5.5 1.8 -5.6 3.4 -0.1 -1.8 0.5 -3.4 3.7 -5.4 3.3

5.0s 0.2 -0.1 -1.6 -3.4 1.7 -3.6 3.3 0.9 -0.9 1.0 -1.5 3.3 -3.5 3.3

5.5s 1.6 0.8 0.3 -0.3 2.3 -1.1 3.4 2.0 0.4 1.7 0.7 3.1 -1.0 3.3

6.0s 3.1 1.6 2.5 2.7 3.2 1.2 3.5 3.2 1.5 3.0 3.0 3.5 1.3 3.5

6.5s 3.8 2.6 3.3 4.1 3.3 3.0 3.6 4.0 2.3 4.1 4.7 3.8 3.0 3.5

7.0s 3.9 3.4 2.8 4.3 2.6 4.0 3.5 4.4 2.9 4.5 5.5 3.7 4.1 3.4

* Forwards scenario assumes the 3m forwards are realized.

† Bull steepener assumes -50bp on 2-year and shorter tenors, -25bp on 5-year point, and no change to 10-year point and beyond.