国泰海通｜固收：跨年策略：兼顾胜率和赔率，博弈曲线变凹

Core Viewpoint - The overall risk in the cross-year bond market is controllable, with a tendency for a warm sentiment to continue in the short term. The focus should be on the yield curve dynamics, particularly the narrowing of the 10-2 year spread and maintaining the 30-10 spread around 40 basis points [1]. Group 1: Market Dynamics - The supply-demand relationship for long-term bonds has improved significantly, with most long-term local government bonds issued at rates below 2.5%, indicating strong market absorption capacity [1]. - Technical indicators show a notable improvement, with recent trading sessions experiencing upward momentum and a low-level golden cross in the KDJ indicator, suggesting a shift in short-term funding focus [1]. - Funding rates are stabilizing and declining, but the future downward space is limited unless there is a reduction in the Open Market Operation (OMO) rates [1]. Group 2: Investment Opportunities - The 10-year government bonds and policy financial bonds present a high cost-performance ratio, as their rebound has not fully absorbed the benefits of monetary easing, indicating clear potential for price recovery [2]. - The supply pressure for 10-year bonds is relatively controllable compared to ultra-long bonds, with a current yield of approximately 1.96%, providing a thicker spread protection compared to 10-year government bonds [2]. Group 3: Short and Ultra-Long Bonds - The pricing of medium and short-term bonds has fully reflected the benefits of monetary easing, with limited further downward space and significant compression of spreads, making the cost-effectiveness of carry strategies insufficient [3]. - The issuance of ultra-long local government bonds has been stable, indicating market absorption capacity, but caution is advised regarding older bonds due to potential selling pressure and liquidity issues [3]. - The 30-year government bonds are expected to follow the recovery of 10-year bonds, with a compression of spreads anticipated but not expected to fall below 40 basis points [3].