Market Performance - The majority of government bond futures closed higher, with the 30-year main contract down 0.10% at 111.960 yuan, the 10-year main contract up 0.02% at 108.260 yuan, the 5-year main contract up 0.06% at 105.905 yuan, and the 2-year main contract up 0.03% at 102.414 yuan [1] - The yields on major interbank bonds showed mixed movements, with the 10-year China Development Bank bond "25国开15" yield rising by 0.30 basis points to 1.9610%, while the 10-year government bond "25附息国债16" yield fell by 0.30 basis points to 1.8120%, and the 30-year government bond "25超长特别国债06" yield decreased by 0.15 basis points to 2.2500% [1] Funding Conditions - The central bank announced a 1,055 billion yuan 7-day reverse repurchase operation on February 3, with a fixed rate of 1.40%, and the full bid amount was accepted [2] - On the same day, 4,020 billion yuan of reverse repos matured, resulting in a net withdrawal of 2,965 billion yuan [2] - The overall funding conditions in the interbank market remained stable, with the weighted average rate of DR001 dropping about 5 basis points to around 1.31% [2] News Updates - The central bank reported liquidity injection for January 2026, with a net withdrawal of 79 billion yuan from the Standing Lending Facility (SLF), a net injection of 700 billion yuan from the Medium-term Lending Facility (MLF), and a net injection of 1,744 billion yuan from the Pledged Supplementary Lending (PSL) [3] - The central bank will conduct an 8,000 billion yuan buyout reverse repurchase operation on February 4, with a term of 3 months (91 days), aiming for a net injection of 1,000 billion yuan after accounting for 7,000 billion yuan of 91-day reverse repos maturing on the same day [3] Operational Suggestions - The recent rebound in the equity market has slightly suppressed long bond sentiment, but the central bank's announcements of 1,000 billion yuan bond purchases and a 1,000 billion yuan net injection through buyout reverse repos support expectations for a loose funding environment [4] - In the absence of further catalysts, the 10-year bond yield may continue to fluctuate within the 1.8%-1.85% range, while the T2603 contract may oscillate between 108-108.3 [4] - It is suggested to maintain range trading strategies and consider narrowing the spread between ultra-long bonds and other varieties, especially with the seasonal rise in funding rates before the Spring Festival [4]

Report Information - Report Date: January 25, 2026 [1] - Report Title: Bond Research Weekly Report: "Short Squeeze" in 30-Year Treasury Bonds [2] - Analysts: Yan Ziqi, Hong Ziyan [6] Industry Investment Rating - Not provided in the given content Core Views - The bond market was strong from January 19th to 23rd, with the 30-year Treasury bond standing out. The yield of the active bond 2500006 dropped nearly 5bp, mainly on the 20th and 21st. There was a "short squeeze" in the 30-year Treasury bond market [7][13]. - The "short squeeze" was triggered by short sellers covering their positions due to the downward trend of interest rates. The high bond lending volume at the beginning of the week and the non - exceeding - expectation of the press conference on Tuesday led to a downward trend in interest rates, and the short - covering by securities firms exacerbated the decline [7][13]. - The "short squeeze" can be verified from multiple perspectives, including the trading volume hitting a new high, event - driven and short - covering on the 20th, fund chasing on the 21st, and the spread strategy being one of the reasons for the increase in bond lending volume [7][14]. - In the future, the trading volume in the bond market will remain strong, and the spread strategy may become more popular. If the interest rate of new bonds is high after issuance, the current active bonds may be lent and sold more, and attention should be paid to the upward risk of interest rates. If the interest rate does not rise, attention should be paid to the excess buying power brought by short - covering after the downward signal of interest rates [8][15]. Summary by Directory 1. This Week's Bond Market Review - The bond market was strong from January 19th to 23rd, with the 30-year Treasury bond being prominent. The yield of the active bond 2500006 dropped nearly 5bp, mainly on the 20th and 21st. There was a "short squeeze" in the 30-year Treasury bond market. The "short squeeze" was caused by short sellers covering their positions due to the downward trend of interest rates, and the short - covering by securities firms exacerbated the decline [7][13]. - The "short squeeze" can be verified from four perspectives: after the lending volume hit a new high, the trading volume was difficult to push down the price; on the 20th, the event and short - covering drove the 30-year Treasury bond yield down rapidly; on the 21st, fund chasing made the 30-year Treasury bond continue to be strong; the spread strategy may be one of the reasons for the increase in bond lending volume, and the spread between 260002 and 2500006 narrowed from 8.4bp on January 15th to 4.7bp on January 23rd [7][14][15]. 2. Bond Yield Curve Tracking 2.1 Key Maturity Interest Rates and Spread Changes - As of January 23rd, compared with January 19th, the 1Y Treasury bond yield dropped 0.65bp to 1.28%, the 10Y Treasury bond yield dropped 0.95bp to 1.83%, and the 30Y Treasury bond yield dropped 5.46bp to 2.29%. The spread between the 30Y and 10Y Treasury bonds dropped 4.51bp to 45.73bp, and the spread between the 10Y China Development Bank bond and 10Y Treasury bond dropped 3.57bp to 14.37bp [16]. 2.2 Treasury Bond Maturity Spread Changes - As of January 23rd, compared with January 19th, the 3Y - 1Y Treasury bond spread dropped 2.02bp to 18.62bp, the 5Y - 3Y spread dropped 0.13bp to 18.13bp, the 7Y - 5Y spread dropped 0.17bp to 10.59bp, the 10Y - 7Y spread rose 1.84bp to 12.66bp, the 20Y - 10Y spread rose 0.81bp to 42.10bp, and the 30Y - 20Y spread rose 1.96bp to 4.02bp [17]. 3. Bond Market Leverage and Funding Situation 3.1 Bank - to - Bank Pledged Repurchase Balance - As of January 23rd, compared with January 19th, the bank - to - bank pledged repurchase balance dropped 0.20pct to 12.35 billion yuan [20]. 3.2 Bank - to - Bank Bond Market Leverage Ratio Change - As of January 23rd, compared with January 19th, the bank - to - bank bond market leverage ratio dropped 0.26pct to 107.38% [21]. 3.3 Pledged Repurchase Transaction Volume - From January 19th to January 23rd, the average daily pledged repurchase transaction volume was 8.57 trillion yuan, and the average daily overnight pledged repurchase transaction volume was about 7.75 trillion yuan, with an average overnight transaction ratio of 90.49% [26][29]. 3.4 Bank - to - Bank Funding Operation Situation - From January 19th to January 23rd, bank funding supply first decreased and then increased. As of January 23rd, large - scale banks' net funding supply was 5.10 trillion yuan, small - and medium - scale banks' net funding demand was 0.41 trillion yuan, and the net funding supply of the banking system was 4.69 trillion yuan. As of January 23rd, DR001 was 1.3983%, DR007 was 1.4935%, R001 was 1.4654%, and R007 was 1.5360% [30]. 4. Duration of Medium - and Long - Term Bond Funds 4.1 Median Duration of Bond Funds - As of January 23rd, the median duration of medium - and long - term bond funds (de - leveraged) was 2.62 years, up 0.02 years compared with January 19th; the median duration (including leverage) was 2.73 years, up 0.01 years compared with January 19th [39]. 4.2 Median Duration of Interest - Rate Bond Funds - As of January 23rd, the median duration of interest - rate bond funds (including leverage) was 3.54 years, down 0.06 years compared with January 19th; the median duration of credit - bond funds (including leverage) was 2.51 years, up 0.02 years compared with January 19th. The median duration of interest - rate bond funds (de - leveraged) was 3.31 years, up 0.02 years compared with January 19th; the median duration of credit - bond funds (de - leveraged) was 2.41 years, up 0.01 years compared with January 19th [45]. 5. Bond Lending Balance Change - As of January 23rd, compared with January 19th, the borrowing volume of 10Y China Development Bank bonds fluctuated [48].

Summary of the Conference Call on Bond Market Investment Strategy Industry Overview - The focus is on the bond market, specifically the investment strategies for November 2025, highlighting a strong but limited downward movement in bond prices with low risk [1][4]. Key Points and Arguments - **Economic Expectations**: Investors have high expectations for a strong economic start in the coming year, supported by positive developments in US-China trade negotiations and potential recovery in PMI data [1][3]. - **Interest Rate Trends**: The ten-year government bond yield needs more favorable conditions to effectively drop below 1.7%. Current conditions show a 7,000 fund level around 1.4, indicating a loose but not extremely low liquidity environment [2][3]. - **Duration Strategy**: It is recommended to maintain a neutral to slightly high duration strategy in November, focusing on opportunities to compress spreads, particularly in 30-year non-active bonds, 50-year government bonds, and 5-10 year active government bonds [5][11]. - **Short-term vs Long-term Bonds**: Short-term certificates of deposit are not cost-effective, while short-term government bonds are less likely to decline due to central bank purchases. If short-term rates continue to decline, a bullet strategy is preferred; if rates fluctuate, a balanced approach between bullet and barbell strategies is suggested [6][10]. - **Central Bank Actions**: The central bank restarted government bond trading to stabilize the balance sheet and as a long-term liquidity tool. This move is crucial given the declining balance of central government debt from January to September [7][8]. - **Government Bond Supply**: Although the net financing scale of government bonds in Q4 is lower than last year, it is still significant, necessitating central bank cooperation. The expected net financing scale for November to December is approximately 1.7 trillion, lower than last year's nearly 3 trillion [9][10]. - **Future Monetary Policy**: There is a high probability of interest rate cuts next year, although the likelihood of cuts within the year is low. The central bank may adopt a more flexible approach to reserve requirement ratio adjustments based on market conditions [10][12]. - **Investment Recommendations**: For 10-year government bonds, the new bond 220 is less attractive compared to the main bond 215 due to its small issuance scale. Recommendations include focusing on high-value long-term bonds such as the 30-year and 50-year government bonds [11][12]. - **Floating Rate Bonds**: Floating rate bonds benefit from declining short-term rates, but many are currently overpriced. Investors are advised to selectively focus on specific floating rate products [13]. - **Bond Futures Strategies**: The December contract IR2 is at a high level, suggesting effective hedging strategies using bond futures. Specific analysis is required for different contracts during the November rollover [14]. Other Important Insights - The overall bond market is expected to remain strong with limited downside risk, indicating a cautious but optimistic outlook for investors [4]. - The central bank's actions are crucial for maintaining liquidity and supporting the bond market amid fluctuating economic conditions [8][10].

Core Insights - The article discusses investment strategies focusing on various government bonds, particularly highlighting opportunities in 30-year non-active bonds, 50-year bonds, and 5-10 year active bonds [1] Group 1: Investment Strategies - The article suggests monitoring the yield spread strategies for 30-year non-active bonds, 50-year bonds, and 5-10 year active bonds [1] - It recommends considering long-end credit configurations and waiting for a 5 basis point adjustment before making duration strategy decisions [1] - The 10-year government bond spread between 250016 and 250011 is currently around 5 basis points, with expectations of potential compression to 3 basis points under optimistic conditions [1] Group 2: Market Performance - As of October 30, 2025, the 5-10 year government bond active index (H21018) increased by 0.05%, while the government bond ETF for the same duration rose by 0.07%, marking three consecutive days of gains [1][2] - The 5-10 year government bond ETF reached a new high in scale at 1.589 billion yuan [3] - The ETF's latest share count reached 13.5325 million, also a six-month high, with a net inflow of 17.6132 million yuan [4] Group 3: Historical Performance - Over the past five years, the 5-10 year government bond ETF has seen a net value increase of 21.60%, ranking 34 out of 179 in index bond funds, placing it in the top 18.99% [4] - The ETF has a historical maximum monthly return of 2.58% and a longest consecutive monthly gain of 10 months, with a total gain of 5.81% [4] - The ETF has a 100% probability of profitability over three years, with a monthly profitability probability of 70.87% [4] Group 4: Risk and Fees - The maximum drawdown for the ETF over the past six months was 1.09%, with a relative benchmark drawdown of 0.46% [5] - The management fee for the ETF is 0.15%, and the custody fee is 0.05% [6] Group 5: Tracking Accuracy - The ETF has a tracking error of 0.028% over the past month, closely following the 5-10 year government bond active index [7]

Core Insights - The report highlights a significant increase in U.S. new home sales, which surged by 20.5% month-on-month in August to an annualized rate of 800,000 units, exceeding expectations of 650,000 units [11] - Alibaba's commitment to invest heavily in AI, with plans to allocate 380 billion RMB over three years for AI infrastructure, is expected to positively influence market sentiment [13] - The semiconductor sector is anticipated to experience substantial growth due to the trend of domestic production equipment, as noted by CITIC Securities [13] Market Overview - The U.S. stock market experienced a pullback, with the Dow Jones Industrial Average dropping 171 points after initially rising by 160 points [9] - U.S. Treasury yields increased, with the 10-year yield reaching 4.155% and the 2-year yield at 3.604% [9] - Gold prices slightly declined, with spot gold falling by 0.74% to close at $1,736.14 per ounce [9] Company Focus - Meituan's revenue for the first half of 2025 reached 775 million RMB, marking a year-on-year increase of 7.8%, indicating a significant improvement in adjusted EBITDA [21] - Bilibili is focusing on developing AI recommendations and video editing features to enhance user experience and content quality, positioning itself as a leader in the industry [21] - Rui Pu Lan Jun reported a 100.2% year-on-year increase in lithium battery sales, with a total of 32.4 GWh sold in the first half of 2025, significantly improving revenue and profitability [21] Economic Data - Hong Kong's exports in August are estimated to grow by 12.2% year-on-year, while imports are expected to rise by 13.6% [20] - The U.S. is projected to report a 0.2% month-on-month increase in retail inventories for August [20] - The number of initial jobless claims in the U.S. for the week ending September 20 is expected to be 233,000 [20]