1. Report Industry Investment Rating - There is no information provided regarding the industry investment rating in the report. 2. Core Viewpoints of the Report - Interest rate trading opportunities lie in the long - end, and the resilience of credit under loose funds may continue. Since June, the interest rate curve has been steepening, with the spread between 10 - year and 1 - year Treasury bonds widening from 20bp to 43bp. The curve's steepness or flatness mainly depends on the performance of long - end interest rates, with a higher probability of range - bound fluctuations [2]. - After the curve steepens, there are trading opportunities. There are still long - end trading opportunities after the bond market correction. The bullet strategy is theoretically more advantageous, and high - coupon local bonds' spread compression opportunities can be observed. Credit bonds are more resilient under loose funds, and the pattern of interest rate fluctuations with credit resilience may persist [4]. 3. Summary According to Relevant Catalogs 3.1 This Week's Institutional Behavior Review - **Curve Steepening Characteristics**: Since June, the interest rate curve has steepened. The short - end remains stable at around 1.40% due to stable funds and large banks' continuous buying of short - term bonds. The long - end is the main factor for the curve's steepening. The trading volume of long - term bonds has increased, and the bond market sentiment is fragile. The curve's future shape depends on long - end interest rates, with a likely range - bound trend [2][3]. - **Trading Opportunities after Curve Steepening**: There are still long - end trading opportunities after the bond market correction. High - coupon local bonds' spread compression opportunities can be considered. Credit bonds are more resilient under loose funds, and this pattern may continue [4]. 3.2 Yield Curve - **Treasury Bonds**: Yields have generally increased. The 1Y yield changed less than 1bp, 3Y increased by 1bp, 5Y changed less than 1bp, 7Y increased by 2bp, 10Y increased by 4bp, 15Y increased by about 8bp, and 30Y increased by 7bp. The 1Y remained at the 12% percentile, 3Y rose to 12%, 5Y and 7Y remained at 11%, 10Y rose to 13%, 15Y rose to 13%, and 30Y rose to 14% [13]. - **China Development Bank Bonds**: Yields also increased overall. The 1Y increased by 4bp, 3Y by 6bp, 5Y by about 7bp, 7Y by 6bp, 10Y by 16bp, 15Y by 11bp, and 30Y by 7bp. The 1Y rose to 14%, 3Y to 13%, 5Y to 14%, 7Y to 13%, 10Y to 13%, 15Y to 14%, and 30Y to 14% [13]. 3.3 Term Spread - **Treasury Bonds**: The interest rate spread inversion deepened, and the term spread generally widened. The 1Y - DR001 spread inversion deepened by 3bp, 1Y - DR007 by 1bp. The 3Y - 1Y spread narrowed by 1bp, 5Y - 3Y widened by 1bp, 7Y - 5Y by 4bp, 10Y - 7Y by 1bp, 15Y - 10Y by about 7bp, and 30Y - 15Y remained flat [18]. - **China Development Bank Bonds**: The interest rate spread showed different trends. The short - and medium - term spreads widened, while the long - term spreads narrowed. The 1Y - DR001 spread inversion deepened by about 2bp, 1Y - DR007 increased by 2bp. The 3Y - 1Y spread widened by about 2bp, 5Y - 3Y changed less than 1bp, 7Y - 5Y changed less than 1bp, 10Y - 7Y widened by 10bp, 15Y - 10Y narrowed by 5bp, and 30Y - 15Y narrowed by 1bp [19]. 3.4 Bond Market Leverage and Funding - **Leverage Ratio**: From September 8 to 12, 2025, the leverage ratio fluctuated and decreased. As of September 12, it was about 107.03%, down 0.22pct from the previous Friday and 0.08pct from Monday [22]. - **Repo Transaction Volume**: The average daily trading volume of pledged repos from September 8 to 12 was about 7.5 trillion yuan, down 0.18 trillion yuan from the previous week. The average daily overnight pledged repo trading volume was 7.3 trillion yuan, down 0.16 trillion yuan, and the overnight trading volume ratio averaged 88.43%, up 0.08pct [28][29]. - **Funding Situation**: Bank - based funds' net lending first increased and then decreased. The main fund borrowers were funds. DR007 fluctuated upward, and R007 fluctuated downward. As of September 12, R007 was 1.47%, up 0.0085pct from the previous Friday; DR007 was 1.46%, up 0.02pct; the spread between R007 and DR007 was 0.0076bp [33]. 3.5 Duration of Medium - and Long - Term Bond Funds - **Median Duration**: From September 8 to 12, the median duration of medium - and long - term bond funds (de - leveraged) was 2.68 years, down 0.08 years from the previous Friday; (leveraged) it was 2.78 years, down 0.16 years [44]. - **Duration by Bond Fund Type**: The median duration of interest - rate bond funds (leveraged) decreased to 3.67 years, down 0.02 years from the previous Friday; that of credit bond funds (leveraged) decreased to 2.48 years, down 0.08 years. The median duration of interest - rate bond funds (de - leveraged) was 3.35 years, down 0.01 years; that of credit bond funds (de - leveraged) was 2.45 years, down 0.07 years [47]. 3.6 Generic Strategy Comparison - **Sino - US Spread**: The short - end spread narrowed, while the long - end spread widened. The 1Y narrowed by 1bp, 2Y by 3bp, 3Y by 3bp, 5Y by 4bp, 7Y widened by 1bp, 10Y by 8bp, and 30Y by 17bp [53]. - **Implied Tax Rate**: Overall, it widened. As of September 12, the spread between China Development Bank bonds and Treasury bonds widened by 3bp for 1Y, 5bp for 3Y, 6bp for 5Y, 4bp for 7Y, 11bp for 10Y, 2bp for 15Y, and remained flat for 30Y [54]. 3.7 Bond Lending Balance Changes - On September 12, the lending concentration of active 10 - year Treasury bonds, active 10 - year China Development Bank bonds, and active 30 - year Treasury bonds increased, while that of less - active 10 - year Treasury bonds and less - active 10 - year China Development Bank bonds decreased. Among institutions, large banks and securities firms saw a decrease, while small and medium - sized banks and other institutions saw an increase [58].

Group 1 - The report indicates that the bond market is currently experiencing adjustments due to a self-correction of excessive risk appetite, with significant fluctuations observed from July 9 to 11, where daily adjustments exceeded 1 basis point [1][22][25] - Despite the frequent negative rotations in the bond market, key variables influencing the market direction, such as fundamentals, central bank attitudes, and external circulation pressures, have not changed [1][25][37] - The report highlights that the bond market's pricing reference may shift from the stock market to fundamentals as economic data is released, indicating a weak correlation between stock market rebounds and bond market pricing [3][36] Group 2 - The report notes that the recent adjustments in the bond market have led to the 10-year and 30-year government bonds returning to relatively high positions at 1.65% and 1.85%, respectively, making the market more sensitive to positive news and less responsive to negative news [4][37] - It emphasizes that the liquidity situation will be a critical observation period for the central bank's attitude, especially with a significant funding gap expected in mid-July [4][26][39] - The report suggests that despite recent increases in funding prices, overnight rates remain relatively low, indicating that leverage strategies may still be preferred in July [6][39][40] Group 3 - The report discusses the impact of recent adjustments in the bond market, where the duration of bond funds has decreased, reflecting a shift in market behavior as institutions reduce their duration amid tightening liquidity [6][24][25] - It also mentions that the government bond issuance volume remains above 400 billion, indicating ongoing government financing activities [6][21] - The report highlights that the leverage ratio in the non-bank sector has decreased significantly, indicating a market-wide trend towards deleveraging [6][24] Group 4 - The report outlines the recent changes in the interest rate environment, with the overnight rates rising to 1.40% and 1.51% for R001 and R007, respectively, indicating a tightening liquidity situation [15][25][26] - It notes that the recent adjustments in the bond market have led to a significant increase in the issuance rates of certificates of deposit, reflecting rising costs for banks [29][30] - The report also highlights the ongoing adjustments in the credit bond market, particularly in the long-end segment, where yields have been affected by negative rotations [17][16] Group 5 - The report indicates that the recent changes in tariffs by the U.S. government may have implications for global trade dynamics, with increased tariffs on key countries potentially impacting the bond market [31][32] - It suggests that the market is currently cautious regarding tariff changes, with a wait-and-see approach being adopted by investors [31][32] - The report emphasizes that the bond market's response to external factors, such as tariffs, may not be immediate, and investors are advised to monitor developments closely [31][32]