Group 1: Report Industry Investment Rating - Not provided in the given content Group 2: Core Viewpoints of the Report - Analyze the recent liquidity of US Treasuries from three dimensions: primary market, secondary market, and repo market, and construct the Ping An US Treasury Liquidity Stress Index and sub - indices to explore trading opportunities [6] - When the liquidity stress exceeds the threshold, the Fed may provide liquidity support; when the liquidity premium surges in the short - term, investors can buy US Treasuries opportunistically [6] Group 3: Summary of Each Section PART1: Three Dimensions to Examine Recent US Treasury Liquidity US Treasury Primary Market - The primary issuance of US Treasuries uses the Dutch auction method, and there are competitive and non - competitive participants. Competitive participants include direct and indirect bidders, and non - competitive participants have certain quota limits [10][11][15] - The demand for US Treasury auctions can be observed through indicators such as bid - to - cover ratio, primary dealer award ratio, and the difference between the winning yield and the when - issued yield. Recently, the 10Y US Treasury auction has been in good condition [19] US Treasury Secondary Market - Since 2022, the actual and implied volatility of US Treasuries has significantly increased, possibly due to high inflation and policy shocks. The term premium has also been rising, and the Bloomberg US Treasury liquidity index indicates a deterioration in liquidity conditions [21][26][34] - This year, the secondary market has remained highly active, with trading concentrated in the 3 - 5Y maturity, but the bid - ask spread has widened, indicating greater market volatility and divergence in investor expectations [38][39][44] US Treasury Repo Market - The US repo market is divided into four sub - markets according to whether there is tri - party custody and central counterparty. Different markets have different main participants [50][51] - The repo funding price has not shown stratification, and the financing conditions are good. However, the growth rate of the sponsored repo scale has slowed down, which may reflect institutional de - leveraging behavior [60][65] PART2: Construction of the US Treasury Liquidity Stress Index and Exploration of Trading Opportunities Construction of the Ping An US Treasury Liquidity Stress Index - Based on 13 indicators from three dimensions of the primary market, secondary market, and repo market, the Ping An US Treasury Liquidity Stress Index is constructed. The index is standardized and truncated at the 99.9% and 0.1% quantiles, and the sub - indices of each dimension are weighted to obtain the final index [70][75][78] Policy Intervention When the Index Exceeds the Threshold - When the US Treasury liquidity stress index exceeds the threshold (the absolute level is greater than 0.8 and the increase from the lowest point in the past 3 months is more than 1 standard deviation), the Fed may intervene, such as in the cases of the 2019 repo market crisis, the 2020 pandemic shock, and the 2023 Silicon Valley Bank event [80][83] Trading Opportunities Based on Liquidity Premium - US Treasury liquidity fluctuations bring trading opportunities. When the liquidity premium surges in the short - term, investors can buy opportunistically. Taking the situation where the US Treasury liquidity stress index is above 0.7 compared to the lowest point in the past 3 months for two consecutive days as a buying signal, the 10Y US Treasury yield has mostly declined within 20 trading days after the signal is triggered since 2019 [87][90]