Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - Analyzed the dynamic transmission characteristics and phased evolution of DR007 on treasury bond yields, indicating that short - term interest rates are approaching synchronous response [2]. - Reviewed the causes and market mechanisms of three rounds of yield curve inversions, emphasizing that the current ultra - long - end inversion is mainly due to the duration allocation needs of institutions such as insurance and pension funds [2]. - Predicted that short - term yields still have room to decline, but the medium - and long - term trends are restricted by the fundamentals and the supply - demand game; in the context of demand expansion driven by "anti - involution", the bond market performance needs to pay attention to the pressure brought by the expansion of fiscal supply [2]. Summary by Related Catalogs Short - term Interest Rate's Impact on Treasury Bond Yields - DR007, as the core interest rate of the capital market, its transmission efficiency to treasury bond yields has gradually increased. Before 2020, the lag was 15 - 30 days; from 2020 - 2023, it was shortened to about 5 days; since 2023, it has approached the same - day response [3]. - In the short - term, the low and stable capital price, combined with the central bank's mild support policies, help short - term interest rates continue to decline, strengthening bond market allocation opportunities, but the medium - and long - term trends depend more on the game between economic expectations and fiscal supply [3]. Yield Curve Inversions - In 2013, the short - end inversion was due to the sudden shortage of short - term liquidity in the financial system caused by the central bank's strengthened supervision of the shadow banking system [30][33]. - In 2017, the inversion was caused by the central bank's inclusion of off - balance - sheet wealth management in the MPA broad credit assessment, which led to a surge in short - term financing demand and a decline in medium - and long - term yields due to reduced risk - aversion demand [30][38]. - Since the end of 2024, the 20 - year and 30 - year treasury bond inversion is driven by the configuration needs of institutions such as insurance and pension funds to match durations and lock in long - term cash flows. In the long run, curve repair depends on the improvement of economic fundamentals, policy intervention, or the recovery of long - end risk appetite [4]. Outlook for July's Capital Market and Yield Curve - The central bank will maintain a moderate attitude and continue to maintain reasonable and sufficient liquidity through peak - shaving and valley - filling operations [43]. - Fiscal and government bond supply may increase, and July is a large tax - paying month, which will compress market liquidity. The maturity scale of inter - bank certificates of deposit in July has decreased, which is beneficial for banks to relieve refinancing pressure [46][48]. - The financial sector's leverage ratio has decreased this year, while the non - financial sector's has increased. The central bank's operations in July released a strong signal of stabilizing growth and liquidity, and the liquidity environment will remain abundant [54]. - Short - term treasury bond yields are expected to continue to fluctuate at a low level or decline slightly, while the medium - and long - term trends are more restricted by factors such as fiscal supply pressure and economic expectations [56]. Investment Strategies - Unilateral: The repurchase rate fluctuates, the treasury bond futures price oscillates, and the 2509 contract is neutral [5]. - Arbitrage: Pay attention to the widening of the basis [6]. - Hedging: There is medium - term adjustment pressure, and short - sellers can use far - month contracts for appropriate hedging [7].