Report Industry Investment Rating - The rating for treasury bonds is "Oscillating" [4] Core Viewpoints of the Report - Treasury bond futures fluctuated and declined this week. Although there may be a short - term rebound next week, the medium - term outlook remains bearish. The bearish macro - and micro - level logics for treasury bonds, especially ultra - long bonds, are long - term, so it's necessary to be cautious when betting on a rebound [1][2][13] Summary by Relevant Catalogs 1. One - Week Review and Views 1.1 This Week's Trend Review - From January 5th to 11th, treasury bond futures fluctuated and declined. Various factors such as changes in stock markets, commodity markets, central bank policies, and inflation data affected the daily trends of treasury bond futures. By January 9th, the settlement prices of the main contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 102.338, 105.570, 107.775, and 110.870 yuan respectively, down 0.108, 0.160, 0.050, and 0.510 yuan from last weekend [1][11] 1.2 Next Week's View - There may be a short - term rebound in the bond market next week, but the adjustment pressure remains in the medium term. Factors that may trigger a rebound include stock market adjustments, rising expectations of reserve requirement ratio cuts, and weak economic indicators. However, the factors suppressing the bond market are long - term, and there won't be a major opportunity for the bond market to strengthen in the short term [13][14] 2. Weekly Observation of Interest - Bearing Bonds 2.1 Primary Market - This week, 58 interest - bearing bonds were issued, with a total issuance volume of 763.234 billion yuan and a net financing amount of 349.184 billion yuan. The net financing amount of treasury bonds, local government bonds, and inter - bank certificates of deposit all increased [17][18][20] 2.2 Secondary Market - Treasury bond yields rose. By December 31st, the yields of 2 - year, 5 - year, 10 - year, and 30 - year treasury bonds were 1.44%, 1.65%, 1.88%, and 2.31% respectively, up 6.46, 2.10, 3.03, and 3.50 basis points from last weekend. The spreads of 10Y - 1Y, 10Y - 5Y, and 30Y - 10Y all widened [23][24][25] 3. Treasury Bond Futures 3.1 Price, Trading Volume, and Open Interest - Treasury bond futures fluctuated and declined. By January 9th, the settlement prices of the main contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures changed compared to last weekend. The trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures this week were 42,234, 70,459, 86,203, and 125,268 lots respectively, with changes of - 35, - 8,144, - 14,320, and - 103 lots from last week. The open interests were 76,124, 166,548, 245,351, and 181,430 lots respectively, with changes of - 2,902, + 814, + 3,386, and + 13,012 lots from last week [31][34] 3.2 Basis and IRR - This week, the IRR of each variety generally declined, and the opportunity for cash - and - carry arbitrage strategies is not obvious. Recommended cash - and - carry strategies include laying out short - hedging strategies after the market rebounds and moderately paying attention to widening the basis strategy [38] 3.3 Inter - Delivery and Inter - Variety Spreads - By January 9th, the inter - delivery spreads of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures contracts 2603 - 2606 were - 0.042, + 0.005, + 0.090, and - 0.140 yuan respectively, with changes of + 0.002, - 0.005, + 0.085, and + 0.070 yuan from last weekend [44] 4. Weekly Observation of the Funding Situation - From January 5th to 9th, the central bank conducted 102.2 billion yuan of reverse repurchase operations, with 1.3236 trillion yuan of reverse repurchases maturing, resulting in a net withdrawal of 1.2214 trillion yuan. The funding rates such as R007, DR007, SHIBOR overnight, and SHIBOR 1 - week all declined. The average daily trading volume of inter - bank pledged repurchase increased [46][47][50] 5. Weekly Overseas Observation - The US dollar index strengthened slightly, and the yield of 10Y US treasury bonds fluctuated within a narrow range. By January 9th, the US dollar index rose 0.69% to 99.14 compared to last weekend, and the yield of 10Y US treasury bonds was 4.18%, down 1 basis point from last weekend. The Sino - US 10Y treasury bond yield spread was inverted by 229.9 basis points [56][57] 6. Weekly Observation of High - Frequency Inflation Data - This week, industrial product prices rose across the board, and agricultural product prices showed mixed trends. By January 9th, the South China Industrial Product Index, Metal Index, and Energy and Chemical Index all increased compared to last weekend. The prices of pork, 28 key vegetables, and 7 key fruits also changed compared to last weekend [60][62] 7. Investment Recommendations - It is recommended to pay attention to the short - selling strategy on rallies. Specific strategies include not chasing the high in the short - term rebound next week, paying attention to short - hedging strategies, moderately paying attention to steepening the yield curve strategy after the long - end varieties strengthen, and moderately paying attention to widening the basis strategy [2][15][19]

1. Report Industry Investment Rating - The rating for treasury bonds is "oscillating" [4] 2. Core Viewpoints of the Report - Although most economic and financial data in July fell short of expectations, the market risk - appetite continued to rise, resulting in weak performance of treasury bonds and a steeper yield curve. The bear - steepening trend of the curve is expected to continue next week [15]. - The stock - bond assets are desensitized to the fundamentals. The rising equity market suppresses the bond market, and this pattern is difficult to change in the short term. The equity market's self - strengthening characteristic will likely lead to continued upward oscillations, putting pressure on long - term bond varieties [16]. - The capital market is relatively balanced, but there is limited room for further loosening in the short term. The capital market cannot effectively offset the negative impact of the rising equity assets, but it will make the upward range of short - term bond interest rates slightly smaller [16]. 3. Summary According to the Directory 3.1 One - Week Review and Views 3.1.1 This Week's Trend Review - From August 11th to August 17th, treasury bond futures oscillated downward. Various factors such as the less - than - expected loosening of funds, stock market trends, and policy news affected the daily performance of treasury bond futures. As of August 15th, the settlement prices of the main contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 102.346, 105.675, 108.325, and 117.660 yuan respectively, with changes of - 0.024, - 0.145, - 0.285, and - 1.590 yuan compared to last weekend [13]. 3.1.2 Next Week's View - Next week, the market will be in a data and policy vacuum period. The capital market and the performance of the equity market will dominate the bond market trend. The bear - steepening of the curve is expected to continue. The fundamentals are favorable for the bond market, but the pattern of the rising equity market suppressing the bond market is hard to change in the short term [15][16]. 3.2 Weekly Observation of Interest - Rate Bonds 3.2.1 Primary Market - This week, 50 interest - rate bonds were issued, with a total issuance volume of 5556.92 billion yuan and a net financing amount of 3437.94 billion yuan, down 2528.17 billion yuan and 2521.04 billion yuan respectively from last week. 26 local government bonds were issued, with a total issuance volume of 914.32 billion yuan and a net financing amount of - 137.36 billion yuan, down 740.27 billion yuan and 965.84 billion yuan respectively from last week. 455 inter - bank certificates of deposit were issued, with a total issuance volume of 7760.30 billion yuan and a net financing amount of - 1311.10 billion yuan, with a change of + 13.00 billion yuan and - 3075.70 billion yuan respectively from last week [23]. 3.2.2 Secondary Market - Most treasury bond yields rose. As of August 15th, the yields of 2 - year, 5 - year, 10 - year, and 30 - year treasury bonds were 1.40%, 1.58%, 1.74%, and 2.04% respectively, up 0.22, 3.14, 5.02, and 7.70 basis points respectively from last weekend. The spreads of 10Y - 1Y, 10Y - 5Y, and 30Y - 10Y all widened [27]. 3.3 Treasury Bond Futures 3.3.1 Price, Trading Volume, and Open Interest - Treasury bond futures oscillated downward. As of August 15th, the settlement prices of the main contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 102.346, 105.675, 108.325, and 117.660 yuan respectively, with changes of - 0.024, - 0.145, - 0.285, and - 1.590 yuan compared to last weekend. The trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures this week were 44773, 75807, 113721, and 174122 lots respectively, with changes of + 7747, + 10770, + 27453, and + 53719 lots respectively from last weekend. The open interests were 103646, 175683, 235249, and 152407 lots respectively, with changes of - 4559, - 9501, - 727, and - 1348 lots respectively from last weekend [35][38]. 3.3.2 Basis and IRR - This week, the opportunity for cash - and - carry arbitrage was not obvious. The capital market was generally loose, the market oscillated weakly, and the futures basis generally oscillated within a narrow range. The IRR of the CTD bonds of each variety's main contract was between 1.4% - 1.8%, and the current certificate of deposit interest rate was between 1.5% - 1.6%. The opportunity for cash - and - carry arbitrage strategy was relatively limited [42]. 3.3.3 Inter - delivery and Inter - variety Spreads - As of August 15th, the inter - delivery spreads of the 2509 - 2512 contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were - 0.038, + 0.005, + 0.100, and + 0.450 yuan respectively, with changes of + 0.028, + 0.060, - 0.005, and + 0.080 yuan respectively from last weekend. The market sentiment of treasury bond futures was weak this week, and the inter - delivery spreads generally oscillated and widened. The T contract was an exception, and its inter - delivery spread mainly oscillated within a narrow range. The bond market is expected to remain weak, and the inter - delivery spreads are expected to continue to oscillate upward [43][44]. 3.4 Weekly Observation of the Capital Market - This week, the central bank conducted 7118 billion yuan of reverse repurchase operations in the open market, with 11267 billion yuan of reverse repurchases maturing, resulting in a net withdrawal of 4149 billion yuan. In addition, the central bank also conducted 5000 billion yuan of 6 - month outright reverse repurchase operations. As of August 15th, R007, DR007, SHIBOR overnight, and SHIBOR 1 - week were 1.49%, 1.48%, 1.40%, and 1.47% respectively, up 3.21, 3.94, 8.36, and 2.94 basis points respectively from last weekend. The average daily trading volume of inter - bank pledged repurchase this week was 8.15 trillion yuan, 0.04 trillion yuan more than last week, and the overnight proportion was 89.82%, slightly lower than last week [48][51][53]. 3.5 Weekly Overseas Observation - The US dollar index oscillated weakly, and the yield of 10Y US treasury bonds rose. As of August 15th, the US dollar index fell 0.43% to 97.8467 compared to last weekend's close. The yield of 10Y US treasury bonds was 4.33%, up 6 basis points from last weekend. The spread between Chinese and US 10Y treasury bonds was inverted by 259.0 basis points [58]. 3.6 Weekly Observation of High - Frequency Inflation Data - This week, industrial product prices rose across the board. As of August 15th, the Nanhua Industrial Product Index, Metal Index, and Energy and Chemical Index were 3658.04, 6466.21, and 1687.68 points respectively, up 13.09, 28.42, and 9.95 points respectively from last weekend. Agricultural product prices showed mixed trends. As of August 15th, the prices of pork, 28 key vegetables, and 7 key fruits were 20.05, 4.75, and 6.91 yuan/kg respectively, with changes of - 0.36, + 0.11, and - 0.13 yuan/kg respectively from last weekend [61]. 3.7 Investment Suggestions - In the short term, the sentiment in the bond market is weak, and traders should be cautious when betting on rebounds. It is recommended to pay attention to short - hedging strategies, use T or TL for hedging in a strong stock market environment. Also, pay attention to the strategy of steepening the yield curve (such as 10Y - 1Y in the short - to - medium term, long 4TS and short T; long 3T and short TL in the long - term), and moderately pay attention to the strategy of widening the T09 - 12 spread [17][18][19][20]