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]

Report Industry Investment Rating - No information provided Core Views - Market analysis: In the second half of 2025, precious metal prices are expected to show a pattern of rising after consolidation. From July to August, gold prices will mostly consolidate due to the Fed's internal differences on future interest rate paths and Powell's cautious attitude towards rate cuts. After September, with the increase in rate cut expectations and the impact of tariffs on inflation, gold prices are expected to strengthen. Silver prices may attract some investment demand due to the relatively high gold-silver ratio. The Fed's attitude towards rate cuts is cautious and there are internal differences. The passage of the Genius Act and SLR adjustment in mid-late June will reduce the possibility of a sharp rise in US Treasury yields in the short term, but the continuous expansion of the US debt scale may accumulate more hidden risks. Although the Israel-Iran conflict once intensified, the impact on inflation expectations was not significant. The recent CPI and PCE data are stable, and the impact of tariffs on inflation has not yet appeared. The market expects at least one rate cut this year. In the long run, Trump's radical fiscal policy may require monetary easing. If Powell is replaced, rate cuts may accelerate. The eurozone economy is performing better than the US, and the US dollar may show a volatile and weak pattern in the future. In the first half of 2025, geopolitical factors did not cause a significant increase in inflation expectations, but Trump's tariff policies affected the US dollar's credit and pushed up gold prices. Gold remains an effective investment to deal with uncertainty [6]. - Strategy: In the second half of 2025, precious metal prices will first consolidate and then rise. From July to August, gold prices will consolidate, and after September, they are expected to strengthen. For gold, buy in batches at 750 - 760 yuan/gram and take profit at around 870 yuan/gram, with a stop-loss at 710 yuan/gram. For silver, buy in batches at 8,750 - 8,800 yuan/kg with a stop-loss at 8,550 yuan/kg. The option strategy for gold is to go long on the calendar spread [10]. Summary by Directory I. Summary of Central Bank Dynamics and Bond Market Conditions - **Global central banks slow down rate cuts but are generally worried about economic prospects**: The Fed's Powell is cautious about rate cuts, while the eurozone is more positive. Recently, the eurozone, the Reserve Bank of Australia, and the Reserve Bank of New Zealand have cut rates, but central banks are cautious about future rate adjustments. Major central banks are worried about future economic prospects due to complex geopolitical factors and Trump's changing tariff policies [17]. - **The global bond market fluctuated greatly in the first half of the year. Pay attention to the liquidity risk of US Treasuries around X-day**: In May, the US sovereign credit rating was downgraded, and the auctions of US and Japanese long-term government bonds had weak demand, leading to a surge in yields. The rise in eurozone government bond yields was not as obvious as that in the US because the eurozone's debt structure is healthier. Japan's long-term government bond yields rose due to structural improvements in its economic fundamentals. The US is facing relatively large debt risks. Although the current market liquidity is relatively loose, the liquidity risk needs to be continuously monitored. The speculative positions of US Treasuries are starting to decline, which may challenge the auction and liquidity of US Treasuries in the future [22][31]. - **The advancement of the Genius Act: Using stablecoins to maintain the US dollar's hegemony in the digital economy?**: On June 18, the US Senate approved the GENIUS Stablecoin Regulatory Act, which aims to strengthen the US dollar's global dominance in the digital economy. After the passage of the act, the market value of compliant stablecoins such as USDC and USDT soared. Stablecoins may attract some funds that were originally invested in gold, especially in emerging markets. However, if the reserve assets of stablecoins face high uncertainty, the credibility of stablecoins may be affected [36]. - **The Fed passes the SLR reform plan to seek more buyers for US Treasuries**: On June 25, the Fed passed the SLR reform proposal, which adjusts the capital requirements for global systemically important banks (G-SIBs). The reform aims to balance financial stability and bank operational flexibility and provide clearer regulatory expectations. The adjustment of SLR will enable large banks to increase their allocation of US Treasuries. The US is taking various measures to increase the liquidity of US Treasuries, but the continuous expansion of the US fiscal and debt scale may accumulate greater hidden risks [42]. II. The US Dollar May Still Struggle to Maintain a Strong Long-Term Trend - **The probability of the Fed cutting rates in the future is still high**: Although Powell is cautious about rate cuts, Trump is pressuring the Fed to cut rates. The US manufacturing PMI has been below 50 for four consecutive months, and the economic leading indicators are declining. The market expects at least one rate cut this year. In the long run, Trump's radical fiscal policy may require monetary easing, and if Powell is replaced, rate cuts may proceed more smoothly [48]. - **The improving economic outlook in non-US regions also puts pressure on the US dollar**: The eurozone's economic performance has been gradually strengthening compared to the US since 2025. The eurozone's PMI data has been approaching or exceeding that of the US, and the US is showing a weaker pattern in the Citigroup Economic Surprise Index compared to non-US regions, which will make it difficult for the US dollar to maintain a continuous strong trend [56]. III. The So-Called Safe-Haven Demand Is Just a表象 of Inflation Expectations and Concerns about the US Dollar's Credit - **Why was the gold price stable during the intensification of the Israel-Iran conflict?**: During the 2022 Russia-Ukraine conflict, gold prices soared due to war-induced safe-haven demand and rising inflation. In contrast, during the 2025 Israel-Iran conflict, the impact on inflation was limited, and there was no unified expectation of real interest rate changes, so the gold price remained stable. In the future, the possibility of a sharp rise in inflation in the short term is relatively low [59]. - **Global central banks' enthusiasm for allocating gold remains high, but US dollar assets are difficult to replace in the short term**: In June 2025, a survey by the World Gold Council showed that 76% of central banks expect their gold reserves to increase in the next five years, and 73% expect to reduce their US dollar asset allocation. Although US Treasuries are still the main choice for central bank asset allocation, central banks are increasing their gold allocation to hedge against the risks of the continuous expansion of US debt [62]. IV. Summary of Precious Metal Fundamentals - **The net long non-commercial positions of precious metals in the CFTC decreased significantly in the first half of the year**: In the first half of 2025, the net long speculative positions in gold in the CFTC decreased by 52,275 contracts (21.14%) to 195,004 contracts, while the net long speculative positions in silver increased by 25,058 contracts (66.14%) to 62,947 contracts. The global gold futures market open interest continues to reach new highs. The possibility of a significant decline in the gold market due to profit-taking by long speculators is relatively low [64]. - **The holdings of precious metal ETFs generally increased in the first half of the year**: In the first half of 2025, the holdings of the SPDR Gold ETF increased by 80.01 tons to 952.53 tons, and the holdings of the SLV Silver ETF increased by 450.64 tons to 14,826.61 tons. As of May 2025, the increase in global gold ETF holdings reached 322.4 tons, a new high in the past five years. In May, there was an outflow of 19.1 tons from gold ETFs, which corresponded to the consolidation of the gold price in May [69]. V. The Marginal Growth Rate of the Photovoltaic Industry May Slow Down, but the Long-Term Tight Supply Pattern of Silver Is Difficult to Change - The demand for silver in the photovoltaic industry is expected to peak between 2025 and 2026, and the growth trend will continue to be positive before that. The increase in silver production from mines will be relatively limited in the next few years, which may lead to a supply-demand contradiction in silver. In the next three years, the gold-silver ratio may decline towards a central level of around 65 - 70 times [77].

Group 1: Report Overview - The report aims to introduce the process of US Treasury bond auctions, participants, and observation indicators for the primary market liquidity of US Treasury bonds [3][4] Group 2: US Treasury Bond Auction Process - The US Treasury releases financing plans for the current and next quarters and auction sizes for the next three months around the end of January, April, July, and October each year [3][5] - The Treasury announces specific auction dates, terms, and amounts one day to one week in advance [3][5] - After the auction announcement, investors start pre - trading in the When - Issued market, which helps with price discovery and bond distribution [5] - On the auction day, investors can bid electronically through Treasury Direct or TAAPS systems, with competitive and non - competitive bids available [5] Group 3: Participants in the US Treasury Bond Primary Market - Participants include institutional and individual investors, divided into competitive (including direct and indirect bidders) and non - competitive bidders [3][7] - Direct bidders are institutions or individuals submitting bids directly, such as primary dealers, investment funds, and insurance companies [3][7] - Indirect bidders bid through direct bidders, including FIMA through the New York Fed [7] - Non - competitive bidders are mainly small investors and FIMA, with certain bid amount limits [7][8] - The Federal Reserve's SOMA reinvests in maturing US Treasury bonds through non - competitive bids at auctions, and its roll - over amount is not included in the announced auction amount [3][7] Group 4: US Treasury Bond Auction Categories and Frequencies - For 2Y, 3Y, 5Y, and 7Y Treasury bonds, the Treasury issues them monthly; 10Y, 20Y, and 30Y bonds are issued quarterly; and Treasury bills with maturities less than 1Y are issued weekly [10] - Cash management bills are issued irregularly to meet the Treasury's temporary funding needs [10] - After the initial issuance, most bonds are reopened within the next two months to increase the bond's outstanding amount and liquidity [10][11] Group 5: Observation Indicators for US Treasury Bond Auction Demand - The bid - to - cover ratio, a higher ratio indicates strong investor demand, and it can be compared with the results of the last six auctions [13] - A high proportion of primary dealer allocations means insufficient demand from other investors, and their allocation share in Treasury auctions has been decreasing [15] - If the high yield is higher than the When - Issued yield (Tail), it shows insufficient auction demand; otherwise (Stop Through), it represents strong demand [17] - The indirect investor allocation ratio can reflect overseas investors' demand to some extent, and the Treasury publishes detailed investor category allocation information twice a month [20]

1. Report Industry Investment Rating No industry investment rating information for the U.S. Treasury bond market is provided in the report. 2. Core Viewpoints of the Report - Over the past decade, the U.S. Treasury bond market has experienced multiple liquidity events. The vulnerability of the U.S. Treasury bond market stems from changes in the market intermediary system and the investor structure, both of which are long - term influencing factors. This indicates that the current market ecosystem of U.S. Treasury bonds is more fragile than it was a decade ago. If the supply - demand pattern of U.S. Treasury bonds changes unfavorably, such as a short - term concentrated supply or increased market volatility due to policy uncertainties, liquidity risks may re - emerge [3][4]. 3. Summaries Based on Related Contents Market Intermediary System Changes - The market - making system in the secondary market of U.S. Treasury bonds has weakened. Since the 2008 financial crisis, overseas regulations have become stricter. The market - making ability of primary dealers, mostly affiliated with bank - holding companies, is restricted by capital requirements. The enhanced supplementary leverage ratio (eSLR) in 2014 limited the expansion ability of primary dealers' balance sheets and their intermediary business related to Treasury bonds. Compared with the rapid expansion of the U.S. Treasury bond stock, the growth of primary dealers' Treasury bond intermediary business has been slow, and the proportion of their total Treasury bond positions and financing scale in the balance of outstanding Treasury bonds has decreased [3][6]. - Principal Trading Firms (PTFs) that engage in high - frequency trading have emerged and assumed some market - making functions. However, PTFs have small amounts of their own funds, are less regulated, have high leverage, and rarely hold overnight positions. They can only provide intraday liquidity and cannot fully replace traditional dealers [3][6]. Investor Structure Changes - Since 2013, as countries diversify their reserve assets, the proportion of overseas official investors with low price sensitivity in U.S. Treasury bond holdings has declined, while the proportion of mutual funds with leverage and redemption pressure in U.S. Treasury bond holdings has increased. As of Q4 2024, the proportion of broad - based mutual funds (including money market funds and ETFs) in U.S. Treasury bond holdings has risen from about 9% in 2011 to about 19% [3][12]. - Asset management institutions' increasing use of derivatives has led to profitable arbitrage opportunities between U.S. Treasury bond cash and futures, attracting hedge funds to participate in basis trading (long cash bonds and short futures) with high leverage. As of May 2025, hedge funds hold 8 million net short contracts of U.S. Treasury bonds, with a notional risk exposure of over $1 trillion, accounting for about 3.6% of the outstanding U.S. Treasury bonds. In times of high market volatility, these high - leverage and homogeneous basis trades may be forced to close, triggering a liquidity tightening spiral [3][15].

Market Overview - The 10-year U.S. Treasury yield rose to 4.51% due to concerns over liquidity and fiscal sustainability, marking an increase of 3.4 basis points for the week[1] - The S&P 500 and Nasdaq indices fell by 2.61% and 2.47% respectively, reflecting market turmoil[1] - The U.S. dollar index dropped by 1.96% to 99.1, indicating a weakening dollar[1] Economic Indicators - Analysts have revised the U.S. GDP growth forecast for 2025 Q2 to 2.4%, up from previous estimates[1] - The U.S. CPI inflation forecast for the upcoming quarters has been slightly lowered, with expected rates of 2.6% for Q2 2025[1] - The probability of a recession in the next year has decreased to 40% from 45%[1] Legislative Developments - The "Big Beautiful Bill" was passed in the House with a narrow margin of 215 to 214 votes, indicating potential fiscal challenges ahead[2] - The projected ten-year deficit is estimated at $2.505 trillion, down from a previous forecast of $2.69 trillion[2] - The bill includes tax cuts that may exacerbate concerns regarding U.S. fiscal sustainability, as revenue increases are expected to lag behind deficit increases[2] Market Reactions - Gold prices surged by 4.8% to $3,357 per ounce, driven by heightened market risk aversion following tariff threats from Trump[1] - The auction results for 20-year bonds in both the U.S. and Japan showed weak demand, contributing to rising long-term bond yields[1] - Moody's downgrade of U.S. sovereign credit rating has further fueled market concerns regarding liquidity and fiscal health[1]