Core Viewpoint - Signs of economic optimism are reflected in the rallying retail stocks and persistently high bond yields [1] Group 1: Economic Indicators - Retail stocks are experiencing a rally, indicating positive sentiment in consumer spending and economic recovery [1] - Bond yields remain stubbornly high, suggesting that investors are anticipating inflation or economic growth [1]

Group 1: Core Viewpoints - Bullish factors for the 10-year Treasury bond last week include the recovery of allocation demand due to alleviated concerns about ultra-long-term supply and increased institutional allocation willingness, and a loose funding environment with the entry of incremental funds at the beginning of the year, leading to downward pressure on interest rates [2] - Bearish factors are the weak expectation of monetary easing as the Fed's rate cut expectation lacks strong fundamental support in the short term, and the pressure from the stock-bond seesaw, with capital preference for the bond market causing selling pressure on the stock market and yield fluctuations [2] - The trading advisory view is that the bond market sentiment was generally cautious last week. It is recommended to focus on the allocation window brought by the widening of spreads, buy configuration-type contracts on dips, maintain a wait-and-see attitude, and avoid unilateral chasing [2] Group 2: Data Presentations Yields - The document presents the historical data of 2Y, 5Y, 7Y, 10Y, and 30Y Treasury bond yields from 2024 to 2025 [3] Funding Rates - It shows the historical data of the weighted average interest rate of pledged repurchase by deposit-taking institutions for 1-day and 7-day tenors and the 7-day reverse repurchase rate from 2023 to 2025 [3] Term Spreads - The historical data of the 7Y - 2Y and 30Y - 7Y Treasury bond term spreads from 2024 to 2025 are presented [4] Futures Basis - The historical data of the basis of 2Y, 5Y, 10Y, and 30Y Treasury bond futures' current-quarter contracts are shown [7][8][9][15] Futures Inter - Delivery Spreads - The historical data of the inter - delivery spreads (current - quarter minus next - quarter) of 2Y, 5Y, 10Y, and 30Y Treasury bond futures are presented [11][13][16] Futures Trading Volume - The historical trading volume data of 2Y, 5Y, 10Y, and 30Y Treasury bond futures from 2015 to 2025 are shown [14] Futures Cross - Product Spreads - The historical data of the cross - product spreads of TS*4 - T and T*3 - TL are presented [17][18]

Group 1 - The report from Zhongtai Securities indicates that a true bull-bear transition in China's bond market requires two key policy signals: the Ministry of Finance must clearly shorten the issuance period of local special bonds or special government bonds, and the central bank must announce or implement a debt purchase plan significantly exceeding the current scale [1] - The report highlights that seasonal funds that should flow into the bond market have been "taken away" by the equity market, which is a significant source of the recent "spring fever" in the stock market, further intensifying the outflow pressure in the bond market [1] - It is projected that approximately 67 trillion yuan and 75 trillion yuan of household time deposits will mature in 2025 and 2026, respectively. Even if 10% of these funds "move," the scale will reach several trillion yuan [1] Group 2 - The report identifies two main product categories where these funds are likely to flow: "fixed income +" wealth management products, which typically allocate 3%-5% of equity assets to enhance returns, and dividend-type insurance, which aims to achieve expected returns above 3.4%, with a more aggressive allocation in the stock market [1]

新年伊始，A股持续走强，债市则迎来连续调整，10年期国债收益率上行至1.90%附近。去年该收益率 两次触及1.90%后，均开启了一轮下行行情，此次是否会复刻过往走势，引发市场关注。私募机构认 为，当前债市对衰退叙事的认可度已明显下降。过去那种依托利率下行、拉长久期的"躺赢式"配置模式 正逐步失效，类固收产品则有望在投资组合中迎来增长机遇。（人民财讯） ...

刚刚过去的2025年，对债市投资机构而言，无疑是充满挑战的一年。 一位基金公司债券投资总监王锐（化名）向记者表示称："去年算是债券资产高波动的一年，无论是政策边际倾向、外部环境变动还是'隔壁'权益类的资产表 现的影响，幅度都比以往要更为剧烈。" 同样，"小作文"带来的短期情绪比基本面更能拉动行情，其影响也比现实因素来得更为直接即时，机构盘中的交易风向比长期宏观基本面似乎更为紧密地 牵动着市场神经。 在他看来，这一趋势背后，是日趋白热化的机构博弈、从业者们持续攀升的收益获取压力的现实反映。 回顾2025年的债市走向，wind数据显示，10年期国债收益率自年初1.6%的低位经历了一轮极速走高，3月触及阶段高点；二季度自高位回落，在低位持续震 荡，市场情绪趋于谨慎，配置力量与政策预期相互博弈；下半年自7月起重拾升势，9月冲高触及1.92%左右，经济修复预期升温、资金面收敛及供给压力共 同推动利率中枢上移；四季度自高点小幅回调后维持高位震荡，年末交投趋于平稳。 尤其，个别券种在急速调整期经常出现单日上行超3bp的情况，其间一度令交易员们直呼"措手不及"。 即便时间来到年末，行情也并未停歇，2025年12月债市呈现分化 ...

私募机构认为，当前债市对衰退叙事的认可度已明显下降。过去那种依托利率下行、拉长久期的"躺赢 式"配置模式正逐步失效，类固收产品则有望在投资组合中迎来增长机遇。 人民财讯1月12日电，新年伊始，A股持续走强，债市则迎来连续调整，10年期国债收益率上行至1.90% 附近。去年该收益率两次触及1.90%后，均开启了一轮下行行情，此次是否会复刻过往走势，引发市场 关注。 ...

Core Insights - The People's Bank of China (PBOC) emphasizes maintaining financial stability while promoting development, effectively managing financial risks, and ensuring the overall health of the financial system [1] Policy Tools Effectiveness - The PBOC has implemented a dual-pillar framework of monetary and macro-prudential policies to stabilize financial markets, which are crucial for economic development [2] - The foreign exchange market has shown resilience against external shocks, with the RMB performing steadily among major global currencies [2] - In the bond market, the PBOC has conducted operations to enhance liquidity and has warned against systemic risks associated with declining long-term bond yields [2] - New capital market support tools have been introduced to bolster confidence in China's capital markets [3] Risk Management Progress - The PBOC's financial institution rating system categorizes banks into 11 levels based on risk, with 97.9% of rated banks falling within the safer categories [4] - There has been a significant reduction in high-risk small and medium-sized banks, with a focus on coordinated risk management at both central and local levels [4] Strengthening Support Systems - The financial system has enhanced risk management resources, including the collection of deposit insurance premiums and the establishment of a financial stability guarantee fund [5] - The deposit insurance system, which covers various banking institutions, has provided full protection for over 99% of depositors, exceeding international averages [6] - Future efforts will focus on improving the legal framework for deposit insurance and expanding the accumulation of the deposit insurance fund [6]

证券研究报告 | 金融工程 2026 年 1 月 11 日 利率价量择时观点看空 ——利率市场趋势定量跟踪 20260109 利率市场结构变化 - 10 年期国债到期收益率录得 1.88%，相对上周升高 3.09BP。当前 利率水平、期限和凸性结构读数分别为 1.64%、0.59%、0.14%， 从均值回归视角看，目前处于水平结构点位中性偏低、期限结构 点位中性偏高、凸性结构点位中性偏高的状态。 利率价量周期择时信号：5 年期看空、10 年期看空、30 年期看空 美债价量周期择时信号：中性震荡 - 基于美国市场 10 年期国债 YTM 数据判断的多周期择时信号为： 长周期无信号、中周期无信号、短周期无信号。综合来看，当前 合计下行突破 0 票、上行突破 0 票，最终信号的综合评分结果为 中性震荡。 国内利率价量多周期择时策略表现 - 自 2024 年底以来，基于 5/10/30 年期国债 YTM 价量趋势的交易策 略年化收益率分别为 2.04%、2.3%、2.44%，最大回撤为 0.71%、 0.96%、1.75%，收益回撤比为 3.47、3.98、2.66，相对业绩基准的 超额收益率为 0.74%、1.2% ...

Group 1 - The bond market experienced significant volatility at the beginning of January, with a notable sell-off driven by emotional responses rather than fundamental changes [1][14] - The yield on the 10-year government bond rose to 1.89% and the 30-year bond to 2.30%, reflecting a general upward trend in yields across various maturities [5][9] - Institutional investors have reduced their duration risk, with the average duration of interest rate bond funds decreasing from 3.58 years to 3.37 years since the start of January, indicating a low-risk state in the bond market [15] Group 2 - In mid-January, market focus will likely center on three main themes: changes in the economic fundamentals, the supply and structure of government bonds, and the stability of funding [2][18] - Recent economic indicators, including a PMI of 50.1% and CPI and PPI figures, suggest a slight recovery in the economic fundamentals, although the bond market may view these changes as a rebound from previous lows [18] - The government bond issuance is expected to accelerate in the first quarter, with net financing projected to be around 4.1 trillion yuan, similar to the previous year [19] Group 3 - The funding environment is expected to be impacted by a significant tax payment period in January, with a funding gap estimated to exceed 2 trillion yuan, although historical trends suggest that funding rates typically return to lower levels post-tax period [3][22] - The market is also concerned about the upcoming maturity of a large volume of fixed deposits, which could influence the demand for alternative financial products [23] Group 4 - The bond market's current pricing appears to be high, with the 10-year government bond yield facing a resistance level at 1.90%, while the 30-year bond yield is estimated to have a reasonable cap around 2.30% [26] - Despite the ongoing volatility and concerns regarding inflation and stock market performance, the recommendation for trading accounts is to prioritize stability, while allocation accounts may consider locking in current yields [26]

Report Industry Investment Rating No relevant content provided. Core Views of the Report - Employment trend in the US is weakening but may be emerging from the worst period. The non - farm payroll increase in December was lower than expected, but the unemployment rate and wage growth were better than expected. Some employment indicators in December showed a rebound [11][13]. - The expected Q1环比 rebound in the US economy is being realized. The US economic surprise index has rebounded recently, and the retail sales data in January is expected to show growth [14][16]. - Inflation expectations have significantly rebounded. Attention should be paid to the CPI data reading. The release of December CPI data is affected by government shutdown, and the geopolitical situation in Iran has affected oil prices and inflation expectations [17][19]. - Attention should be paid to the tariff policy framework changes brought by the IEEPA ruling. If the US Supreme Court rules IEEPA unconstitutional, it may involve a $150 billion tariff refund and cause short - term tariff policy chaos [20][23]. - In FICC precious metals, the gold - silver ratio is returning. Gold has regained momentum, and silver should be wary of fluctuations. Geopolitical risks have increased the upward drive of gold, while the conditions for silver to continue to rise are becoming more demanding [24][26]. Summary by Relevant Catalogs 1. Fixed Income - **Overseas Fixed Income Weekly Performance** - Various US Treasury yields had different weekly changes. For example, the 3 - month US Treasury yield was 3.59% with a - 2.06bp change, and the 2 - year US Treasury yield was 3.53% with a 5.88bp change. Major developed country government bond yields also changed, such as the 10 - year German bond yield at 2.86% with a - 3.7bp change [41][42]. - **US Treasury Yield Curve and Credit Spread Tracking** - The US Treasury yield curve showed changes over 1 - month, 3 - month, and 6 - month periods, and the long - short spread of US Treasury yields was also tracked [49]. - **Relative Strength of Different - Rated Credit Bonds and Eurozone Bond Yields** - The relative strength of high - yield and Aaa - rated credit bonds was analyzed, along with the credit spreads between different - rated bonds [58][60]. - **US Treasury Issuance and Primary - Secondary Market Supply - Demand Indicators** - The issuance of US short - term Treasury bills, medium - and long - term Treasury bonds, and related subscription ratios were presented [71][73]. 2. Exchange Rate Market - **Global Major Exchange Rates Weekly Performance** - The US dollar index, euro, yen, and other major exchange rates had different weekly changes. For example, the US dollar index had a 0.72% change to 99.1330, and the euro had a - 0.70% change to 1.1637 [76][78]. - **Major Country Treasury Yield Spreads with US Treasuries** - The spreads between 10 - year US Treasuries and G7 countries' average yields, as well as the spreads between US and German 2 - year Treasury yields, were shown [79][80]. - **Evolution of China's Monetary Policy Framework** - China's "interest rate corridor" is formed with the 7 - day reverse repurchase in the inter - bank market as the "policy rate", SLF as the top, and the excess reserve ratio as the bottom. Traditional policy tools rely on MLF as the policy - guiding rate [88]. - **Monthly and High - Frequency Indicators of RMB Exchange Rate** - Monthly indicators include China's central bank gold and foreign exchange reserves, and high - frequency indicators include the spreads between Chinese and US 10 - year and 3 - month Treasury yields [93][101]. 3. Commodities - **Global Major Commodities Weekly Performance** - Various commodities such as Shanghai gold, Shanghai copper, and Brent crude oil had different weekly changes. For example, Shanghai gold had a 2.96% change, and Brent crude oil had a 4.09% change [119][121]. - **Commodity Ratios and Industry Chain Relative Strength** - Ratios such as the gold - silver ratio, gold - copper ratio, and their relationships with inflation expectations and US Treasury yield spreads were analyzed [123][124]. - **Commodity Price Mapping in Equity and Bond Markets** - The relative strength of commodities with global equity and bond indices, and the rolling correlation between upstream commodities and downstream equity cycle sectors were studied [131][134]. - **Macro Commodity High - Frequency Data** - Data such as OPEC+ crude oil production quotas, US energy department crude oil production, and global crude oil and copper inventories were presented [141][143]. 4. Overseas Equity - **Global Major Indices and US Stock Industry Weekly Performance** - Global major indices such as the S&P 500, Nasdaq Composite, and their weekly changes were reported. In the US stock market, different sectors of the S&P index also had different weekly performances [146][150]. - **Weekly US Stock Style Performance, Valuation, and Earnings Tracking** - Different US stock style sectors such as US large - cap growth and US small - cap value had different weekly changes. Valuations and earnings (EPS) of major indices were also analyzed [153][157]. - **Earnings Cycle Positioning - Quarterly EPS YoY Trends of Major Indices** - The quarterly EPS YoY trends of indices such as the S&P 500, Nasdaq, and Nikkei 225 were shown [164][165]. - **Volatility and Risk Sentiment Indicators** - Indicators such as the Chicago S&P Volatility VIX index, ICE Bond Volatility MOVE index, and CBOE option PUT/CALL ratio were presented [171][172]. 5. Cryptocurrency - **BTC, ETH, and Related Derivative Assets** - The relationships between Bitcoin, Ethereum, gold, and the US dollar, as well as the performance of major Bitcoin ETFs and their fund flows were studied [184][187]. 6. BOJ Post - YCC Era - **Yen Carry Trade System Market High - Frequency Data Tracking** - Data such as the net amount of Japanese investors' purchases of overseas bonds and stocks, USDJPY 1 - year exchange - rate hedging costs, and yen net positions of CFTC CME yen hedge funds and asset management institutions were presented [192][194]. 7. Macro Data Hologram and Fundamental High - Frequency Data - **Real - Time Economic Momentum** - Real - time GDP models, GDP components, and sector economic surprise indices of the US, as well as economic surprise indices of the US, Europe, and China were presented [202][206]. - **Financial Conditions** - The Federal Reserve's balance sheet and its weekly changes, G4 central banks' balance sheets as a percentage of GDP, and US and euro - area financial condition indices were analyzed [210][213]. - **Fiscal Policy** - US federal government fiscal expenditures and revenues, government debt issuance, and the government deficit as a percentage of GDP were studied [218][223]. - **Employment Market** - US employment market indicators such as non - farm payroll monthly increases, job vacancies, and weekly unemployment claims were tracked [227][228]. - **Inflation Indicators** - US inflation data was split, and trends of headline and core inflation, as well as inflation expectations, were analyzed [235][240]. - **Consumption Demand** - US consumption data such as retail sales, consumer confidence, personal income, and household debt were studied [244][259]. - **Cycle Positioning** - Industrial, manufacturing, and inventory cycle indicators, as well as US wholesale, retail, and manufacturing inventory and inventory - to - sales ratios were analyzed [267][277]. - **Credit Cycle** - US credit surveys, S&P index valuations, and high - yield corporate credit spreads were presented [280][282]. - **Transportation and Logistics** - Logistics data between China and the US, Asia and the US, Europe and the US, as well as aviation, supply - chain, and shipping data were studied [284][297]. - **Real Estate Market** - US real estate equity market, credit spreads, and commercial real estate data such as indices, loan amounts, and delinquency rates were presented [302][308]. - **Eurozone** - Eurozone macro - overview, cycle positioning, and relative strength data such as deficit rates, inflation, and economic surprise indices were analyzed [311][331].