1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - Travel increased significantly during the Spring Festival in 2026, with 5.5 billion cross - regional trips during the first 21 days of the Spring Festival travel rush, a 6% year - on - year increase. The daily flow exceeded 300 million after February 18, and approached 400 million on February 22 [1][11]. - Policies such as "Happy Shopping during the Spring Festival" drove strong consumption. The average daily sales of key retail and catering enterprises in the first four days of the Spring Festival holiday increased by 8.6% compared to the same period in 2025. The passenger flow and turnover of 78 key pedestrian streets (business districts) monitored by the Ministry of Commerce increased by 4.5% and 4.8% respectively in the first three days of the holiday [1][14]. - The U.S. Supreme Court ruled the IEEPA tariffs illegal, but Trump ordered a 15% tariff on all imported goods. The U.S. Q4 GDP growth rate was only 1.4%, and the core PCE was 3%, higher than the previous value [1][19]. - During the Spring Festival, most major global assets rose. Crude oil and natural gas in commodities increased significantly, and the stock markets in South Korea, the Eurozone, and the UK rose by 5.5%, 2.4%, and 2.3% respectively, while the Hong Kong stock market underperformed, with the Hang Seng Tech Index falling 2.8% [2][19]. - The capital market remained stable, and the bond market may fluctuate. The 10Y Treasury bond rate broke below 1.8% before the holiday, and the further downward space of interest rates is limited. It is recommended to focus on coupon strategies and opportunities for narrowing spreads [2][20]. 3. Summary by Directory 3.1 Review and Outlook of the Bond Market - Before the holiday, institutional willingness to hold bonds increased, and the central bank's net injection led to a decline in bond yields. The 10Y and 30Y Treasury bond yields decreased by 2bp and 0.5bp respectively. The bond market showed different trends on different days of the week [10]. - The Spring Festival travel rush had a large passenger flow, and consumption was strong. Movie box office and real - estate sales had different performances. Overseas, the U.S. economy slowed down, and inflation remained high [11][14][19]. - The capital market remained stable, and the bond market may fluctuate. It is necessary to pay attention to policy expectations during the Two Sessions, external tariff changes, and the equity market [20]. 3.2 Bond Market Review 3.2.1 Capital Market - The central bank's net injection before the holiday was 139.69 billion yuan. After the holiday, the maturity volume of reverse repurchase was larger. The capital interest rate decreased, and the 3M certificate of deposit issuance rate and FR007 - 1Y swap rate showed different trends [28][29]. 3.2.2 Secondary Market Trends - Bond yields declined before the holiday. Except for the 3m Treasury bond, the yields of other key - term Treasury bonds decreased. Most of the term spreads of Treasury bonds widened [38]. - The spread between new and old 10Y Treasury bonds continued to decline, and the negative spread of 10Y China Development Bank bonds widened. The spread between the second - active and active 30Y Treasury bonds fluctuated narrowly [40]. 3.2.3 Bond Market Sentiment - As of February 14, the weekly turnover rate of 30Y Treasury bonds decreased, the 50Y - 30Y and 30Y - 10Y Treasury bond spreads widened, the inter - bank leverage ratio decreased to 107.3%, the exchange leverage ratio increased to 123.5%, the median duration of medium - and long - term pure bond funds decreased, and the median duration of interest - rate bond funds increased slightly. The implied tax rate of 10 - year China Development Bank bonds widened [45]. 3.2.4 Bond Supply - The net financing of interest - rate bonds increased before the holiday. The net financing of Treasury bonds and local government bonds decreased, while that of policy - financial bonds increased. The issuance scale of Treasury bonds will increase in the last week of February, and that of local bonds will decrease [61][64][65]. - The inter - bank certificate of deposit changed from net financing to net repayment before the holiday, and the average issuance rate decreased slightly [66]. 3.3 Economic Data - The Spring Festival month - shift affected the CPI decline, and the PPI improved year - on - year. The financial data in January had a stable start [70]. - Since February, movie consumption was weaker than the seasonal level, and the freight rate index improved marginally. Real - estate transactions were weak, and industrial production weakened marginally [71]. - Recent infrastructure and price high - frequency data showed that production indicators decreased month - on - month, and most price indicators weakened [75]. 3.4 Overseas Bond Market - The U.S. core PCE returned to 3%, and the economic growth rate slowed down. The Fed had different views on future policies [80]. - The U.S. bond market declined, and emerging markets had more declines than increases. The spread between Chinese and U.S. 10Y Treasury bonds narrowed [81][83]. 3.5 Major Assets - The CSI 300 index rose slightly before the holiday. Shanghai gold rose, and the Nanhua crude oil index adjusted. The performance of major assets was: CSI 1000 > Shanghai gold > Convertible bonds > CSI 300 > Chinese - funded U.S. dollar bonds > China bonds > Shanghai copper > Rebar > U.S. dollar > Live pigs > Crude oil [87]. 3.6 Bond Market Calendar - There are reverse repurchase maturities, MLF maturities, and government bond issuances from February 24 to February 28. There are also important economic data releases and corporate earnings calls during this period [92].

资产配置月报 202602 如何衡量黄金的交易拥挤度？ glmszqdatemark 2026 年 02 月 06 日 如何衡量黄金的交易拥挤度？ 大类资产量化观点 风格量化观点 行业配置量化观点 [Table_Author] | 分析师 | 叶尔乐 | | --- | --- | | 执业证书： S0590525110059 | | | 邮箱： | yeerle@glms.com.cn | | 分析师 | 祝子涵 | | 执业证书： S0590525110061 | | | 邮箱： | zhuzihan@glms.com.cn | 相关研究 本公司具备证券投资咨询业务资格，请务必阅读最后一页免责声明 证券研究报告 1 2026 年 1 月底黄金价格出现大幅下跌，或是短期利空事件触发与市场自身交易 结构脆弱性共振的结果。下跌的诱因或来自凯文沃什被提名美联储主席候选人， 但黄金长期上涨的根本逻辑未发生改变；前期黄金价格持续上涨，黄金交易拥挤 度处于高位，其脆弱的交易结构在利空消息的刺激下导致了这次大幅下跌。 对于黄金的交易拥挤度，我们可以从其价格乖离率和沪金主力平值 IV 来观察。在 黄金长期上涨逻辑不变的情况 ...

资产配置月报 202602 如何衡量黄金的交易拥挤度？ glmszqdatemark 2026 年 02 月 06 日 如何衡量黄金的交易拥挤度？ 大类资产量化观点 风格量化观点 行业配置量化观点 [Table_Author] | 分析师 | 叶尔乐 | | --- | --- | | 执业证书： S0590525110059 | | | 邮箱： | yeerle@glms.com.cn | | 分析师 | 祝子涵 | | 执业证书： S0590525110061 | | | 邮箱： | zhuzihan@glms.com.cn | 相关研究 本公司具备证券投资咨询业务资格，请务必阅读最后一页免责声明 证券研究报告 1 2026 年 1 月底黄金价格出现大幅下跌，或是短期利空事件触发与市场自身交易 结构脆弱性共振的结果。下跌的诱因或来自凯文沃什被提名美联储主席候选人， 但黄金长期上涨的根本逻辑未发生改变；前期黄金价格持续上涨，黄金交易拥挤 度处于高位，其脆弱的交易结构在利空消息的刺激下导致了这次大幅下跌。 对于黄金的交易拥挤度，我们可以从其价格乖离率和沪金主力平值 IV 来观察。在 黄金长期上涨逻辑不变的情况 ...

Group 1: Fixed Income Market Overview - The 10Y government bond yield has shown a downward trend, decreasing by 2.10 basis points to 1.8090% compared to the previous week, influenced by discussions on new monetary policy tools and a weakening equity market [2][3] - The overall liquidity in the money market remains stable, with a slight increase in funding rates as the month-end approaches, but the central bank's supportive stance keeps the cross-month pressure manageable [4][11] Group 2: Money Market Analysis - The central bank's net liquidity injection this week was 530.5 billion, with a notable increase in the 7-day reverse repo balance to 17,615 billion, up by 5,805 billion from the previous week [11][12] - Funding rates have slightly increased, with DR007 rising by 9.91 basis points to 1.59% and R007 increasing by 10.41 basis points to 1.64% as of January 30, 2026 [25][26] Group 3: Primary Market Supply - The net supply of interest rate bonds decreased significantly this week to 3,805.14 billion, a drop of 3,544.45 billion from the previous week, with government bonds showing a net supply of -1,133.40 billion [32][34] - The net financing scale of negotiable certificates of deposit (NCD) turned positive this week, totaling 37.30 billion, an increase of 1,544.40 billion from the previous week [32][39] Group 4: Secondary Market Performance - The yield curve for government bonds is flattening, with the 10Y/1Y yield spread narrowing, indicating a shift in market sentiment [42][50] - The absolute level of government bond yields shows a downward trend, with the 10Y yield slightly decreasing, while the 30Y local government bond yield has seen a minor increase [47][49]

1. Report Industry Investment Rating - The industry rating is "Overweight", indicating an expected increase of over 10% in the industry index relative to the benchmark index over the next 6 - 12 months [25] 2. Core View of the Report - The bond market is currently in a technical buying window. Based on refined observation, trading opportunities can be grasped through the repair of term spreads and short - covering in bond - type portfolio strategies. When the trading price approaches the key point, further breakthrough requires an increase in trading volume, and attention should also be paid to changes in equity sentiment and institutional liability ends [1][21] 3. Summary by Relevant Catalogs 3.1 Bond Market May Be in a Technical Buying Window - This week, the bond market showed a recovery. As of January 23, the yields of 10Y and 30Y treasury bonds decreased by 1.26BP and 1.65BP respectively compared to last Friday. The 30Y treasury bond yield showed a greater decline on Wednesday and Friday, which was a supplementary repair lagging behind the 10Y treasury bond yield [1][5] - There may be technical trading opportunities: 1) "Short - sellers are exhausted", and there is a valuation repair due to short - covering of ultra - long treasury bonds. For example, on Tuesday (1/20), the borrowing concentration of 25 Te Guo 06 reached a record high of 31.92%, and after 25 Te Guo 02's borrowing concentration rose to a recent high, it declined on Wednesday, with securities firms leading the short - covering, driving the valuation of two 30 - year treasury bond active bonds to repair by over 2BP [7] - The "short local bonds" strategy based on supply concerns has increased recently. For example, the borrowing volume of 30 - year local bonds such as 25 Henan Bond 111 has significantly increased, and securities firms have contributed the main increase [9] - In terms of institutional behavior, large banks had a net purchase guidance for long - term bonds last week. From January 12 - 16, large banks had a cumulative net purchase of about 65 billion yuan of 7 - 10Y interest - rate bonds, and continued to increase their holdings this week, with a total net purchase of over 120 billion yuan in two weeks [11] - The duration of pure - bond funds has dropped to a low level, and there is a repair of the duration strategy space this week. On January 15, the duration of pure - bond funds dropped to the 12% historical quantile level since last year and showed a rebound near the 75% quantile (2.76 years) in the past five years [11] - The recent change in bond market trading strategies is that the bond - type portfolio strategy of "short local bonds + long treasury bonds" has replaced the term spread strategy of "short 30 - year + long 10 - year". The 30 - year treasury bond short - selling strategy is already crowded, and there is not a strong logic for further short - selling in the short term [14] 3.2 Possible "Flaws" in Local Bond Borrowing - It is uncertain whether shorting local bonds can become a common strategy in the bond market. Currently, the participation ranking is securities firms > small and medium - sized banks > large banks. Due to the lower liquidity, smaller single - bond scale, and more frequent bond - swapping operations of local bonds compared to treasury bonds, the trading is more difficult [15] - Some one - sided short positions in local bonds may lead to losses when the entire bond market rises. For example, during this week's bond market recovery, the yield of Shandong bonds decreased, although the decline of 26 Shandong 02 (5BP) was less than that of 2602 (9BP) [15] - The short - term ultra - long bond underwriting capacity is acceptable, and the supply concern at the beginning of the year may be overestimated. The issuance of ultra - long local bonds this week was stable, and the underwriting capacity mainly comes from banks with sufficient underwriting quotas at the beginning of the year and insurance companies as the current interest rate of local bonds (2.4% - 2.5%) has reached their acceptable allocation point [17] 3.3 China's Bond Market Supply - Demand Issue May Not Be Isolated - The current price repair may not mean an increase in trading volume. The bond market supply - demand contradiction remains unresolved in the medium term. In the short term, it is difficult to see a reduction in the supply of ultra - long bonds or an adjustment in the term structure. The supply of ultra - long bonds in Q1 is expected to be about 2.4 trillion yuan, not significantly less than last year [18] - If the primary issuance remains unchanged, banks may face greater pressure in underwriting. Insurance companies may find it more cost - effective to purchase ultra - long bonds from the secondary market. The incremental funds from insurance companies for ultra - long bond allocation may be insufficient [19] - The supply - demand issue has been discussed for a long time, and the bond market has taken a long time to digest it. The yield of Japanese and US bonds has also significantly adjusted this week, indicating that the supply - demand contradiction may not be a problem unique to China [21] 3.4 Specific Strategies - In the short term, attention can be paid to the change in the borrowing concentration of active bonds. The risk of one - sided shorting of local bonds is relatively high. A strategy combination can be made by combining the short - covering repair of 30 - year treasury bonds, and opportunities for the repair of term spreads that have moved quickly in the early stage can be grasped. Small - position trading can be used to maintain a competitive state. This week, funds significantly increased their holdings of Tier 2 and perpetual bonds, and short - term Tier 2 and perpetual bonds may benefit from the establishment of various fixed - income + strategies [22] - For the TL contract, the price has support at 111.5 - 112.0 yuan and a first - level pressure zone at around 112.8 yuan. If the bullish sentiment breaks through the resistance level, the next repair target may be 113.55 yuan. According to the modified duration of 25 Te Guo 06, the lower limit of the corresponding valuation yield of the 30 - year treasury bond active bond may be 2.20%. If the term spread narrows to 40BP, the lower limit of the 10 - year treasury bond yield may be around 1.80% [2][22]

Group 1 - The article emphasizes that both being trapped in investments and missing out on opportunities are risks that require attention and potential stop-loss actions [1] Group 2 - The central bank conducted a 125 billion yuan reverse repurchase operation, resulting in a net withdrawal of 111.7 billion yuan due to the maturity of 867 billion yuan in reverse repos and 1500 billion yuan in treasury cash deposits [3] - The money market is balanced, with the DR001 rate around 1.40% and DR007 at approximately 1.49% [3] Group 3 - The stock market experienced a slight increase, with the marginal MLF rate dropping to 1.5%, and bond market rates also slightly decreased [5] - The 10-year government bond yield opened at 1.83% but retreated to 1.8275% during the morning session [5] Group 4 - The article notes a unique situation in the bond market where the MLF rate is at 1.50%, with only a 10 basis point difference between the 1-year MLF and 7-day OMO rates, referred to as the "cutest interest rate spread" [6] - The stock market is characterized by active trading strategies, with participants engaging in arbitrage and tactical trading [6]

Core Viewpoint - The article discusses the current financial market conditions, highlighting the impact of geopolitical tensions and the performance of various financial instruments, including government bonds and stock markets. Group 1: Financial Market Overview - The geopolitical tensions have led to fluctuations in the stock market, with overseas risk assets experiencing significant declines while the domestic market showed resilience [6]. - The sentiment for the issuance of 7-year government bonds is positive, with interest rates slightly declining [6]. - The central bank conducted a 7-day reverse repurchase operation of 363.5 billion yuan, resulting in a net injection of 122.7 billion yuan into the market [4]. Group 2: Interest Rates and Trading Volume - The weighted average interest rate for R001 is at 1.40%, with a trading volume of 79,428.57 million yuan, reflecting a change of 1,256.74 million yuan [5]. - R007 has a weighted average interest rate of 1.54%, with a trading volume of 6,826.21 million yuan, showing a decrease of 615.48 million yuan [5]. - The interest rate for R014 is at 1.62%, with a trading volume of 1,322.21 million yuan, indicating a slight decrease [5]. Group 3: Market Sentiment and Trends - The bond market showed stability despite the geopolitical tensions, with the 10-year government bond yield fluctuating around 1.823% [6]. - The article notes a contrasting performance between domestic and international markets, with domestic assets remaining stable amid global declines [7]. - The commentary on the commercial space sector reflects a broader sentiment of caution and volatility in emerging industries [7].

Group 1: Gold as a Core Asset - Gold is increasingly viewed as a cornerstone asset in a fragmented, fiscally constrained, and geopolitically uncertain world, reflecting deeper changes in the global financial system where trust, diversification, and resilience are as important as returns and growth [1] - Despite strong momentum, risks to gold in the near term stem from positioning and capital flows, with significant short-term volatility expected due to a major commodity index rebalancing in 2025 [1] Group 2: Euro and Dollar Outlook - The euro is expected to maintain a range-bound movement against the dollar in 2026, despite potential economic recovery in Germany, as the market has already priced in these developments [2] - The Federal Reserve's upward revision of U.S. economic growth forecasts for 2025 and 2026 is likely to support capital inflows into the U.S., limiting the euro's upward potential [2] Group 3: Thailand's Economic Growth Challenges - Lowering interest rates alone will not resolve Thailand's economic growth issues, with growth in the second half of 2025 impacted by reduced short-term tourism and flooding in southern Thailand [3] - Structural factors, including slowing income growth and export pressures on household consumption, will affect Thailand's economic outlook for 2026 [3] Group 4: UK Monetary Policy - The Bank of England is unlikely to signal a clear dovish stance due to persistent inflation above target, with any potential rate cuts framed as a gradual risk management shift rather than a full easing cycle [4] Group 5: U.S. Treasury Yield Projections - U.S. 10-year Treasury yields are projected to trade within a range of 4.0%-4.5% in 2026, with the possibility of reaching the upper limit in the second half of the year due to deteriorating deficit prospects [5] Group 6: Chinese Baijiu Industry Outlook - The Chinese baijiu industry is expected to see improved financial statements and clearer upward turning points in 2026, driven by a gradual recovery in consumer demand and innovative supply-side strategies [6] Group 7: Social Services Sector Stabilization - The social services sector in China is showing signs of stabilization and bottoming out after experiencing price pressures and same-store sales declines in 2024, with potential recovery in sub-sectors like hotels and duty-free shops [7] Group 8: Debt Market Projections - The central tendency of bond market interest rates is expected to rise slightly in 2026, with a forecasted range of 1.6%-2.0% for 10-year government bonds, influenced by neutral monetary policy and marginal improvements in the economic fundamentals [8] Group 9: Green Hydrogen Industry Development - Recent high-level meetings have set the tone for China's green development goals, emphasizing the acceleration of the green hydrogen industry as part of the broader transition to a low-carbon economy [9] Group 10: Liquid Cooling in Servers - 2025 is anticipated to be a breakout year for server liquid cooling, with significant shipments expected and increased participation from domestic manufacturers in the supply chain [10]

Group 1 - The pricing power of 30Y government bonds has undergone three migrations, driven by the "asset shortage" and improvement in liquidity [1] - Before 2022, the focus on 30Y government bonds was low, with supply significantly lower than that of 10Y bonds, leading to weak liquidity and primarily driven by insurance companies [9][16] - From 2022 to 2024, the pricing power of 30Y government bonds shifted towards trading accounts, becoming a market "barometer" as liquidity improved and trading activity increased [18] Group 2 - The current situation of 30Y government bonds is characterized by a relief of the "asset shortage" and a mismatch in supply and demand structures [49] - The easing of the "asset shortage" is reflected in the steady rise of the Shanghai Composite Index and the continuous increase in dividend yields, indicating a shift in economic expectations [50][54] - The supply-demand contradiction arises from the mismatch between the long-term supply of government bonds and the short-term liquidity provided, leading to an oversupply of 30Y bonds [60] Group 3 - The pricing logic for 30Y government bonds has changed, with the market now requiring higher risk compensation due to the shift from a "supply-demand balance" to an "oversupply" situation [69] - The transition of pricing power may revert back to the allocation accounts as trading accounts face challenges in the current volatile market [74] - To alleviate the upward pressure on 30Y government bond yields, two main paths exist: adjusting prices to a more attractive range for allocation accounts and improving liquidity in the market [82]

Core Viewpoint - The chief economist of Minsheng Bank, Wen Bin, suggests that the bond market interest rates will experience a rapid decline from the end of 2024 to early 2025, indicating an overpricing of monetary policy easing and weakening fundamentals [1] Group 1: Interest Rate Projections - After the interest rate cut in May 2025, the 10-year government bond yield did not show a significant decline and continued to rise in the second half of the year, reflecting a correction of previous overpricing [1] - For 2026, the impact of monetary policy is expected to become more neutral, with marginal improvements in fundamentals gradually influencing the pricing of bond market interest rates [1] Group 2: Market Dynamics - Considering the new regulations for public funds and the rectification of wealth management valuations, there is an anticipated diversion of funds from the bond market [1] - The 10-year government bond yield is expected to have a slight upward shift, likely operating within the range of 1.6% to 2.0% [1]