利率周报：国内债市回调，美国9月降息概率上升-20250824

Report Industry Investment Rating Not provided in the document. Report Core Viewpoints - From January to July, the year-on-year growth of the national general public budget revenue was only 0.1%, and the tax revenue decreased by 0.3% year-on-year, reflecting weak economic recovery momentum. The fiscal expenditure increased by 3.4% year-on-year, with a high increase of 9.8% in social security and employment expenditure, indicating increased policy support. The LPR has remained unchanged for four consecutive months, and with the Fed signaling a possible September rate cut, domestic capital interest rates are expected to remain low, and the capital market may continue to be loose [2][4][73]. - This week's meso - level data shows that consumption and transportation continue to recover, but the real - estate chain remains sluggish, and industrial product prices are differentiated. The bond market adjustment is mainly due to the "stock - bond seesaw" effect and institutional behavior disturbances. As ultra - long bonds held by bond funds and securities firms' proprietary trading are transferred to insurance funds and other allocation players, the subsequent impact of the stock market on the bond market may be significantly weakened, and the bond market is expected to gradually return to fundamental and capital - market pricing [2][11][75]. - Short - term bond market is suppressed by sentiment, but continuous central bank easing and banks' proprietary trading allocation needs provide support. The peak of net government bond issuance this year has passed. After September, the net issuance of government bonds may not exceed 25% of the annual plan, and interest - rate bonds may see a recovery window. The report maintains that the yield of the 10Y Treasury bond will be between 1.6% - 1.8% in the second half of the year. Currently, the 10Y Treasury bond yield is close to 1.8%, with high cost - effectiveness. In the next six months, the 10Y Treasury bond yield is expected to return to around 1.65%, and the yield of the 5Y national and regional secondary capital bonds will fall below 1.9%. Investors should cherish 5Y capital bonds and 30Y Treasury bonds with yields above 2% [4][11][75]. Summary by Directory 1. Macroeconomic News - From January to July 2025, the national general public budget revenue was 13.6 trillion yuan, a year - on - year increase of 0.1%. Among them, tax revenue was 11.1 trillion yuan, a year - on - year decrease of 0.3%, and non - tax revenue was 2.5 trillion yuan, a year - on - year increase of 2%. The national general public budget expenditure was 16.1 trillion yuan, a year - on - year increase of 3.4%. Social security and employment expenditure increased by 9.8% year - on - year, and debt interest payment expenditure increased by 6.4% year - on - year [4][12]. - On August 20, the 1 - year LPR was 3.0%, and the 5 - year and above LPR was 3.5%, remaining unchanged for four consecutive months [4][15]. - On the evening of the 22nd, Fed Chairman Powell signaled a possible September rate cut at the Jackson Hole Global Central Bank Annual Meeting. Market expectations for a September rate cut soared to over 90% [4][18]. 2. Meso - level High - frequency Data 2.1 Consumption: Continuous Recovery - As of August 17, the daily average retail volume of passenger cars was 5.9 million, a year - on - year increase of 8.2%, and the daily average wholesale volume was 6.3 million, a year - on - year increase of 22.5%. As of August 22, the total box office revenue of national movies in the past 7 days was 123,676.2 million yuan, a year - on - year increase of 14.8% [19]. - As of August 15, the total retail volume of three major household appliances was 1.652 million, a year - on - year increase of 10.6%, and the total retail sales were 4.04 billion yuan, a year - on - year increase of 17.5% [21]. 2.2 Transportation: Active Logistics - As of August 17, the container throughput of ports was 6.753 million TEUs, a year - on - year increase of 8.7%. As of August 22, the average subway passenger volume in first - tier cities in the past 7 days was 4,061.8 million, a year - on - year increase of 4.1% [25]. - As of August 17, the railway freight volume was 7,966.0 million tons, a year - on - year increase of 4.2%, and the highway truck traffic volume was 5,493.0 million vehicles, a year - on - year increase of 4.6% [28]. 2.3 Industrial Operating Rates: Strong Upstream, Weak Downstream - As of August 20, the blast furnace operating rate of major steel enterprises was 77.5%, a year - on - year increase of 2.8 percentage points. As of August 21, the average asphalt operating rate was 25.0%, a year - on - year increase of 3.0 percentage points [33]. - As of August 21, the soda ash operating rate was 88.8%, a year - on - year increase of 6.5 percentage points, and the PVC operating rate was 75.6%, a year - on - year increase of 1.9 percentage points. As of August 22, the average PX operating rate was 85.2%, and the average PTA operating rate was 76.4% [36]. 2.4 Real Estate: Continued Downturn - As of August 22, the total commercial housing transaction area in 30 large - and medium - sized cities in the past 7 days was 1.541 million square meters, a year - on - year decrease of 15.1%. As of August 15, the second - hand housing transaction area in 9 sample cities was 1.433 million square meters, a year - on - year increase of 5.5% [39][42]. 2.5 Prices: Differentiated Industrial Products, Pressured Agricultural Products - As of August 22, the average wholesale price of pork was 20.1 yuan/kg, a year - on - year decrease of 27.3% and a 2.9% decrease from four weeks ago. The average wholesale price of vegetables was 4.8 yuan/kg, a year - on - year decrease of 20.9% and a 9.8% increase from four weeks ago. The average wholesale price of 6 key fruits was 6.9 yuan/kg, a year - on - year decrease of 6.3% and a 3.0% decrease from four weeks ago [43]. - As of August 22, the average price of thermal coal at northern ports was 698.0 yuan/ton, a year - on - year decrease of 15.9% and an 8.9% increase from four weeks ago. The average spot price of WTI crude oil was 62.8 US dollars/barrel, a year - on - year decrease of 15.1% and a 4.4% decrease from four weeks ago. The average spot price of rebar was 3,248.6 yuan/ton, a year - on - year increase of 3.6% and a 1.9% decrease from four weeks ago [47]. 3. Bond and Foreign Exchange Markets: Bond Market Adjustment - On August 22, overnight Shibor was 1.42%, down 1.80BP from August 18. R001, R007, DR001, DR007, IBO001, and IBO007 all showed different degrees of decline or increase compared to previous periods [54]. - On August 22, the yields of 1 - year, 5 - year, 10 - year, and 30 - year Treasury bonds were 1.38%, 1.63%, 1.78%, and 2.08% respectively, up 1.3BP, 3.8BP, 3.6BP, and 3.0BP respectively from August 15. The yields of 1 - year, 5 - year, 10 - year, and 30 - year China Development Bank bonds were 1.56%, 1.77%, 1.88%, and 2.18% respectively, up 3.7BP, 3.9BP, 2.1BP, and 3.0BP respectively from August 15 [59]. - On August 22, the yields of 1 - year, 5 - year, and 10 - year local government bonds were 1.43%, 1.74%, and 1.95% respectively, up 5.0BP, 5.0BP, and 10.6BP respectively from August 15. The yields of AAA 1 - month, 1 - year, AA+ 1 - month, and 1 - year inter - bank certificates of deposit were 1.49%, 1.67%, 1.50%, and 1.69% respectively, up 1.9BP, 2.5BP, 0.9BP, and 1.5BP respectively from August 15 [61]. - As of August 22, the ten - year Treasury bond yields of the US, Japan, the UK, and Germany were 4.3%, 1.6%, 4.7%, and 2.8% respectively, down 7BP, up 6BP, up 1BP, and up 1BP respectively from August 15 [64]. - On August 22, the central parity rate and spot exchange rate of the US dollar against the RMB were 7.13 and 7.18 respectively, down 50 and 18 pips respectively from August 15 [67]. 4. Institutional Behavior - Since the beginning of 2025, the duration of medium - and long - term pure bond funds for interest - rate bonds has shown a trend of first decreasing, then increasing, and then decreasing. On August 22, the estimated average duration was about 5.1 years, a decrease of about 0.09 years compared to last week [70]. - Since the beginning of 2025, the duration of medium - and long - term pure bond funds for credit bonds has shown a volatile trend. On August 22, the estimated median and average duration were about 2.9 years, an increase of about 0.11 years compared to last week [72]. 5. Investment Recommendations - After securities firms' proprietary trading and bond funds reduce their durations, the bond market may experience a good market. The short - term bond market is suppressed by sentiment, but central bank easing and banks' proprietary trading allocation needs provide support. The peak of net government bond issuance this year has passed. After September, the net issuance of government bonds may not exceed 25% of the annual plan, and interest - rate bonds may see a recovery window. The report maintains that the yield of the 10Y Treasury bond will be between 1.6% - 1.8% in the second half of the year. Currently, the 10Y Treasury bond yield is close to 1.8%, with high cost - effectiveness. In the next six months, the 10Y Treasury bond yield is expected to return to around 1.65%, and the yield of the 5Y national and regional secondary capital bonds will fall below 1.9%. Investors should cherish 5Y capital bonds and 30Y Treasury bonds with yields above 2% [4][11][75].