瑞达期货研究院 「2025.08.22」 国债期货周报 风险偏好压制，期债震荡调整 研究员 廖宏斌 期货从业资格号 F30825507 期货投资咨询从业证号 Z0020723 关 注 我 们 获取更多资讯 目录 1、行情回顾 2、消息回顾与分析 3、图表分析 4、行情展望与策略 周度要点总结 政策及监管： 1、人社部等五部门联合印发通知，明确自9月1日起，个人养老金新增患重大疾病、领取失业保险金、领取城乡最低生活 保障金等3种领取条件，同时明确了具体的操作办法。参加人可以按月、分次或者一次性领取个人养老金；2、央行新增支农支小再贷款 额度1000亿元，引导和鼓励金融机构加大对北京、河北、吉林、山东、甘肃等受灾地区的经营主体特别是小微企业、个体工商户，以及 农业、养殖企业和农户的信贷支持力度；3、金融监管总局拟出台《商业银行并购贷款管理办法》，助力产业转型升级，增强经济增长动 能。《办法》拓宽并购贷款适用范围，进一步允许并购贷款支持满足一定条件的参股型并购交易。 基本面：1、国内:1）7月份，规模以上工业增加值同比增长5.7%，社会消费品零售总额同比增长3.7%，固定资产投资同比下降0.63%，失 业率同比持平 ...

Report Industry Investment Rating - No relevant content provided Core Viewpoints of the Report - In July, the pace of economic recovery slowed, with marginal weakening on both the supply and demand sides. New policies in August may drive future economic data to rebound. The bond market currently lacks a new main driving force, and the strengthening of the equity market has significantly increased market risk appetite, suppressing bond market sentiment. The "stock - strong, bond - weak" linkage effect may intensify, and in the short term, liquidity factors may become the core logic guiding bond market trading. It is recommended to focus on the opportunity of the widening term spread brought about by the steepening of the curve [93][94] Summary According to the Table of Contents 1. Market Review - This week, the Treasury bond futures contracts of all maturities declined. The 30 - year, 10 - year, 5 - year, and 2 - year main contracts fell by 1.54%, 0.32%, 0.17%, and 0.04% respectively. The trading volume of the TS, TF, T, and TL main contracts increased, while the open interest of the TS, T, TF, and TL main contracts decreased [12][29] 2. News Review and Analysis - Policy: The three - department jointly issued the "Implementation Plan for the Fiscal Interest Subsidy Policy for Personal Consumption Loans", and the nine - department including the Ministry of Finance issued the "Implementation Plan for the Fiscal Interest Subsidy Policy for Service Industry Business Entities" [7] - Domestic economic data: In July, the added value of industrial enterprises above designated size increased by 5.7% year - on - year, social consumer goods retail sales increased by 3.7% year - on - year, and fixed - asset investment decreased by 0.63% year - on - year. The unemployment rate remained the same year - on - year. In July, RMB loans decreased by 50 billion yuan, with a year - on - year increase in the reduction of 310 billion yuan; the social financing increment in July was 1.16 trillion yuan, with a year - on - year increase of 389.3 billion yuan; the year - on - year growth rate of M1 in July was 5.6%, and that of M2 was 8.8%. China's official manufacturing PMI in July was 49.3, a decrease of 0.4 percentage points from the previous month, and the comprehensive PMI output index was 50.2, a decrease of 0.5 percentage points [8] - Overseas economic data: In the US, the CPI in July was flat year - on - year at 2.7%, lower than the expected 2.8%, and the core CPI increased by 3.1% year - on - year, higher than the expected 3%. The PPI in July soared to 3.3% year - on - year, far exceeding the expected 2.5%. The number of initial jobless claims last week decreased by 3,000 to 224,000, lower than expected. The US continued to modify the implementation of ad - valorem tariffs on Chinese goods, and suspended the implementation of a 24% tariff for 90 days starting from August 12, 2025 [9] - Exchange rate: The central parity rate of the RMB against the US dollar was 7.1371, with a cumulative depreciation of 34 basis points this week [9] - Capital situation: This week, the central bank conducted 711.8 billion yuan of reverse repurchases in the open market, with 1.1267 trillion yuan of reverse repurchases maturing, resulting in a net withdrawal of 414.9 billion yuan. The weighted average interest rate of DR007 rebounded to around 1.48% [9] 3. Chart Analysis - Spread changes: The yield spread between the 10 - year and 5 - year bonds and that between the 10 - year and 1 - year bonds slightly widened. The spread between the 2 - year and 5 - year main contracts and that between the 5 - year and 10 - year main contracts narrowed. The inter - period spread of the 10 - year contract fluctuated, and that of the 30 - year contract slightly widened. The inter - period spread of the 2 - year contract fluctuated, and that of the 5 - year contract narrowed [42][46][50] - Treasury bond futures main contract position changes: The net long positions of the top 20 holders of the T main contract slightly increased [63] - Interest rate changes: The Shibor rates of overnight, 1 - week, 2 - week, and 1 - month terms all increased. The weighted average interest rate of DR007 rebounded to around 1.48%. The yields of Treasury bond cash bonds weakened across the board, with the yields of 1 - 7Y maturities rising by about 1 - 5bp, and the yields of 10Y and 30Y rising by about 5bp and 6bp to 1.74% and 1.99% respectively. The yield spread between Chinese and US 10 - year Treasury bonds narrowed, and that of 30 - year Treasury bonds slightly narrowed [67][71] - Central bank open - market operations: This week, the central bank's open - market reverse repurchases totaled 711.8 billion yuan, with 1.1267 trillion yuan of reverse repurchases maturing, resulting in a net withdrawal of 414.9 billion yuan. The weighted average interest rate of DR007 rebounded to around 1.48% [74] - Bond issuance and maturity: This week, the bond issuance was 1.75934 trillion yuan, and the total repayment was 1.559795 trillion yuan, with a net financing of 201.345 billion yuan [77] - Market sentiment: The central parity rate of the US dollar against the RMB was 7.1371, with a cumulative depreciation of 34 basis points this week. The spread between the offshore and onshore RMB widened. The yield of the 10 - year US Treasury bond strengthened slightly, and the VIX index decreased slightly. The yield of the 10 - year Treasury bond in China increased significantly, and the A - share risk premium decreased slightly [82][87][90] 4. Market Outlook and Strategy - Domestically, the economic recovery in July slowed down, but new policies in August may drive future economic data to rebound. Overseas, the sharp rise in the US PPI in July has frustrated the market's expectation of a Fed rate cut in September. Currently, the bond market lacks a new main driving force, and the "stock - strong, bond - weak" linkage effect may intensify. It is recommended to focus on the opportunity of the widening term spread brought about by the steepening of the curve [93][94]

Core Insights - The yield spread between Italian and German 10-year government bonds has decreased to 87 basis points, marking the lowest level since 2015 [1] Group 1 - The narrowing yield spread indicates a potential increase in investor confidence in Italian bonds compared to German bonds [1] - This trend may reflect improving economic conditions in Italy or a shift in market sentiment towards riskier assets [1]

Core Viewpoint - The yield spread between Italian and German 10-year government bonds has decreased to 87 basis points, marking the lowest level since 2015 [1] Group 1 - The decline in the yield spread indicates a potential increase in investor confidence in Italian bonds compared to German bonds [1] - This reduction in yield spread may reflect improving economic conditions in Italy or a shift in market sentiment towards riskier assets [1] - The current yield spread could influence future investment strategies and decisions within the European bond market [1]

Group 1 - The yield spread between French and German 10-year government bonds has widened to 74 basis points, marking the largest increase since April of this year [1]

Group 1 - The yield spread between German and Italian 10-year government bonds has reached its widest level in three weeks, currently at 99.8 basis points [1] - The increase in the yield spread indicates growing investor concerns regarding Italy's fiscal stability compared to Germany [1] - The Italian 10-year government bond yield is a critical indicator for assessing the country's borrowing costs and overall economic health [1]

Group 1 - The yield spread between Germany's 2-year and 10-year government bonds has narrowed to levels seen on April 4, reaching 68.20 basis points, with the latest figure at 70.20 basis points [1]

Core Viewpoint - The yield spread between Japan's 10-year and 30-year government bonds has widened to a record level, indicating strong demand from investors for selling longer-term bonds following a recent operation by the Bank of Japan [1] Group 1 - The yield spread reached a record high, reflecting significant market movements [1] - The Bank of Japan's recent operation has influenced investor behavior, leading to increased selling of long-term bonds [1]