证券研究报告 | 2025年08月24日 宏观经济宏观周报 高频指标连续两周超季节性上升 主要结论：高频指标继续超季节性上升。 | 证券分析师：李智能 | 证券分析师：田地 | | | --- | --- | --- | | 0755-22940456 | 0755-81982035 | | | lizn@guosen.com.cn | tiandi2@guosen.com.cn | | | S0980516060001 | S0980524090003 | | | 基础数据 | | | | 固定资产投资累计同比 | | 1.60 | | 社零总额当月同比 | | 3.70 | | 出口当月同比 | | 7.20 | | M2 | | 8.80 | | 市场走势 | | | 资料来源：Wind、国信证券经济研究所整理 经济增长方面，本周(8 月 22 日所在周）国信高频宏观扩散指数 A 维持正值， 指数 B 继续上升。从分项来看，本周消费领域景气有所回升，投资、房地产 领域景气基本保持不变，本周消费领域表现相对较优。从季节性比较来看， 本周指数 B 标准化后上升 0.3，表现优于历史平均水平，指向国内经济增长 ...

8月22日下午两点半，债券市场持续下探，哀鸿遍野。十年期国债活跃券收益率上行超过2个基点，而30 年期国债更是岌岌可危，难掩颓势。 当日，财政部发行了高达830亿元的30年期特别国债，中标利率虽提高至2.15%，但全场认购倍数仅为 2.89倍，市场反应冷淡，机构投资者参与意愿低迷。与年初国债发行时机构争相抢购、认购倍数轻松突 破3倍甚至4倍的盛况相比，如今即便收益率有所提升，市场却反而望而却步，这其中究竟有何玄机？ 究其原因，是A股市场正经历一场前所未有的狂欢。 同一时间，上证指数一路高歌猛进，成功突破3800点，创下近十年来的新高，单日涨幅高达1.09%。中 证转债亦不甘示弱，紧随其后，上涨0.8%。在"逐利"法则下，资金如潮水般涌向股市。 在股市动辄百分之几的日涨幅面前，债市那点微薄的利息显得黯然失色，毫无吸引力。然而，债市向来 以"稳健"著称，为何会遭遇如此程度的连续下跌？ 事实上，从8月初开始，利率债便已进入下行通道，超长期债券基金更是首当其冲，损失惨重。部分基 金单日净值跌幅超过0.5%，投资者们的心态遭受巨大冲击。习惯了每日"收蛋"的债基投资者，如今却面 临"碎蛋"的困境，苦不堪言。 这背后，是经 ...

回顾一下2025年的债券市场，整体是一个宽幅震荡的行情。从上半年开始，截至8月初，以10年期国债 为主的债券市场收益率高点出现在3月中旬，达到1.90%附近；低点则出现在三个窗口期：今年1月初、 4月中旬地缘政治风险爆发时，以及最近的7月初。这三个窗口期，10年期国债收益率低点基本都在 1.60%附近。因此，今年大的行情就是在1.6%到1.9%之间，即30个基点（BP）的宽幅震荡。当前10年期 国债收益率在1.72%，正处于今年震荡区间的中间位置。 接下来，我们梳理一下今年债券市场波动背后的交易逻辑。 第一，在中国经济转型过程中，当前实体需求相对较弱。在这样的背景下，对于债券市场的配置机构来 说，债券的投资比例一定会小幅增加。所以，债券与银行投放的贷款相比具备配置价值。在弱需求背景 下，今年债券市场依然是一个慢牛或震荡牛的走势。 从今年的维度来看，我们相对还是比较看好10年期国债的机会。10年期这一期限的资产，其好处在于： 波动比30年期资产偏低，但绝对收益又比偏短期限的资产偏高。当我们处于低利率环境下，应该追逐确 定性相对偏高、并且能容忍资产波动或回撤相对偏小的资产。在当前债券市场中符合这两个特征的期限 段 ...

证券研究报告 | 固定收益研究*周报 2025 年 08 月 19 日 固定收益研究 债市周观察（8.11-8.17）——如何看待当前的股债状态 上周十年期国债收益率自 8 月 11 日开盘的 1.69%持续攀升至周尾的 1.75%，股市强势上涨（沪指突破 3700 点创阶段新高）持续压制债市情 绪，悲观氛围蔓延。本周一，债市继续受制于权益行情，一路最高上行至 1.789%，只是在盘尾略有回落至 1.77%。总体来说随着权益的缓慢上 涨，十年期国债已经比前期市场认为的 1.70%的中枢上升了近 7 个 BP， 虽不是大跌，但也有一定回调幅度（回调幅度距一季度的 1.90%左右还有 距离）。 那么如何看待当前这种"股慢牛，债不连续大跌"的股债状态？自去年 924 大幅的总量货币政策下，股市先走出一波快牛后，迅速回落，随之而 来的就是债市利率的快速下行，年末在市场对适度宽松的货币政策误解 下，十年期国债利率与 OMO 利率一度只差 10BP，而 30 年国债利率与十 年期国债利率利差也快压缩接近 10BP，这显然不是货币当局和政府希望 看到的，于是今年以来，货币当局通过一季度的收紧流动性（当时确实也 有这个条件） ...

Report Industry Investment Rating - No information provided on the industry investment rating [1][2] Core Viewpoints - The short - term fluctuations caused by current policies are constrained within the interest rate central framework, and the bond market will return to the fundamentals in the medium term after short - term negative shocks [2][19] - In the context of continued loose funding, the bond market is expected to maintain an oscillation range of 1.65% - 1.75%. A decline below 1.65% or a new low requires a substantial domestic interest rate cut, so whether the Fed cuts interest rates in September is an important variable [2][19] Summary by Directory 1. Interest Rate Bond Last Week's Data Review - **Funding Rates**: DR001 remained at around 1.31% with a 1BP weekly fluctuation; R001 was around 1.35% and closed at 1.34% on August 8th with a 1BP weekly fluctuation. DR007 fell 2BP from 1.45% on August 4th to 1.43% on August 8th; FR007 dropped from 1.48% to 1.46% with a 2BP weekly decline [7] - **Open Market Operations**: The central bank's reverse - repurchase injection volume shrank to 1126.7 billion yuan, with a total maturity of 1660 billion yuan, resulting in a net capital injection of - 536.5 billion yuan [7] - **Sino - US Market Interest Rates**: The inversion of the 10 - year bond yield spread between China and the US slightly increased. The 6 - month SOFR rate in the US dropped from 4.10% on August 4th to 4.06% on August 8th, while the 6 - month SHIBOR rate in China remained stable at 1.61%. As of August 8th, the 6 - month interest rate spread was - 245BP with a slightly reduced inversion. The 2 - year and 10 - year bond yield spreads were - 236BP and - 258BP respectively, with a slightly increased inversion in the short - and long - term spreads [13] - **Term Spreads**: The term spreads of Chinese bonds and US bonds both slightly expanded. The 10 - 2 year spread of Chinese bonds increased from 28BP to 29BP; the 10 - 2 year spread of US bonds expanded by 1BP to 51BP [15] - **Interest Rate Term Structure**: The yield curve of Chinese bonds shifted downward by about 2BP - 3BP; the yield curve of US bonds flattened, with most maturities rising except for the 3 - month maturity, and the mid - term callback was relatively large [15] 2. Narrowing of CPI and PPI Month - on - Month Declines - **CPI**: In July, the year - on - year CPI was flat, down 0.1 percentage points from the previous month. The food item of CPI was - 1.6% year - on - year, down 1.3 percentage points from the previous month, while the non - food item was 0.3% year - on - year, up 0.3 percentage points from the previous month. The core CPI increased by 0.8% year - on - year, with the growth rate expanding for three consecutive months. The month - on - month CPI rose from - 0.1% to 0.4%, the highest since February this year. Service consumption, driven by the summer tourism season, had a significant month - on - month increase [20][21] - **PPI**: In July, the year - on - year decline of PPI remained at 3.6%, and the month - on - month decline narrowed by 0.2 percentage points to - 0.2%, the first narrowing since March this year. The narrowing of PPI month - on - month mainly relied on the recovery of producer goods ex - factory prices. The month - on - month decline in prices of multiple industries narrowed, which was consistent with the increase in commodity prices [28] 3. Key Bond Market Events Last Week - **US Employment Data and Fed Rate - Cut Probability**: The US non - farm payrolls in July increased by 73,000, lower than the expected 110,000, and the unemployment rate was 4.2%. The poor employment data increased the probability of a Fed rate cut in September [30] - **Bond Market Underwriting Regulations**: On August 7th, a notice on strengthening self - discipline management of bond underwriting quotes in the inter - bank bond market was issued, stating that lead underwriters should not bid for bond projects with underwriting fees below cost [32]

Economic Growth Indicators - The Guosen High-Frequency Macro Diffusion Index A remains negative, while Index B shows a seasonal decline of 0.43, indicating a slowdown in domestic economic growth momentum[1] - Investment sector sentiment has improved, while consumption and real estate sectors have seen a decline in sentiment[1] - Fixed asset investment year-on-year growth is at 2.80%, retail sales year-on-year growth is at 4.80%, and exports year-on-year growth is at 7.20%[3] Price Trends - Food prices have increased by approximately 1.0% month-on-month, while non-food prices have decreased by about -0.1%, leading to an overall CPI increase of 0.1% month-on-month and a year-on-year CPI drop to -0.3%[2] - The Producer Price Index (PPI) is expected to rise by 0.3% month-on-month, with a significant year-on-year recovery to -2.6%[2] Asset Price Predictions - Current domestic interest rates are low, and the Shanghai Composite Index is high; predictions indicate a rise in the ten-year government bond yield and a decline in the Shanghai Composite Index for the week of August 15, 2025[1][19] - The predicted ten-year government bond yield for the week of August 15, 2025, is 2.42%, while the Shanghai Composite Index is expected to be 3,196.51[20]

Core Viewpoint - The bond market has experienced adjustments due to rising bond yields influenced by "anti-involution" policies and increasing commodity prices, while the A-share market has shown signs of recovery, leading to a "see-saw" effect between stocks and bonds [1][3]. Group 1: Market Adjustments - Since July 21, bond market interest rates have risen sharply, with the 10-year government bond yield increasing from 1.66% to 1.75%, and the 30-year yield surpassing 1.99% [3]. - The adjustment in the bond market is attributed to multiple factors, including the introduction of "anti-involution" policies and rising expectations for industrial commodity prices, which have led to a passive adjustment in the bond market [3][4]. - As of August 1, the 10-year government bond yield has retreated to around 1.69%, and the 30-year yield has decreased to approximately 1.95% [3]. Group 2: Fund Performance - According to Wind statistics, from July 21 to August 1, the average return of pure bond funds, including medium- and short-term bond funds and bond index funds, was -0.12%, with nearly 80% of bond funds reporting negative returns [5][6]. - Nine funds experienced a decline of over 1%, with notable losses in funds such as Debon Ruiyu Rate Bond A (-1.37%), Huatai Baoxing Zunyi Rate Bond 6-Month Holding A (-1.30%), and others [5][6]. - The year-to-date returns for several funds have turned negative, with specific funds like Huatai Fenghe Pure Bond A and Guotai Huifeng Pure Bond A showing returns of -0.93% and -0.73%, respectively [6]. Group 3: Future Outlook - As market concerns ease, several institutions view the current bond market adjustment as a potential opportunity for reallocation [7]. - According to Fangzheng Securities, the bond market outlook remains optimistic, with expectations for a stable upward trend in August following the adjustment [7]. - Longcheng Securities suggests that the bond market will return to rationality with clearer policies, and the 10-year government bond yield is expected to stabilize around 1.7% [7].

Group 1 - The U.S. Treasury Department is set to auction a record $100 billion in 4-week Treasury bills on August 7, highlighting the government's significant borrowing needs and its ability to attract investors [1][2] - This record issuance is a $5 billion increase from the previous week and is part of the Treasury's efforts to replenish its General Account (TGA) following the recent increase in the debt ceiling [1][5] - The Treasury plans to continue relying on short-term debt instruments to cover budget deficits at least until 2026, with a focus on increasing the issuance of short-term securities [1][5] Group 2 - The Treasury will also issue a total of $125 billion in coupon-bearing securities this week, with the 3-year and 10-year notes reaching their highest single issuance levels in over a year [2][3] - Specific plans include the issuance of $58 billion in 3-year notes, $42 billion in 10-year notes, and $25 billion in 30-year bonds [3][4] - The Treasury's strategy indicates a continued emphasis on short-term debt, with short-term securities expected to comprise a larger portion of the total outstanding debt in the coming months [5][6] Group 3 - There is currently strong demand for short-term Treasury securities, supported by inflows into U.S. money market funds, which hold approximately $7.4 trillion in assets [6][7] - However, potential risks arise from the Federal Reserve's anticipated interest rate cuts, which may affect the ability of money market fund managers to absorb the supply of short-term securities [6][7] - Analysts predict that despite the current focus on short-term debt, the government will eventually need to increase the issuance of longer-term bonds to meet future borrowing demands [7]

Group 1 - The recent "anti-involution" sentiment is intensifying, with policy expectations rising, leading to improved market risk appetite and a positive impact on the Shanghai Composite Index, which has surpassed 3600 points [1] - Industrial product inflation expectations are being driven by both supply-side "anti-involution" and demand-side investments, indicating a correction in the fundamental outlook [1] - The issuance of long-term special government bonds faced a cold reception, and unexpected tightening of liquidity has reinforced a challenging environment for the bond market [1] Group 2 - The "anti-involution" initiative is gaining clarity with various legal, regulatory, and industrial measures being implemented, including the draft amendment to the Price Law, which aims to address low-price dumping [2] - The significance of "anti-involution" lies in breaking the negative feedback loop caused by persistently weak prices, which affects supply-demand balance and optimization [2] - Current economic challenges include weak demand and prices, leading to increased deflationary pressures and insufficient leverage for residents and enterprises, creating a negative feedback mechanism [2] Group 3 - The success of "anti-involution" relies heavily on demand-side recovery, with fiscal measures expected to shift from funding allocation to tangible project execution [3] - Compared to previous supply-side reforms, the current "anti-involution" approach is more market-oriented, with a focus on stabilizing demand while considering employment factors [3] - The policy direction emphasizes deepening reforms and high-quality development without resorting to excessive demand-side stimulus or redundant supply-side investments [3] Group 4 - Historical adjustments in the bond market due to supply-side structural reforms suggest that while industrial prices may rise, the demand side is crucial for determining long-term interest rate trends [4] - The relationship between interest rates and core CPI is significant, as core CPI reflects true demand strength, and the transmission of rising industrial prices to broader CPI is critical [4] - Current demand-side dynamics do not exhibit the same strength as previous housing reforms, leading to potential demand drag in the early stages of "anti-involution" [4] Group 5 - Recent risk warnings from exchanges and the implementation of position limits have cooled the commodity futures market, with significant corrections in previously high-performing products [5] - The bond market may see short-term rebound opportunities due to central bank liquidity support, despite the amplified adjustment pressures from bond fund redemptions [5] - Investors should remain cautious of potential redemption waves and monitor central bank actions to stabilize liquidity expectations, especially with upcoming trade negotiations [5]

Group 1: Report Industry Investment Rating - There is no information provided regarding the report industry investment rating in the given content. Group 2: Core Views of the Report - The current bullish foundation of the bond market is difficult to reverse in the short term. The impacts of anti - involution policies and the Yajiang Hydropower Project are long - term issues, and their short - term disturbances to the bond market are controllable [2]. - The implementation of reserve requirement ratio cuts and interest rate cuts in the second half of 2025 still has a probability [2]. - The central point of the appropriate yield of the 10 - year Treasury bond is around 1.7%. As long - term topics cool down, the yield of the 10 - year Treasury bond will return to the range of 1.65% - 1.70%. Although the Politburo meeting at the end of July and the China - US negotiations in early August may cause bond market fluctuations, the overall yield center is difficult to deviate significantly without new interest rate cut expectations [3]. Group 3: Summary by Directory 1. Interest Rate Bond Last Week's Data Review - **Funding Rates**: From July 21 to July 25, DR001 rose from 1.36% to 1.52%, with a 16BP increase in funding cost; R001 rose from 1.40% to 1.55%, with a 15BP increase. The 7 - day rates fluctuated more significantly across the month, with DR007 rising 16BP to 1.65% and FR007 rising 25BP to 1.75% [11]. - **Open Market Operations**: The central bank's reverse repurchase volume continued to increase, with a total of 1656.3 billion yuan. With a large total maturity of 1726.8 billion yuan, a net capital withdrawal of 7.05 billion yuan was finally achieved. The central bank also conducted a 400 - billion - yuan MLF operation on July 25 and a 495.8 - billion - yuan 7 - day reverse repurchase operation on July 28 [11][27]. - **Sino - US Market Interest Rate Comparison**: The inversion of the Sino - US bond yield spread widened. The US 6 - month SOFR rate fluctuated around 4.20%, while the Chinese 6 - month SHIBOR rate rose from 1.59% to 1.61%. As of July 25, the 6 - month interest rate spread between China and the US was - 259BP, and the inversion increased in July. The 2 - year and 10 - year spreads between Chinese and US bonds were - 247BP and - 266BP respectively, with a slight narrowing of the long - and short - term spreads during the week [17]. - **Term Spread**: The US bond term spread contracted, while the Chinese bond term spread changed little. The 2 - year Chinese bond yield was 1.43%, and the 10 - year was 1.73%, with the 10 - 2 - year spread slightly widening from 29BP to 30BP. The US bond yield continued to correct, with the 2 - year rising to 3.91% and the 10 - year to 4.40%, and the 10 - 2 - year term spread narrowing from 53BP to 49BP [20]. - **Interest Rate Term Structure**: The yields of both Chinese and US bonds corrected last week. The Chinese bond yield curve steepened, while the US bond yield curve flattened. The overall correction range of Chinese bond yields, except for the 3 - month period, was around 4BP - 6BP, and the middle - end of the US bond yield had the largest correction range, with a 5BP correction in the 3 - 5 - year period [21]. 2. Last Week's Key Bond Market Events - **LPR Remained Unchanged**: On July 21, the new LPR quotes released by the People's Bank of China remained unchanged, with the 1 - year variety at 3.0% and the 5 - year - plus variety at 3.5% [33]. - **Futures Market Cooling Measures**: The Guangzhou Futures Exchange and the Dalian Commodity Exchange issued notices to adjust trading limits. After the cooling measures were released, the trading volume of coking coal and lithium carbonate futures decreased by more than 20%, with the total trading volume decreasing by more than 1.7 million lots [27].