恢复征税，远月10年期国债期货价格下跌

Core Viewpoint - The bond market in China is experiencing significant changes due to the reintroduction of value-added tax (VAT) on interest income from newly issued government bonds, which is expected to widen the yield spread between new and existing bonds [1][4][5]. Group 1: Market Performance - On August 4, the first trading day after the policy adjustment, the performance of government bond futures showed clear differentiation among different delivery months, with longer-term contracts underperforming [1][2]. - The 30-year government bond futures for September 2025 rose by 0.34%, while the March 2026 contract saw a weaker increase of 0.13% [2]. - The 10-year government bond futures for September 2025 increased by 0.10%, while the March 2026 contract declined by 0.21% [2]. Group 2: Tax Policy Impact - Starting from August 8, 2025, newly issued government bonds, local government bonds, and financial bonds will be subject to VAT, while previously issued bonds will remain exempt until maturity [4][6]. - The VAT rate for financial institutions will be 6%, while broader fund products will face a 3% rate [4]. - Analysts predict that the reintroduction of VAT will lead to a 10.8 basis point decrease in after-tax yields for financial institutions investing in 10-year government bonds, and a 5.5 basis point decrease for broader fund products [4]. Group 3: Market Dynamics - The new tax policy is expected to increase the yield spread between new and existing bonds by 5 to 10 basis points, with new bonds likely experiencing a greater increase in yield due to the added cost of taxation [5][6]. - The policy aims to prevent overheating in the bond market, which has seen significant price increases in 2024 [6]. - The adjustment in tax policy may enhance the pricing efficiency of government bonds, allowing for a more straightforward assessment of credit spreads and liquidity premiums without the need to factor in tax differentials [6].