2025年8月4日利率债观察：恢复征税后，新券和老券如何定价？

Group 1: Report Industry Investment Rating - Not provided in the content Group 2: Core Viewpoints of the Report - The direct and main impact of resuming taxation is to increase the yield of new bonds and slightly lower the yield of old bonds. The pricing of new bonds depends largely on the investor structure, while the pricing of old bonds depends on investors' expectations of new bond yields [2][9]. - For 10Y treasury bonds, the current yield on August 1st is 1.71%. Bank self - operating investors with a 6% VAT rate have an equivalent yield of 1.83% after tax resumption, a 12bp increase; asset management accounts with a 3% tax rate have an equivalent yield of 1.77%, a 6bp increase [2][9]. - The reasonable spread range between new and old bonds is (6bp, 12bp). When the spread is below 6bp, all investors tend to sell new bonds and buy old bonds; when it is above 12bp, all investors have the motivation to buy new bonds and sell old bonds; when it is between 6bp and 12bp, 6% - tax - rate investors tend to sell new bonds and buy old bonds, while 3% - tax - rate investors tend to buy new bonds and sell old bonds [2][10]. - If there are only 3% - or 6% - tax - rate investors, the yield increase is borne by new bonds, and old bonds remain at the current level. If both types of investors exist, the increase in new bond yields is hard to satisfy both, and 6% - tax - rate investors' tendency to buy old bonds will push old bond yields down [3][13]. - Old bond yields below 1.71% are pushed by 6% - tax - rate investors. Only when their proportion is moderate can they push old bond yields down from 1.71%. The theoretical limit of old bond yields is new bond yields - 12bp, and the actual downward range of old bond yields is very limited [4][15]. Group 3: Summary According to the Directory 1. How to Price New and Old Bonds after Resuming Taxation? - On August 1st, 2025, the Ministry of Finance and the State Taxation Administration announced that starting from August 8th, 2025, VAT on the interest income of newly issued national, local government, and financial bonds will be resumed [1][9]. - Taking 10Y treasury bonds as an example, different tax - rate investors have different equivalent yields after tax resumption. Bank self - operating investors with a 6% VAT rate have an equivalent yield of 1.83%, a 12bp increase; asset management accounts with a 3% tax rate have an equivalent yield of 1.77%, a 6bp increase [2][9]. - Four scenarios are established to study the dynamic relationship between new and old bond yields. In scenarios where only one type of tax - rate investor exists, old bond yields remain unchanged. In scenarios where both types exist, 6% - tax - rate investors' behavior may push old bond yields down [12][14]. - The theoretical limit of old bond yields is new bond yields - 12bp, and the actual downward range of old bond yields is limited, as shown in the graph of the relationship between new and old bond yields [15][16].