债市策略思考：部分债券恢复征税对国债期货如何影响？

Core Insights - The introduction of a value-added tax on certain bonds is expected to impact the pricing of government bond futures, leading to an anticipated widening of the yield spread between new and old bonds [2][12][22] - Investors are advised to focus on the potential widening of the price spread between near-month and far-month contracts, particularly for T and TS varieties [1][26] Group 1: Impact of Tax Reinstatement - The reinstatement of the value-added tax on newly issued government bonds is likely to affect the pricing of deliverable bonds in the futures market, resulting in an expected widening of the yield spread between new and old bonds [2][12] - The after-tax yield reduction for various maturities is estimated to be in the range of 4.5 to 12 basis points [12][23] Group 2: New Bonds Eligible for Futures Delivery - New bonds that may be included in the delivery scope of government bond futures contracts are identified based on their issuance dates and remaining maturities [3][20] - Key upcoming issuances include a 30-year bond on August 22, a 10-year bond on August 22, and a 7-year bond on September 12, among others [16][18] Group 3: Price Impact on Futures Contracts - The pricing of government bond futures contracts will be influenced by whether new bonds become the cheapest-to-deliver (CTD) bonds, with expectations that new bonds will face price pressure due to increased CTD switching [4][22] - The probability of new bonds becoming CTD for T2603 and TS2603 contracts is higher, while near-month contracts are expected to be supported by older bonds [4][26]