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固收周度点评:增值税调整,债券策略再思考-20250810

Group 1 - The bond market has shown a trend of narrowing volatility, influenced by factors such as weakening pressure from risk assets and seasonal liquidity easing [2][7][8] - The implementation of VAT adjustments on August 8 has led to the issuance of nine new local bonds, with results exceeding expectations, indicating a theoretical yield spread of about 10 basis points [3][24] - The actual yield spread between new and old bonds was approximately 4-7 basis points, reflecting a market pricing of around 3% VAT [3][25] Group 2 - The pricing reflects that the 6% VAT has not been fully absorbed by demand nor translated into increased fiscal interest expenses, primarily due to enhanced coordination between monetary and fiscal policies [4][27] - The adjustment in the curve compilation scheme means that new bonds will be given higher weight in valuation, impacting institutions managing net worth [4][28] - Institutions may shift their holdings towards new or actively traded bonds to mitigate potential mark-to-market losses from valuation discrepancies [4][29] Group 3 - The bond market is expected to continue in a volatile pattern, with a focus on structural opportunities, particularly in long-term bonds like the 30-year treasury [5][30] - The current yield spreads for various maturities indicate significant potential for capital gains, especially in the long end of the curve [5][31] - The relative value switching based on market issuance conditions is crucial for fine-tuning bond selection strategies [5][31]