点评报告：债券增值税新规后，积极捕捉信用“利得”

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The bond market witnessed a key policy adjustment from August 4 - 8, 2025. The new tax policy resumed the collection of VAT on the interest income of government bonds and financial bonds issued after August 8, leading to an expectation of an expanded spread between new and old bonds. Fundamental data such as flat CPI, a 3.6% decline in PPI, and a drop in PMI in July, along with the cooling of anti - involution market sentiment, support the bullish logic of the bond market. The yield of 10 - year treasury bonds is expected to fall to around 1.65%, and the yield of 5 - year secondary capital bonds of national and joint - stock banks may decline to 1.9%. Although the new tax policy exerts some pressure on new bonds, it forms a downward yield logic for old bonds, especially creating a strong incentive for institutions such as bank self - operations to scramble for old bonds. Credit bonds not affected by the new policy will also be indirectly benefited. Therefore, the current bond market bullish trend is considered the path of least resistance. In terms of credit strategies, it is recommended to increase the allocation of old financial bonds in mid - to - late August and actively capture capital gains opportunities brought about by the decline in credit bond yields [2][6]. - The tax - exemption advantage of non - financial credit bonds may lower the credit spread center. After the Ministry of Finance resumed the collection of VAT on the interest income of interest - rate bonds, the after - tax yield of non - financial credit bonds became more attractive due to their tax - exemption status, directly lowering the credit spread center. However, considering the sharing game of tax costs between issuers and investors, the decline in the spread may be less than the theoretical value. It is estimated that the yield of credit bonds may decline by 2 - 5bp, and in the long run, the allocation value of credit bonds will increase, but investors need to be vigilant about the phased disturbance of the new issuance interest rate of interest - rate bonds on the comparison advantage of credit bonds [2][7]. - The duration strategy adheres to the "neutral as the anchor". The fluctuation of market risk preference limits the stretching space of duration, and a 3 - 4 - year neutral duration is the optimal solution that combines offense and defense. Medium - duration credit bonds are less sensitive to capital interest rates and can avoid the repeated disturbances of the capital market in August. At the same time, medium - duration bonds have sufficient repair space and combine odds and liquidity. Long - duration varieties are restricted by the upward shift of the risk premium center after adjustment, supply pressure, and the cautious attitude of institutions, and it may be difficult to replicate the trend - like market of last year. It is recommended to appropriately control positions [8]. 3. Summary According to Relevant Catalogs Yield and Spread Overview - Yield and Changes of Each Term - The report presents the yields, weekly changes, and historical quantiles of various bond types (including treasury bonds, national development bonds, local government bonds, etc.) at different terms (0.5Y, 1Y, 2Y, 3Y, 5Y). For example, the 0.5 - year treasury bond yield is 1.34%, showing a - 3.4bp change compared to last week, with a historical quantile of 5.6% [15]. Yield and Spread Overview - Spread and Changes of Each Term - It shows the credit spreads, weekly changes, and historical quantiles of various bond types at different terms. For instance, the 0.5 - year credit spread of public non - perpetual urban investment bonds is 16bp, with a - 5.7bp change compared to last week and a historical quantile of 1.1% [17]. Credit Bond Yield and Spread by Category (Hermite Algorithm) - Urban Investment Bond Yield and Spread by Region Yield and Changes of Each Term - Displays the yields, weekly changes, and historical quantiles of public non - perpetual urban investment bonds in each province at different terms. For example, the 0.5 - year yield of public non - perpetual urban investment bonds in Anhui is 1.70%, with a - 6.4bp change compared to last week and a historical quantile of 0.0% [20]. Spread and Changes of Each Term - Presents the credit spreads, weekly changes, and historical quantiles of public non - perpetual urban investment bonds in each province at different terms. For example, the 0.5 - year credit spread of public non - perpetual urban investment bonds in Anhui is 23.66bp, with a - 6.4bp change compared to last week and a historical quantile of 0.0% [23]. Yield and Changes of Each Implicit Rating - Shows the yields, weekly changes, and historical quantiles of public non - perpetual urban investment bonds in each province at different implicit ratings. For example, the AAA - rated 0.5 - year yield of public non - perpetual urban investment bonds in Anhui is 1.73%, with a - 2.6bp change compared to last week and a historical quantile of 1.0% [28]. Spread and Changes of Each Implicit Rating - Displays the credit spreads, weekly changes, and historical quantiles of public non - perpetual urban investment bonds in each province at different implicit ratings. For example, the AAA - rated 0.5 - year credit spread of public non - perpetual urban investment bonds in Anhui is 23.10bp, with a - 2.5bp change compared to last week and a historical quantile of 21.5% [33]. Yield and Changes of Each Administrative Level - Presents the yields, weekly changes, and historical quantiles of public non - perpetual urban investment bonds at different administrative levels in each province. For example, the provincial - level 0.5 - year yield of public non - perpetual urban investment bonds in Anhui is 1.72%, with a - 2.1bp change compared to last week and a historical quantile of 1.0% [38].