国开：国债利差的历史回顾与总结：国开债利差会收窄吗？

Report Overview - The report analyzes the historical trends and influencing factors of the spread between China Development Bank (CDB) bonds and Treasury bonds, and suggests investment opportunities based on the current situation [2][5][6] Industry Investment Rating - Not provided in the report Core Viewpoints - The current implied tax rate of CDB bonds is at a relatively high level, and there is limited room for further increase. As concerns about bond fund redemptions stabilize, the trading cost - effectiveness of CDB bonds emerges, and it is recommended to pay attention to the opportunity to participate in the narrowing of the CDB - Treasury bond spread [5][6][52] Summary by Directory 1. Historical Review and Summary of CDB - Treasury Bond Spread 1.1 Theoretical Basis: Tax and Liquidity - The spread between CDB and Treasury bonds stems from the difference in tax costs. Banks' investment in CDB bonds incurs a 25% income tax on interest, while Treasury bond interest is tax - free. The holder structure makes CDB bonds more trading - oriented, resulting in a liquidity difference from Treasury bonds. The actual spread is usually lower than the 25% theoretical tax burden, showing the characteristics of narrowing in a bull market and widening in a bear market [9] - The relative change in the supply of CDB and Treasury bonds also affects the spread. For example, an increase in Treasury bond supply may widen the spread [10] 1.2 Historical Trend Review: General Rule and Exceptions - The Asset Management New Regulation is a key dividing line for the CDB - Treasury bond spread. Before that, the spread fluctuated within a range and mean - reverted; after that, it broke through the lower limit and was extremely compressed. Since the second quarter of this year, the spread has widened again. In 2021, after the end of the transition period of the Asset Management New Regulation, the spread between 10Y CDB and Treasury bonds was compressed to less than 5BP in the first quarter of this year, and then widened, especially in September when CDB bonds "over - declined" due to the expected adjustment of the fund sales fee rate [18] - Before 2023, CDB bond rates dominated the spread trend and were closely related to the bond market. After 2023, the rule of "narrowing in a bull market and widening in a bear market" still exists, but the explanatory power of CDB bond rates has weakened, and there are periods of divergence between the spread and rates. The increase in the frequency of the rule "failure" is due to the limited downward space of CDB bond rates after the implied tax rate was compressed to a historical low and the improved liquidity of Treasury bonds in the past two years [23][28] - In several periods after 2023 when the rates and implied tax rates deviated: - From January to April 2023, the bond market rates first oscillated at a high level and then declined, and the 10Y CDB bond implied tax rate rose from 4.2% on January 4, 2023, to 6.2% on April 25, 2023. This may be because the trading sentiment was still weak, and the allocation disks preferring Treasury bonds dominated the market [29] - From September to October 2023, the 10Y Treasury bond rate increased more than the 10Y CDB, driving the implied tax rate to drop significantly from 5.1% on August 31, 2023, to 1.1% on October 30, 2023. This was affected by the supply pressure of Treasury bonds. The improvement in Treasury bond liquidity and the pre - tax assessment of some allocation disks led to a weakening of the preference for CDB and Treasury bonds among institutions. The trading disks sold more Treasury bonds, and the allocation disks had a strong ability to absorb CDB bonds [34] - From November 2023 to January 2024, the bond market rates first oscillated narrowly and then declined significantly, but the 10Y CDB implied tax rate rose from 1.1% on October 30, 2023, to 6.7% on February 7, 2024, mainly because the liquidity of Treasury bonds improved significantly and was favored during the bond market recovery period [37] 2. Current Implied Tax Rate at a Relatively High Level, Trading Space for CDB Bonds Opened - As of October 16, the spread between 10Y CDB and Treasury active bonds was 18BP, reaching the 82% quantile since 2022; the implied tax rate was 8.9%, at the 98% quantile since 2022. The implied tax rates of other - term CDB bonds are also at relatively high historical levels [47] - Since July, funds have continuously sold CDB bonds, and the selling period has spread from 7 - 10Y to 5 - 7Y. The net selling of long - term Treasury bonds has eased. The current 8.9% implied tax rate reflects the previous pessimistic expectations of the bond market, and there is limited room for further increase. The implied tax rates of 5 - 10Y CDB bonds have basically returned to the level before the 2022 Asset Management New Regulation, and considering the current development of the public fund industry and the activity of the bond market trading disks, there is limited room for the implied tax rate to continue rising [5][49][52] - The trading cost - effectiveness of CDB bonds is emerging. Since October, the bond market has been oscillating and recovering, and institutions' performance has stabilized. Concerns about bond fund redemptions have decreased. It is recommended to pay attention to the trading opportunity of the narrowing of the CDB - Treasury bond spread [52]