“税费改革四部曲”系列报告之三：综合收益率视角下的机构配债逻辑

1. Report Summary - This report is the third in the "Four - part Tax Reform Series". It focuses on insurance institutions, asset management institutions (excluding public funds), and public funds, analyzing cost factors, policy impacts, and bond - allocation preferences in their comprehensive yield calculations [3][16]. 2. Core Views - Different institutions have different bond - allocation preferences due to varying factors affecting their comprehensive yields. Banks mainly invest in interest - rate bonds, insurance institutions prefer long - term bonds, and funds favor policy - financial bonds and credit bonds [3]. 3. Summary by Directory Insurance Institutions - Insurance institutions' bond - allocation decisions are affected by regulatory requirements. Their comprehensive yield calculation needs to include risk - solvency costs in addition to tax costs. They prefer medium - and long - term bonds with high safety [8]. - The core factors affecting risk - solvency costs are the credit - risk base factor, the comprehensive solvency ratio, and the annualized comprehensive investment yield. Government bonds have a credit - risk base factor of 0, while non - government bonds' factors increase with lower credit ratings and longer durations [8]. - Insurance asset management needs to distinguish between "general account funds" and ordinary asset - management products, but both need to consider risk - solvency costs, different from general asset - management institutions [8]. Asset Management Institutions (Excluding Public Funds) - The bond tax new rule implemented on August 8, 2025, prompts institutions to recalculate and evaluate the comprehensive yields of new and old bonds. There are three typical scenarios for yield balance: new bonds' yield increase, old bonds' yield decrease, and both new and old bonds' yield change. Different institutions' premium - compensation needs vary, determining the actual spread range between new and old bonds [9]. Public Funds - Public funds are affected by the fund - fee reform and the bond tax new rule. The fee reform increases short - term holding costs, and the tax new rule weakens their tax advantage in interest income but they still have tax - exemption advantages in capital gains. Banks may invest indirectly through funds, and there is a "complementary buying - selling" relationship between public funds and rural commercial banks in 7 - 10Y policy - financial bonds [10]. Comparison of Bond - Allocation Preferences of Multiple Institutions - Bank self - operation mainly invests in interest - rate bonds, and the proportion of indirect investment through funds may decrease in the future [11]. - Insurance institutions are long - term investors, preferring low - risk - solvency - cost interest - rate bonds and high - grade credit bonds to meet asset - liability matching and solvency requirements [11]. - Public funds prefer policy - financial bonds and credit bonds, especially medium - and short - term varieties. Money funds mainly allocate inter - bank certificates of deposit and policy - financial bonds with a maturity of less than 1Y [11].