信用利差校准术

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - Due to the introduction of VAT on new bonds, the calculated credit spreads are passively narrowed, making them incomparable with historical data. Two methods are presented to remove the impact of VAT and restore the real spread levels [2][11] - After adjusting for VAT, high - grade, medium - and short - term credit bonds' credit spreads relative to the same - maturity government bonds are at historically low levels, and profit - seeking should moderately shift to medium - and long - term bonds [33] Summary According to the Table of Contents I. Credit Spread Calibration Techniques 1. Tax Burden Compensation Back - Calculation Method - When VAT is introduced, investors require "tax burden compensation" in new bond issuance pricing to ensure after - tax real yields are not lower than old bonds. The ratio of pre - tax yields that makes the after - tax yields of new and old bonds equal is defined as the "coupon compensation multiple" [2][12] - For new bonds issued after August 8, 2025, banks' self - operation applies a 6% VAT rate, and asset management institutions and public funds apply a 3% VAT rate. After considering urban construction and education surcharges, the actual VAT rates are 6.34% and 3.26% respectively. The "coupon compensation multiple" for banks is about 1.07, and for asset management institutions and public funds, it is about 1.03 [13] - If the current secondary - market valuation yield curve fully reflects investors' tax burden compensation requirements, dividing the current valuation by the coupon compensation multiple can obtain the original valuation yield curve without the impact of VAT. For example, on January 23, the equivalent coupon compensation for 1 - 10 - year government bonds and policy - bank bonds with 6% and 3% interest VAT was calculated [18] - By dividing the ChinaBond valuation yield curve by the coupon compensation multiple, the credit spreads after removing the impact of VAT can be restored. As of January 23, the medium - duration general - credit bonds still have some room for decline compared with government bond yields [24] - Different types of bond investors have different tax - rate preferences and interest compensation requirements. Government bonds are mainly held by banks' self - operation with higher actual tax rates and higher after - tax interest compensation requirements, while policy - bank bonds and financial bonds are mainly invested by institutions with a 3% tax rate and lower interest compensation requirements [25] - After calibration, the credit spreads of high - grade, medium - and short - term credit bonds relative to the same - maturity government bonds are at historically low levels, and profit - seeking should shift to medium - and long - term bonds [33] - The tax compensation back - calculation method provides a theoretical framework, but in practice, it is difficult to verify whether "full compensation" has been achieved, and the compensation amount is affected by multiple factors and is dynamic [39] 2. New - Old Bond Spread Restoration Method - In the short term, by observing the yield difference between new and old bonds issued by the same entity with very close remaining maturities, the dynamic change of the market's pricing of VAT compensation can be more timely reflected [4] - For general non - financial credit bonds, the credit spread after removing the impact of VAT is equal to the credit spread calculated based on the ChinaBond yield curve plus the new - old bond spread of the same - maturity government bonds/policy - bank bonds. For Tier 2 and perpetual bonds, it is equal to the credit spread calculated based on the ChinaBond yield curve plus the new - old bond spread of the same - maturity government bonds/policy - bank bonds minus the new - old bond spread of the same - maturity financial bonds [4] - As of January 23, the adjusted spreads of 1 - 5 - year high - grade general - credit bonds and government bonds have shrunk to below the 15th percentile since 2024, while the spreads of 7 - year and above bonds are at a relatively higher historical percentile, with more sufficient risk compensation for extending the maturity [47] - The new - old bond spread restoration method has limitations. The observed spread may underestimate the real tax compensation requirement, and it is difficult to restore the spreads of some bonds due to the scarcity of comparable bond samples. This method is more suitable for capturing short - term trading opportunities and monitoring market sentiment [4][48]