恢复征税，远月10年期国债期货价格下跌

Core Viewpoint - The article discusses the significant policy adjustment in China's bond market regarding the taxation of interest income from newly issued government bonds, which is expected to impact the pricing and attractiveness of new versus existing bonds [6][7]. Group 1: Market Reaction - On August 4, the first trading day after the policy adjustment saw a clear divergence in the performance of government bond futures across different delivery months, with longer-term contracts showing weaker performance [2][4]. - The 30-year government bond futures for September 2025 rose by 0.34%, while the March 2026 contract saw a smaller increase of 0.13%. In contrast, the March 2026 10-year bond futures fell by 0.21% [4]. Group 2: Tax Policy Impact - Starting from August 8, 2025, interest income from newly issued government bonds, local government bonds, and financial bonds will be subject to value-added tax (VAT), while existing bonds will remain exempt until maturity [6]. - Analysts predict that the reintroduction of VAT will lead to a decrease in after-tax yields for financial institutions, with a projected decline of 10.8 basis points for 10-year government bonds [7]. Group 3: Market Dynamics - The new tax policy is expected to widen the yield spread between new and existing bonds, with estimates suggesting an increase of 5 to 10 basis points in the yield difference [7]. - The policy aims to prevent overheating in the bond market, as the overall yield trend for government bonds has been downward, with a notable increase in bond futures prices earlier in 2024 [9]. Group 4: Future Considerations - The adjustment in tax policy may enhance the pricing efficiency of government bonds by reducing tax discrepancies among different bond types, allowing for a more straightforward pricing mechanism based on credit spreads and liquidity premiums [9].