Workflow
债券收益率
icon
Search documents
开国元勋都未经历过的债市浩劫?美债遭遇“史上最惨五年”
Feng Huang Wang· 2025-08-05 07:23
最接近当前这一"史上最惨局面"的情况,还要追溯到遥远的1790年代,那时美国才建国十多年。当时美国开国元勋们不得不在一个新生且充满 不确定性的市场中进行债务重组,投资者要求为新兴的美利坚合众国所面临的风险,支付更高的收益率。 身为投资者,你是否还有印象,五年前的此时此刻,有着"全球资产定价之锚"的10年期美债收益率位于何方? 这个答案如今看来,似乎都已有些不可思议…… 是的,当市场如今沉迷于加密货币的暴涨,并竞相预测股市何时会再创历史高点时,德意志银行策略师Jim Reid则提醒着我们,就在数年前, 美债交易价格也还处于历史高位! 在Reid看来,8月4日其实是一个值得纪念的周年纪念日:恰好五年前,10年期美国国债收益率在这一天创下了历史新低。 正如Reid在他最近一期《让你惊叹的图表》中所展示的那样,自1790年有记录以来,10年期美国国债收益率从未像2020年8月4日达到的0.51% 那么低…… 而从如此低的票面利率起步,且自那以来收益率已上升了近400个基点。由于债券价格与收益率是负相关,收益率上升意味着券价的下跌。 Reid由此计算出,10年期美国国债(及其历史替代品)在这段时期创下了有记录以来最差的 ...
以史为鉴:恢复征收增值税的影响
KAIYUAN SECURITIES· 2025-08-04 15:00
固 定 收 益 研 究 2025 年 08 月 04 日 以史为鉴:恢复征收增值税的影响 固定收益研究团队 ——事件点评 陈曦(分析师) 刘伟(分析师) chenxi2@kysec.cn liuwei1@kysec.cn 证书编号:S0790521100002 证书编号:S0790524070008 2025 年 8 月 1 日,财政部、税务总局发布《关于国债等债券利息收入增值税政策的 公告》,宣布对 8 月 8 日及以后新发行的国债、地方政府债券、金融债券的利息收入, 恢复征收增值税。 2016 年政金债增值税的历史经验 关于新发行国债等利息收入恢复征收增值税,市场的一种理解为:未来新发行债 券收益率上行、存续债券收益率下行,新老国债利差扩大。 回顾历史,我们发现,2016 年出现过类似事件。2016 年 3 月 24 日,财政部、国 家税务总局发布《关于全面推开营业税改征增值税试点的通知》,债券利息需要 缴纳增值税,其中,国债利息收入免征增值税、但政金债没有明确说法,市场预 期政金债要缴纳增值税。 理论上,国债免征增值税、政金债征收增值税,则国债与政金债的利差应该扩大。 两者利差扩大可分为三种方式:一是国 ...
流动性周报:如何重新定义利率中枢?-20250804
China Post Securities· 2025-08-04 08:41
1. Report Industry Investment Rating There is no information provided regarding the report industry investment rating in the given content. 2. Core Viewpoints of the Report - The policy tone has been revealed, and expectations have been revised. The bond yield's阶段性 top is clear, with the 10 - year Treasury bond's mid - term top forming around 1.75% [3][10][12]. - Tax policy changes have a "one - time" impact on the nominal interest rate center. The expected tax burden spread is around 5BP, and it may affect the selection of the cheapest to deliver bond in far - month Treasury bond futures contracts [4][14]. - It is necessary to re - define the interest rate's fluctuation center. The 1.75% mid - term top of the 10 - year Treasury bond may be challenged but remains relatively reliable, and the 1.65% fluctuation center is still valid. There is a possibility of opening up downward interest rate space in the second half of the year [5][15][16]. 3. Summary According to the Directory 3.1 How to Redefine the Interest Rate Center? - **Policy Expectations and Bond Yield Top** - The prediction of policy deployment is mostly fulfilled. The demand - side pulling policy pattern remains unchanged, and there is no unexpected urban renewal policy. The "anti - involution" policy exists but with lower - than - expected progress and attention [3][10][11]. - The "anti - involution" policy has long - term impacts on price and interest rate pricing, but the results are not linearly the same as historical trends [11]. - The demand - side pulling policy maintains its pattern, and the pricing difference between commodities and bonds regarding demand - pulling policies should end with commodity pricing correction [11]. - The monetary policy's task of "lowering social comprehensive financing costs" persists. Liquidity is expected to remain stable and loose in Q3, and a new round of policy interest rate cuts and liquidity easing is in the making [11]. - From the perspective of policy expectations, the mid - term top of the 10 - year Treasury bond around 1.75% has formed [3][12][16]. - **Impact of Tax Policy Changes** - Starting from August 8, 2025, the interest income of newly issued Treasury bonds, local government bonds, and financial bonds will be subject to value - added tax. The actual tax burden for self - operated financial institutions is 6.34%, and for asset management institutions is 3.26% [4][13]. - The theoretical tax burden spread for long - duration bonds is 5 - 12BP, but it is expected to be around 5BP considering previous factors [4][13][14]. - Near - month Treasury bond futures contracts are less affected, while far - month contracts may see an impact on the selection of the cheapest to deliver bond, and tax burden differences can be considered in determining conversion factors [4][14]. - **Redefining the Interest Rate Fluctuation Center** - The interest rate increase since early July is driven by expectations of "anti - involution" and demand - side policies, with risk preference playing a role in asset re - pricing [15]. - Given the "high - first - then - low" trend of the fundamentals throughout the year, the 1.75% mid - term top of the 10 - year Treasury bond may be challenged but is still relatively reliable. The 1.65% fluctuation center is still valid. There is potential for interest rates to decline in the second half of the year [5][15][16].
每日债市速递 | 买国债的利息免税标准调整
Wind万得· 2025-08-03 22:31
1. 公开市场操作 央行公告称,8月1日以固定利率、数量招标方式开展了1260亿元7天期逆回购操作,操作利率1.40%,投标量1260亿元,中标量1260亿元。Wind数据显 示,当日7893亿元逆回购到期,据此计算,单日净回笼6633亿元。当周净投放69亿元。 8月4日至8日一周,央行公开市场将有16632亿元逆回购到期,其中周一至周五分别到期4958亿元、4492亿元、3090亿元、2832亿元、1260亿元。 (*数据来源:Wind-央行动态PBOC) 2. 资金面 跨月后尽管央行公开市场大额净回笼,银行间市场周五资金面依旧充裕。存款类机构隔夜回购加权利率(DR001)下行超8个bp,重回1.31%附近,7天期 则下滑13个bp。 海外方面,最新美国隔夜融资担保利率为 4.32% 。 (IMM) // 债市综述 // 3. 同业存单 全国和主要股份制银行一年期同业存单最新成交在1.635%位置,较上日微降。 (*数据来源:Wind-同业存单-发行结果) 4. 银行间主要利率债收益率涨跌不一。 (*数据来源:Wind-国际货币资金情绪指数、资金综合屏) | (*数据来源:Wind-成交统计BMW) | | ...
国债利息征税的逻辑与影响
SINOLINK SECURITIES· 2025-08-02 09:57
Tax Policy Changes - The Ministry of Finance and the State Taxation Administration announced that from August 8, 2025, interest income from newly issued government bonds, local government bonds, and financial bonds will be subject to VAT[3] - Interest income from bonds issued before this date will continue to be exempt from VAT until maturity[3] Estimated Tax Revenue - The estimated VAT revenue from interest income for the year is approximately 14.4 billion RMB[6] - Assuming 15 trillion RMB in new bond issuance from August to December 2025 at an average coupon rate of 1.75%, the taxable interest amount is estimated to be around 262.5 billion RMB, leading to a VAT revenue of about 14.4 billion RMB[6] Impact on Bond Yields - The introduction of VAT on new bonds is expected to push up the issuance yields, with a potential increase of 6-10 basis points for new 10-year bonds[13] - The tax burden will be shared between investors and issuers, limiting the actual increase in yields[13] Market Dynamics - Following the announcement, the yield on 10-year government bonds initially rose but then fell by 1 basis point, indicating strong buying interest in existing bonds[14] - The tax changes may narrow the yield gap between government bonds and credit bonds, potentially shifting some investment towards the credit bond market[14] Fiscal Policy Objectives - The tax reform aims to enhance fiscal revenue capacity and alleviate fiscal pressure, as the government debt-to-GDP ratio has risen significantly from 37.9% in 2019 to 65.3% in Q2 2023[18] - The reform is part of a broader effort to streamline the tax system and remove outdated tax exemptions, promoting a more modern tax structure[18]
就业报告远逊预期叠加美联储理事辞职 美债收益率1日暴跌
Sou Hu Cai Jing· 2025-08-02 08:29
Core Viewpoint - The latest U.S. non-farm payroll report for July fell significantly short of expectations, leading investors to reassess the likelihood of a Federal Reserve interest rate cut in September, resulting in a surge of safe-haven investments and a sharp decline in U.S. Treasury yields [1][3][4]. Group 1: Employment Data and Economic Impact - The U.S. non-farm payrolls increased by only 73,000 jobs in July, compared to the Dow Jones estimate of 100,000 [4]. - The unemployment rate rose to 4.2%, indicating a deteriorating labor market [4]. - Revisions to previous months' employment data showed a significant downward adjustment, with June's job additions revised down to 14,000 from 147,000, and May's from 144,000 to 19,000 [4]. Group 2: Treasury Yield Movements - Following the weak employment data, the 2-year Treasury yield fell by 25 basis points to 3.698%, marking the largest single-day drop since August 2, 2024 [1]. - The 10-year Treasury yield decreased by 14 basis points to 4.236%, while the 30-year yield dropped by 8 basis points to 4.837% [1]. - The yield spread between the 2-year and 10-year Treasuries widened by 9 basis points to 54 basis points [1]. Group 3: Federal Reserve and Monetary Policy - The resignation of Federal Reserve Governor Adriana Kugler has raised speculation about potential changes in the Fed's leadership and policy direction [3][4]. - Analysts suggest that the weak labor market data opens the door for a possible 50 basis point rate cut in September, similar to the previous year's meeting [4]. - The Federal Reserve maintained interest rates in its last meeting, but some members expressed a preference for a rate cut [4]. Group 4: Market Reactions and Future Outlook - The bond market experienced significant volatility, erasing all gains made in July within a single day [3]. - Concerns over the U.S. budget deficit are beginning to affect long-term Treasury yields, despite the traditional safe-haven status of U.S. bonds [6]. - The U.S. Treasury Department has significantly raised its borrowing expectations for the third quarter to $1.01 trillion, nearly doubling previous estimates [6].
欧元区债券收益率普跌 市场加大押注欧洲央行降息押注
news flash· 2025-08-01 13:06
Core Viewpoint - Eurozone bond yields fell across the board as the market increased bets on a potential interest rate cut by the European Central Bank (ECB) following disappointing U.S. non-farm payroll data [1] Group 1: Market Reactions - U.S. employment growth showed signs of slowing down, with previous values significantly revised down, indicating a notable cooling in the labor market [1] - This development has heightened expectations for a Federal Reserve rate cut next month [1] Group 2: Interest Rate Expectations - The probability of an ECB rate cut by the end of the year has risen to 60%, up from 50% prior to the data release [1] - The likelihood of a rate cut by March 2026 has increased to 80%, compared to the previous 65% [1] Group 3: Bond Yield Movements - The yield on Germany's 10-year government bonds decreased by 1.5 basis points to 2.68% [1] - The yield on Germany's 2-year bonds fell by 4 basis points to 1.91%, having previously reached a high of 1.967% since early April [1]
美国数据公布后,欧元区长期债券收益率回吐涨幅
news flash· 2025-08-01 12:38
Group 1 - The core point of the article indicates that after the release of U.S. data, the long-term bond yields in the Eurozone retracted their gains, with the German 10-year government bond yield increasing by 1.5 basis points to 2.71% [1]
英国债券延续涨势,10年期收益率下跌5个基点至4.58%。
news flash· 2025-07-30 10:45
英国债券延续涨势,10年期收益率下跌5个基点至4.58%。 ...
2/10年期德债收益率涨约2个基点
news flash· 2025-07-29 16:17
2/10年期德债收益率利差跌0.432个基点,报+76.355个基点。 周二(7月29日)欧市尾盘,德国10年期国债收益率涨1.9个基点,报2.708%,全天呈现出W形走势,美 股开盘后刷新日高,整体交投于2.683%-2.713%区间,临近结束交易出现一波短线拉升行情。 两年期德债收益率涨2.4个基点,报1.942%,日内交投于1.915%-1.942%区间,欧股开盘前后微幅转跌之 外,全天绝大部分时间处于上涨状态;30年期德债收益率涨0.9个基点,报3.204%。 ...