丨证券研究报告丨 固定收益丨点评报告 [Table_Title] 债券增值税新规后，积极捕捉信用"利得" 报告要点 [Table_Summary] 受税收新规影响，新发政府债及金融债利息恢复征收增值税，新老券利差预期扩大，但 7 月 CPI 持平、PPI 下降等基本面数据支撑债市做多逻辑，10 年期国债收益率或回落至 1.65%，5 年期 国股行二级资本债收益率或下行至 1.9%。税收新规利好存量老券及信用债，建议 8 月中下旬 增配金融债老券并捕捉信用债资本利得机会。非金信用债因免税优势压低信用利差中枢，但下 行幅度或低于理论值，预计信用债收益率下行 2-5bp，长期配置价值提升但需警惕利率债新券 发行利率扰动。久期策略建议保持 3-4 年中性久期，平衡流动性与修复空间。 分析师及联系人 [Table_Author] 赵增辉 赖逸儒 SAC：S0490524080003 SAC：S0490524120005 SFC：BVN394 SFC：BVZ968 请阅读最后评级说明和重要声明 %% %% research.95579.com 1 [Table_Title2] 债券增值税新规后，积极捕捉信用"利得" [T ...

Core Viewpoint - The People's Bank of China conducted a 7-day reverse repurchase operation of 544.8 billion yuan at an interest rate of 1.40%, maintaining the previous rate, while a new tax policy on bond interest income will take effect from August 8, 2025, impacting the bond market significantly [1][3]. Group 1: Market Impact - The new tax policy will impose a value-added tax (VAT) on interest income from newly issued government bonds, local government bonds, and financial bonds, with a 6% rate for financial institutions and 3% for public funds [1][3]. - Existing bonds issued before August 8, 2025, will continue to enjoy tax exemption until maturity, creating a tax advantage for these bonds and potentially widening the yield spread between new and old bonds by 5-10 basis points [3][4]. - The credit bond market may benefit as the tax burden on interest income remains unchanged, leading to a potential narrowing of credit spreads compared to interest rate bonds [3]. Group 2: Fund Management Implications - Public funds may gain a relative advantage over proprietary accounts due to the new tax structure, as public funds will face a lower VAT rate on interest income compared to proprietary accounts [3][4]. - The scarcity premium of tax-exempt existing bonds is expected to be released quickly, while the attractiveness of these bonds may lead to a decrease in their yields [4][5]. - New bonds may need to increase their coupon rates to compensate for the tax burden, with estimates suggesting a rise of approximately 10-11 basis points for 10-year government bonds to maintain net interest income parity with existing bonds [5].

Economic Indicators - The weekly ECI supply index is at 50.07%, down 0.03 percentage points from last week, while the demand index is at 49.92%, down 0.01 percentage points[1] - In July, the ECI supply index averaged 50.11%, down 0.05 percentage points from June, and the demand index averaged 49.92%, down 0.01 percentage points[1] - The real estate market saw a 18.6% year-on-year decline in sales area for new homes in 30 major cities, totaling 6.49 million square meters in July[1] Bond Market and Tax Adjustments - The ELI index is at -0.72%, up 0.09 percentage points from last week, indicating a slight recovery in liquidity for the real economy[1] - The adjustment of the bond value-added tax may lead to increased allocation of funds to non-financial corporate bonds and other real economy assets[1] - The People's Bank of China plans to expand the issuance of technology innovation bonds in the third quarter, focusing on structural monetary policy tools[1] Market Trends and Risks - The export index remains resilient, with port cargo throughput maintaining high levels, although there are concerns about the impact of new tariffs on re-export trade[1] - The report highlights risks including uncertainties in U.S. tariff policies and the sustainability of improvements in the real estate market[1]

Group 1: Report Industry Investment Rating - Not provided in the given content Group 2: Core Viewpoints of the Report - The restoration of VAT on some bonds is a one - time policy that does not affect the bond market trend. The new bond interest rate may increase by 2.8 - 5.4bps, and the new - old bond spread may be around 5.6 - 10.8bp [1][3] - The VAT restoration may increase total tax revenue by about 31.55 billion yuan. Banks' tax burden increase is the most obvious, and the tax scale increase of treasury bonds and local bonds is the most significant [2][16] - It is negative for newly - issued interest - rate bonds and newly - issued Tier 2 capital bonds, and positive for general credit bonds. It is beneficial for old bonds and negative for new bonds. Currently, the tax advantage of public funds in interest - rate bonds is strengthened, but there is a possibility of adjustment [3][18] - The central bank will optimize the bond market structure and institutional arrangements, and the tax system will be further optimized in the future. Whether the tax exemption advantage of public funds will be cancelled is a matter of future concern [4][19] Group 3: Summary by Related Catalogs Tax Policy Adjustment - Since August 8, 2025, VAT will be restored on the interest income of newly - issued treasury bonds, local government bonds, and financial bonds after this date. The interest income of bonds issued before this date will continue to be exempt from VAT until maturity [1][7] Bond Investment Tax Calculation - For general taxpayers, the VAT rate for bond investment is 6%, and the VAT and surcharges combined rate is 6.34%. The enterprise income tax rate is 25%, and assuming a 6% VAT rate, the enterprise income tax is 23.42% of the taxable interest or transfer spread [8] Previous Tax Preferences - Specific tax types: Interest income from treasury bonds and local government bonds is exempt from VAT and income tax; the income tax rate of railway bonds is halved; policy - financial bonds are exempt from individual income tax [9] - Specific institutions: Interest income from financial inter - bank transactions is exempt from VAT; public funds' interest income is exempt from income tax, and transfer income is exempt from VAT and income tax; asset management product managers use a simplified VAT calculation method [9] Post - adjustment Tax Rates - Public funds and other asset management products' VAT rate on interest income from newly - issued bonds after August 8, 2025 is 3.26%, while banks' self - operated investment in such bonds has a VAT rate of 6.34% [9][10] Impact on Different Institutions - It is generally negative for all types of institutions, with banks' self - operated tax cost increasing the most. The estimated VAT scale for banks' self - operated investment in newly - issued bonds is 232.73 billion yuan [14][15] Impact on Different Bond Types - Negative for newly - issued interest - rate bonds and newly - issued Tier 2 capital bonds, positive for general credit bonds. Negative for new bonds and positive for old bonds [3][18] Future Outlook - The central bank will optimize the bond market structure and institutional arrangements, and the tax system will be further optimized. Whether the tax exemption advantage of public funds will be cancelled needs to be continuously observed [4][19]