证券研究报告 固收定期报告 hyzqdatemark 2025 年 08 月 25 日 利差调整后，或存补涨机会 ——信用分析周报（2025/8/18-2025/8/22） 投资要点： 本周（8/18-8/22）市场概览： 1）一级市场：本周传统信用债发行量、净融资额环比上周有所增加，偿还量环比上 周有所减少；资产支持证券净融资额环比上周减少 167 亿元；本周 AA 产业债、AA+ 金融债加权平均发行利率下降，其余不同评级不同券种的发行成本有所上升。 联系人 2）二级市场：本周信用债成交量环比上周增加 811 亿元；换手率方面，本周信用债 换手率较上周有涨有跌。本周不同期限的信用债收益率均有不同程度上行，部分信 用债收益率调整幅度超过 10BP。总体来看，本周不同行业不同评级的信用利差大多 有不超过 5BP 的调整，少数行业信用利差有所压缩。具体来看，本周 AA 传媒、AAA 家用电器信用利差较上周分别走扩 5BP、5BP，AA+休闲服务、机械设备信用利差 较上周分别压缩 5BP、6BP。除此以外，其余各行业各评级的债券信用利差波动幅 度均不到 5BP。 3）负面舆情：本周共有 11 个主体的 97 只债项 ...

出于对日本财政状况和通胀持续的担忧，日本债市再陷抛售潮，长期国债收益率一度飙升至十 年以来高位。 8月21日，日本长期国债收益率集体飙涨。日本10年期国债收益率亦升至1.61%， 为2008 年10月以来新高 。与此同时，日本20年期国债收益率一度升至2.655%， 创下1999年以来 的最高水平 ；30年期国债收益率也攀升至3.18%，逼近7月份创下的3.2%的历史高点，显 示出收益率曲线整体上移的压力。 截至北京时间20点左右，日本10年期国债收益率报1.611%；日本20年期国债收益率有所回 落，报2.645%；30年期国债收益率继续上扬，报3.191%。 另一方面， 日本持续的通胀压力，增加了日本央行采取加息行动的可能性，也推高了债券收 益率。 与此同时，海外投资情绪似乎也受到影响。有数据显示，7月海外投资者对10年期以上 日本国债的净购买额降至4800亿日元（约合33亿美元），仅为6月份购买额的三分之一。 日本长期国债收益率飙升还会持续多久？若日本国债继续承压，日本政府会出手干预吗？ 记者丨 胡慧茵 编辑丨和佳 日债抛售压力何来？ 日本长期国债收益率在8月初曾短暂回落，之后持续飙升并达到历史高位。 ...

Core Viewpoint - The upcoming Jackson Hole speech by Federal Reserve Chairman Jerome Powell is highly anticipated, as it marks his eighth and final address at this significant event, with potential implications for financial markets [1][4]. Group 1: Market Reactions to Past Speeches - Historical data indicates that after Powell's previous seven speeches at Jackson Hole, the average increase in the 10-year U.S. Treasury yield was 21 basis points, while the S&P 500 index averaged a decline of nearly 2% [1]. - In 2022, following Powell's speech warning about the potential "pain" from tightening policies, the S&P 500 index plummeted by 12%, the dollar surged by 5%, and the 10-year Treasury yield skyrocketed by 75 basis points [1]. - Significant increases in bond yields were also observed after speeches in 2018, 2021, and 2023, with the 2023 speech leading to a rise of over 20 basis points in yields [3]. Group 2: Current Economic Context - Market expectations for the Fed's September monetary policy are intensifying, with an 85% probability of a 25 basis point rate cut, despite inflation remaining approximately 1 percentage point above the Fed's 2% target [4]. - The theme of this year's Jackson Hole conference focuses on the labor market's transformation, with analysts noting that a low unemployment rate does not necessarily indicate a hawkish stance from the Fed [4]. - Historical trends suggest that a rising unemployment rate could prompt the Fed to shift towards a more accommodative policy quickly [4]. Group 3: Powell's Final Address - This speech is significant as it is Powell's last before his term ends in May next year, occurring during a tumultuous period for the Fed [4][5]. - There is speculation that Powell may use this opportunity to reflect on his tenure and the lessons learned from the pandemic, particularly regarding inflation control [5][7]. - The pressure from former President Trump regarding interest rate cuts adds complexity to Powell's potential messaging during this farewell address [5][7].

来源：宏观对冲陈凯丰Kevin 其他方面，债券收益率下降，美元小幅上涨。 在政策方面，美联储负责监管的副主席鲍曼将于今日晚些时候发表讲话。鲍曼正在考虑在明年鲍威尔主 席任期结束后接任美联储主席一职。她表示支持今年至少降息三次，以响应特朗普总统降低借贷成本的 呼吁。 特别声明：以上内容仅代表作者本人的观点或立场，不代表新浪财经头条的观点或立场。如因作品内 容、版权或其他问题需要与新浪财经头条联系的，请于上述内容发布后的30天内进行。 利率期货显示，今年美联储将总共降息两次，每次25个基点，预计第一次降息将在9月。 本周的关键事件是8月21日至23日在怀俄明州杰克逊霍尔举行的美联储年度研讨会，届时鲍威尔的言论 将被仔细研究，以寻找任何有关美联储对经济和货币政策前景的线索。 ...

Report Information - Report Title: "Fixed Income Weekly: Have Large Banks Started Buying Long-Term Bonds? - Weekly Report on Bond Market Institutional Behavior (Week 1 of August)" [1] - Report Date: August 10, 2025 [2] - Chief Analyst: Yan Ziqi [3] - Analyst: Hong Ziyan [3] 1. Report Industry Investment Rating No industry investment rating information is provided in the report. 2. Report Core View - The bond market ran smoothly this week, with the 10-year Treasury yield slightly dropping to 1.69%, the funding rate staying around 1.42%, and the 5-year AAA medium - short note yield dropping to 1.91% [3][11] - Large banks continued to buy short - term bonds, and although they bought some long - term bonds, the volume was less than 10 billion yuan, so it's hard to say they have started buying long - term bonds. However, they have bought long - term local government bonds in multiple weeks since June, which may be related to duration balance and return requirements [3][4][12] - Funds further increased their purchases of credit bonds and Tier 2 capital bonds. With the easing of the funding situation, the bond market leverage ratio climbed, and there is still an opportunity for credit spreads to compress [4][13] 3. Summary by Directory 3.1 This Week's Institutional Behavior Review - **Yield Curve**: Treasury yields declined overall, with the 1Y yield down 2bp, 3Y down 3bp, 5Y down about 3bp, 7Y down 1bp, 10Y down 2bp, 15Y flat, and 30Y up 1bp. For CDB bonds, short - term yields declined and long - term yields increased, with the 1Y yield changing less than 1bp, 3Y down 1bp, 5Y down 1bp, 7Y changing less than 1bp, 10Y up 2bp, 15Y up 2bp, and 30Y up 1bp [14] - **Term Spread**: Treasury interest spreads rose, and the spreads widened overall; CDB bond interest spreads were stable, and the middle - term spreads widened [15][16][17] 3.2 Bond Market Leverage and Funding Situation - **Leverage Ratio**: It dropped to 107.51%. From August 4th to August 8th, it first decreased and then increased during the week. As of August 8th, it was about 107.51%, down 0.07 pct from last Friday and up 0.24 pct from Monday [21] - **Average Daily Turnover of Pledged Repurchase**: The average daily turnover of pledged repurchase this week was 8.1 trillion yuan, with the average daily overnight proportion at 89.87%. The average overnight turnover was 7.3 trillion yuan, up 1.53 trillion yuan month - on - month, and the overnight trading proportion was up 3.10 pct [27][28] - **Funding Situation**: Bank lending showed a fluctuating upward trend. As of August 8th, large and policy banks' net lending was 5.22 trillion yuan; joint - stock and urban/rural commercial banks' average daily net borrowing was 0.57 trillion yuan, and the net borrowing on August 8th was 0.74 trillion yuan. The net lending of the banking system was 4.47 trillion yuan. DR007 fluctuated upward, and R007 fluctuated downward [31] 3.3 Duration of Medium - and Long - Term Bond Funds - **Median Duration**: The median duration of medium - and long - term bond funds decreased to 2.81 years (de - leveraged) and 3.12 years (leveraged). On August 8th, the de - leveraged median duration was 2.81 years, down 0.02 years from last Friday; the leveraged median duration was 3.12 years, down 0.06 years from last Friday [45] - **Duration by Bond Fund Type**: The median duration (leveraged) of interest - rate bond funds decreased to 3.92 years, up 0.04 years from last Friday; the median duration (leveraged) of credit bond funds decreased to 2.89 years, down 0.07 years from last Friday. The de - leveraged median duration of interest - rate bond funds was 3.44 years, down 0.03 years from last Friday; the de - leveraged median duration of credit bond funds was 2.65 years, down 0.04 years from last Friday [48] 3.4 Category Strategy Comparison - **Sino - US Yield Spread**: It generally narrowed, with the 1Y narrowing by 8bp, 2Y by 10bp, 3Y by 6bp, 5Y by 9bp, 7Y by 7bp, 10Y by 6bp, and 30Y by 3bp [54] - **Implied Tax Rate**: It generally widened. As of August 8th, the CDB - Treasury spread widened by 2bp for 1Y, 2bp for 3Y, 1bp for 5Y, about 1bp for 7Y, 3bp for 10Y, about 2bp for 15Y, and less than 1bp for 30Y [55] 3.5 Bond Lending Balance Changes - On August 8th, the lending concentration of the active 10 - year Treasury bond increased, while the lending concentration trends of the second - active 10 - year Treasury bond, active 10 - year CDB bond, second - active 10 - year CDB bond, and active 30 - year Treasury bond declined. All institutions showed a decline [59]

Core Viewpoint - The recent 30-year U.S. Treasury bond auction revealed weak market demand, raising concerns about the overall interest in U.S. debt securities [1][2] Group 1: Auction Results - The U.S. Treasury issued $25 billion in long-term bonds with a winning yield of 4.813%, exceeding pre-auction market yields by over 2 basis points, indicating investors' demand for higher returns [1] - Following the auction results, the 30-year Treasury yield rose to 4.829%, reflecting investor disappointment and a decline in bond prices [1] - This marks the third consecutive weak auction this week, following lackluster demand in the 3-year and 10-year bond auctions [1] Group 2: Investor Participation - Primary dealers, seen as market "backstop buyers," subscribed to 17.5% of the issuance, the highest since August 2024, indicating they are taking on more of the subscription when other investors show less interest [2] - Indirect bidders, including foreign central banks, accounted for 59.5% of the auction, below the average of over 61% from the past three auctions [2] - Direct bidders, such as domestic pension funds, subscribed to 23%, slightly below recent averages [2] Group 3: Market Sentiment - The limited interest in the 30-year Treasury bonds is not surprising, as previous auctions in February, March, and May also faced weak demand due to the higher interest rate risk associated with long maturities [2] - The overall trend of weak demand across different maturities suggests that investors are dissatisfied with current Treasury yields, believing that fair value should be higher [2] - This situation poses challenges for the new administration, which is more focused on controlling federal borrowing costs, as weak demand may force the Treasury to issue bonds at higher rates, increasing government debt interest burdens [2]

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 ...

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].

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） | | ...

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]