行业 国债日报 日期 2025 年 8 月 7 日 研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 研究员：黄雯昕(国债集运) 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 研究员：聂嘉怡(股指) 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 宏观金融团队 请阅读正文后的声明 当日行情： 资金宽松有支撑但商品回暖压制，国债期货窄幅震荡。 利率现券： 银行间各主要期限利率现券收益率小幅回落，长端下行幅度在 1bp 左右，至 下午 16：30，10 年国债活跃券 250011 收益率报 1.6975%下行 0.65bp。 资金市场： 月初资金平稳宽松，资金利率窄幅变动。今日有 3090 亿元逆回购到期，央行 开展了 1385 亿元逆回购操作，实现净回笼 1705 亿元。银行间资金情绪指数平稳， 短端资金利率窄幅变动，其中银存间隔夜加权在 1.315%附近窄幅变动，7 天 ...

热点报告-国债期货 国债利息征税对跨期价差的影响 [Table_Summary] ★国债利息征税对 CTD 切换的影响 对国债利息收增值税长期利空债市。理论上看，该政策对于 10Y 国债利率的利空影响约在 10BP 左右，不过考虑到政策仍在 引导社会综合融资成本下行，实际利空影响应小于理论值。该 政策在短期内会引发新老券种价格分化，存量债券因免税优势 将获得稀缺性溢价。 国 债 国债利息征税政策会对期货的 CTD 券产生影响。理论上看，久 期相同的债券，利率更高的容易成为 CTD 券。新券利率更高、 价格更便宜，容易成为 CTD 券，但各个合约的 CTD 券能否切 换成新券尚不确定，需要对新券的久期、票面利率进行评估。 期 货 综合来看：1）TL 三个合约的 CTD 券基本不会切换为新券。2） T、TF 和 TS 的 09 合约 CTD 券基本不会切换为新券。3）T2512 合约 CTD 券有一定概率切换为新券，TF12 和 TS12 合约 CTD 券 切换为新券的概率偏低。4）T2603 和 TS2603 合约的 CTD 券切 换为新券的概率较高，TF2603 合约 CTD 券有一定概率切换为新 券。 ★国 ...

Policy Interpretation - The new tax policy on bond interest is not a "one-size-fits-all" approach, as it applies only to new bonds issued after August 8, while previously issued bonds remain tax-exempt, preventing panic selling among existing investors [2] - This strategy aims to increase future debt financing costs without causing immediate losses to current investors, reflecting a controlled and precise approach by the government [2] Tax Burden Impact - The 3% value-added tax may seem minor, but for large principal investors, the impact is significant. For instance, a holder of 1 million yuan in government bonds with a 3% annual interest rate will see a reduction in net income by 900 yuan due to the tax, resulting in an effective yield reduction [3] - For investors holding 10 million yuan in bonds, the annual loss could reach 9,000 yuan, which is comparable to several months' salary [3] Affected Groups - The policy primarily affects three groups: 1. High-net-worth bond investors, particularly retirees relying on bond interest for living expenses, who may face significant income reductions [4] 2. Financial institutions like banks and insurance companies, which hold large amounts of bonds and may respond by lowering deposit rates or raising loan rates, impacting the general public [4] 3. Local government financing platforms, which will see increased borrowing costs and may need to raise bond interest rates to attract investors, affecting fiscal expenditures and local tax structures [4] Underlying Reasons for Policy - The government is not merely responding to a cash shortage; the decision is influenced by several factors: 1. There is an objective fiscal pressure, with a budget deficit exceeding 6 trillion yuan for 2024, and while bond interest income is not substantial, it can help alleviate some fiscal strain [6] 2. The bond market has matured, reducing the need for tax exemptions to attract investors, as the market can self-regulate [6] 3. The restoration of tax on bond interest addresses tax equity, as other investment income types are taxed, promoting a fairer investment environment [6] Response Strategies - Investors are advised to consider three strategies in light of the new policy: 1. Purchase old government bonds issued before August 8 to benefit from tax-exempt interest [6] 2. Diversify asset allocation to reduce reliance on government bonds, considering other investment products for risk mitigation [6] 3. Focus on after-tax yield when evaluating investments, ensuring a rational comparison of different investment products [6] Deep Signals - The policy indicates a shift in macroeconomic policy, suggesting: 1. A tightening of previously loose monetary policies, with fewer favorable policies expected in the future [7] 2. The breaking of the "investment guarantee" perception of government bonds, requiring investors to reassess risk [7] 3. Increased pressure on asset depreciation due to inflation and reduced bond interest, necessitating sound financial planning to avoid potential losses [7]

Group 1 - The announcement from two national departments indicates that starting from August 8, 2025, interest income from newly issued government bonds, local bonds, and financial bonds will be subject to value-added tax again [1] - The decision to reinstate the tax is based on the current lack of necessity to encourage bond purchases through tax reductions and aims to adjust the funding structure to prevent excessive concentration of funds in interest-bearing bonds [1] Group 2 - Berkshire Hathaway reported a revenue of $92.515 billion for Q2 2025, a decrease from $93.653 billion in the same period last year [2] - The net income attributable to Berkshire shareholders fell to $12.370 billion, down 59% from $30.348 billion year-over-year [2] - Operating profit for Berkshire decreased by 4% year-over-year to $11.16 billion, primarily impacted by a decline in insurance underwriting business, while profits from railroads, energy, manufacturing, services, and retail sectors showed growth compared to the previous year [2] Group 3 - A recent study from Yale University revealed that as of July 31, the average effective tariff rate on imported goods in the U.S. reached 18.3%, the highest level in 91 years [3] - Consumers may face price increases of 40% for footwear and 38% for clothing in the short term due to these tariffs [3] - Concerns regarding the future of the U.S. economy were also highlighted in Berkshire's financial report [3]

1. Report Industry Investment Rating - The investment rating for treasury bonds is "oscillation" [4] 2. Core Viewpoints of the Report - This week, the sentiment in the bond market improved marginally. Looking ahead to next week, the overall liquidity will be balanced, and the equity market lacks catalysts for speculation, creating a favorable environment for the bond market. However, after the policy of levying VAT on treasury bond interest was announced, the bond market is expected to rise first and then fall [14]. - In the short term, the policy may cause price differentiation between new and old bond issues. In the long term, it is negative for the bond market as it reduces the attractiveness of treasury bond coupons, diverts funds to riskier assets, and requires new bonds to offer higher coupon rates [2][16]. 3. Summary by Directory 3.1 One - Week Review and Outlook 3.1.1 This Week's Trend Review - From July 28 to August 3, treasury bond futures fluctuated and rose. As of August 1, the settlement prices of the two - year, five - year, ten - year, and thirty - year treasury bond futures contracts were 102.352, 105.730, 108.450, and 119.090 yuan, up 0.026, 0.145, 0.255, and 0.970 yuan respectively from the previous weekend [13]. 3.1.2 Next Week's Outlook - The market is expected to rise first and then fall due to the policy of taxing treasury bond interest. It is recommended that trading positions gradually withdraw from long positions, consider short - hedging strategies for long - term bonds, and construct steepening curve strategies such as 10Y - 1Y if risk appetite is strong after key time points [2][16][19]. 3.2 Weekly Observation of Interest - Rate Bonds 3.2.1 Primary Market - This week, 92 interest - rate bonds were issued, with a total issuance of 6724.35 billion yuan and a net financing of 5532.57 billion yuan. The net financing of treasury bonds increased slightly, while that of local government bonds decreased, and the net financing of inter - bank certificates of deposit increased [17][19][20]. 3.2.2 Secondary Market - Treasury bond yields declined. As of August 1, the yields of 2 - year, 5 - year, 10 - year, and 30 - year treasury bonds were 1.42%, 1.57%, 1.71%, and 1.95% respectively, down 1.29, 5.66, 3.17, and 3.70 basis points from the previous weekend [25]. 3.3 Treasury Bond Futures 3.3.1 Price, Trading Volume, and Open Interest - Treasury bond futures fluctuated and rose. The trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 40590, 71737, 88205, and 156603 contracts respectively, with changes of - 6031, - 10064, - 14010, and + 366 contracts from the previous weekend. The open interests were 111227, 195029, 232880, and 160133 contracts respectively, with changes of - 7224, - 12580, - 6104, and + 3518 contracts from the previous weekend [34][37]. 3.3.2 Basis and IRR - The basis of futures generally fluctuated within a narrow range, and the IRR of the CTD bonds of each contract was between 1.4% - 1.8%. The current certificate of deposit rate is between 1.5% - 1.6%, so there are relatively few opportunities for cash - and - carry strategies [41]. 3.3.3 Inter - Delivery and Inter - Product Spreads - As of August 1, the inter - delivery spreads of the 2509 - 2512 contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were - 0.042, - 0.055, + 0.025, and + 0.270 yuan respectively, with changes of + 0.040, + 0.005, + 0.040, and + 0.050 yuan from the previous weekend [44][46]. 3.4 Weekly Observation of the Liquidity Situation - This week, the central bank's net reverse - repurchase injection was 69 billion yuan. Interest rates such as DR007 and R007 declined slightly, and the average daily trading volume of inter - bank pledged repurchase decreased [49][51][53]. 3.5 Weekly Overseas Observation - The US dollar index strengthened, and the yield of 10 - year US treasury bonds declined. As of August 1, the US dollar index rose 1.04% to 98.6900, and the yield of 10 - year US treasury bonds was 4.23%, down 17 basis points from the previous weekend [58]. 3.6 Weekly Observation of High - Frequency Inflation Data - This week, industrial product prices fell across the board, and agricultural product prices mostly declined. As of August 1, the Southern China Industrial Product Index, Metal Index, and Energy and Chemical Index were 3680.14, 6362.56, and 1713.91 points respectively, down 143.52, 231.91, and 74.12 points from the previous weekend [62]. 3.7 Investment Recommendations - It is expected that the market will rise first and then fall next week. Trading positions are advised to gradually withdraw from long positions, pay attention to short - hedging strategies for long - term bonds, and consider constructing steepening curve strategies after key time points [2][16][19].