Group 1 - The core viewpoint of the article is that the reintroduction of value-added tax (VAT) on certain bonds will impact the pricing of government bond futures, leading to an expected widening of the yield spread between new and old bonds [1][4][19] - The tax policy will reduce the after-tax yield of various government bonds by approximately 4.5 to 12 basis points, with the new bond to old bond yield spread expected to converge towards a lower limit of around 5 basis points [5][6][15] - The new bonds issued on August 22, including a 30-year bond and a 10-year bond, are likely to be included in the deliverable range for specific futures contracts [2][11][19] Group 2 - The impact of the tax policy on the pricing of government bond futures contracts is significant, with expectations that new bonds may become the cheapest-to-deliver (CTD) bonds for certain contracts, particularly the longer-dated ones [3][14][19] - The likelihood of new bonds becoming CTD bonds for the T, TF, and TS contracts is higher for the longer-dated contracts (2512 and 2603) rather than the near-month contract (2509) [18][19] - Investors are advised to monitor the potential widening of the price spread between near-month and far-month contracts, particularly for the T and TS contracts [19]

报告日期： 2025-08-05 [Table_Author] 首席分析师：颜子琦 执业证书号：S0010522030002 电话：13127532070 邮箱：yanzq@hazq.com [Table_Author] 分析师：洪子彦 执业证书号：S0010525060002 电话：15851599909 邮箱：hongziyan@hazq.com [Table_IndNameRptType]2 固定收益 固收周报 国债期货 CTD 券可能切换吗？ ——利率周记（8 月第 1 周） 主要观点： ⚫[Table_Summary] 关注跨期价差进一步走扩的可能 近期在部分债券增值税恢复征收影响下，投资者担心国债期货的 CTD 券发生 切换，新券发行所带来的票息补偿会使得国债期货价格基准发生变化，进而产 生可能下跌，本文聚焦于此进行探讨。 首先，中金所对可交割国债的发行期限与剩余期限有明确定义。2 年期国债期 货的可交割券发行期限不得超过 5 年，剩余期限介于 1.5 年至 2.25 年之间；5 年期国债的可交割券发行期限不得超过 7 年，剩余期限介于 4 年至 5.25 年之 间，10 年与 30 年国债期货的 ...