Core Insights - The introduction of a value-added tax on certain bonds is expected to impact the pricing of government bond futures, leading to an anticipated widening of the yield spread between new and old bonds [2][12][22] - Investors are advised to focus on the potential widening of the price spread between near-month and far-month contracts, particularly for T and TS varieties [1][26] Group 1: Impact of Tax Reinstatement - The reinstatement of the value-added tax on newly issued government bonds is likely to affect the pricing of deliverable bonds in the futures market, resulting in an expected widening of the yield spread between new and old bonds [2][12] - The after-tax yield reduction for various maturities is estimated to be in the range of 4.5 to 12 basis points [12][23] Group 2: New Bonds Eligible for Futures Delivery - New bonds that may be included in the delivery scope of government bond futures contracts are identified based on their issuance dates and remaining maturities [3][20] - Key upcoming issuances include a 30-year bond on August 22, a 10-year bond on August 22, and a 7-year bond on September 12, among others [16][18] Group 3: Price Impact on Futures Contracts - The pricing of government bond futures contracts will be influenced by whether new bonds become the cheapest-to-deliver (CTD) bonds, with expectations that new bonds will face price pressure due to increased CTD switching [4][22] - The probability of new bonds becoming CTD for T2603 and TS2603 contracts is higher, while near-month contracts are expected to be supported by older bonds [4][26]

1. Report Industry Investment Rating - The rating for the bond market is "volatile" [4] 2. Core Viewpoints of the Report - Imposing VAT on treasury bond interest is bearish for the bond market in the long run. The theoretical negative impact on the 10Y treasury bond rate is about 10BP, but the actual impact should be less than the theoretical value [1][9] - The policy will cause price differentiation between new and old bond varieties in the short term, and existing bonds will gain a scarcity premium due to the tax - exemption advantage [1][9] - The policy will affect the CTD bonds of treasury bond futures, and the probability of CTD bond switching varies among different contracts [1] - The inter - period spread of treasury bond futures will be affected by the policy, and different strategies are recommended for different contracts [2][16][17] 3. Summary by Relevant Catalogs 3.1 Impact of Treasury Bond Interest Taxation on CTD Switching - **Policy Purpose**: The main purpose of imposing VAT on treasury bond interest is to improve the bond market price formation mechanism, and increasing fiscal revenue is a relatively secondary goal [8] - **Long - term Impact on the Bond Market**: After taxation, the coupon attractiveness of treasury bonds decreases, institutional bond - allocation willingness declines, and some funds flow to risk assets, leading to a decrease in bond - market sentiment. Newly issued bonds need to increase the coupon rate to compensate for the tax cost [9] - **Impact on CTD Bonds**: The CTD bonds of different contracts have different probabilities of switching to new bonds. For example, the CTD bonds of TL contracts are unlikely to switch; the 09 contracts of T, TF, and TS are also unlikely to switch; T2512 has a certain probability of switching; T2603 and TS2603 have a high probability of switching, and TF2603 has a certain probability of switching [1][12][15] 3.2 Impact of Treasury Bond Interest Taxation on Inter - period Spreads and Strategy Recommendations - **TL Contracts**: The spread of TL09 - 12 contracts has widened. The current spread has basically priced in existing factors, and subsequent trends are more affected by market sentiment. The spread is expected to rise in shock [16] - **T Contracts**: The T09 - 12 spread is high. A narrowing strategy has a certain cost - effectiveness, but continuous narrowing is not recommended. Short - term opportunities can be sought when the bond - market sentiment recovers [17] - **TF and TS Contracts**: The cost - effectiveness of the narrowing strategy for TF and TS09 - 12 contracts is lower than that of T contracts. If the market sentiment is weak, the inter - period spread may rise slightly [20][21] - **12 - 03 Contracts**: The arbitrage strategy for 12 - 03 contracts is not recommended. The 03 contracts have low liquidity, and the CTD bonds of most 2603 contracts have a high probability of switching to new bonds, resulting in a high theoretical central spread [26] - **Long - term Trend**: The central spread of inter - period spreads will gradually rise. The long - term upward logic of treasury bonds is changing, and the cost - effectiveness of going long on treasury bonds has decreased [27]

Group 1: Government Bond Tax Policy Impact - 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 value-added tax, reversing the previous tax exemption [2][3] - The market is particularly concerned about whether this change will lead to cross-period arbitrage opportunities or short squeeze phenomena in government bond futures, which hinges on whether there will be a switch in the cheapest-to-deliver (CTD) bonds [2][4] Group 2: CTD Bond Switching Dynamics - Generally, new bonds find it difficult to replace old bonds as CTD bonds unless they offer a yield premium of over 15 basis points, which is challenging to achieve in practice [3] - However, exceptions exist for T contracts and TS contracts, where new bonds can more easily become CTD bonds due to their shorter duration and lower required discount [3][4] Group 3: Cross-Period Arbitrage Opportunities - The potential for cross-period arbitrage in government bond futures depends on whether the CTD bonds for near and far month contracts switch, which could lead to price discrepancies [4] - The upcoming issuance of new 2-year and 7-year bonds on September 12 may trigger CTD bond switches, creating arbitrage opportunities between TS2512-TS2603 and T2512-T2603 [4] Group 4: Short Squeeze Potential - There is a possibility of a short squeeze in government bond futures if new bonds become CTD bonds, especially given the limited supply of new bonds initially [5] - The market's lack of experience with new bonds as CTD bonds could exacerbate the short squeeze pressure, particularly for contracts like T and TS2603, which are associated with new 7-year and 2-year bonds [5] Group 5: Domestic Weight Loss Drug Innovations - Domestic pharmaceutical companies are making significant progress in the development of innovative weight loss drugs, with several companies completing key clinical trials and receiving regulatory approvals [9][10] - The year 2025 is anticipated to be a pivotal year for the commercialization of competitive domestic weight loss drugs, with notable advancements in clinical data and market readiness [10][11] Group 6: Fund Holdings in Communication Sector - The fund holdings in the communication sector have shown a positive trend, with a 1.31 percentage point increase in the market value share, indicating a recovery in investor confidence [15] - The AI computing power supply chain remains a focal point for investment, with significant capital expenditures expected from major domestic internet companies [14][15]