[Table_ReportInfo] 2025 年 10 月 20 日 证券研究报告•固定收益定期报告 债券 ETF 周度跟踪（10.13-10.17） 债券 ETF 出现年内最大赎回潮 摘要 西南证券研究院 [Table_Author] 分析师：杨杰峰 执业证号：S1250523060001 电话：18190773632 邮箱：yangjf@swsc.com.cn 分析师：叶昱宏 执业证号：S1250525070010 电话：18223492691 邮箱：yeyuh@swsc.com.cn 相关研究 请务必阅读正文后的重要声明部分 S 各类债券 ETF资金净流入情况：债券类 ETF全线净流出。上周利率债类 ETF、 信用债类 ETF、可转债类 ETF净流入资金分别-49.60亿元、-74.56亿元、-9.41 亿元，债券 ETF市场合计净流入金额-133.57亿元。国债类 ETF、科创债 ETF 周度净流出金额创新高。上周仅公司债 ETF、城投债 ETF获得小幅净流入， 其余类型债券 ETF净流入资金为负，其中科创债 ETF、国债类 ETF净流出金 额相对更多，分别为-49.52 亿元、-48.59 亿元。 ...

Core Insights - The announcement from the Ministry of Finance and the State Taxation Administration regarding the resumption of VAT on interest income from newly issued government bonds, local government bonds, and financial bonds starting August 8, 2025, is set to reshape the investment landscape in the bond market [1][2]. Policy Key Points - The effective date for the new tax policy is clearly defined: starting August 8, 2025, newly issued government bonds, local government bonds, and financial bonds will be subject to VAT, while previously issued bonds will remain tax-exempt [2]. - The definition of financial bonds is precise: it includes securities issued by financial institutions in the domestic interbank and exchange bond markets, which are held by financial institutions and have agreed-upon repayment terms [2]. - A differentiated tax rate structure is established: general taxpayers like banks will be taxed at 6%, asset management products will be taxed at a simplified rate of 3%, and individual investors will be exempt from tax on monthly interest income up to 100,000 yuan [2]. Public Fund Tax Advantages - The new policy enhances the competitive edge of public funds, as direct investments in bonds by banks, brokerages, and insurance companies will incur a 6% VAT, while public funds will benefit from a reduced tax rate of 3%, translating into a significant yield advantage [3]. - Existing bond ETFs that hold older bonds will enjoy tax-exempt status, potentially attracting new capital and driving up ETF prices, resulting in dual benefits of tax exemption and premium [3]. - There is an anticipated influx of new capital as institutions like bank wealth management products may increasingly channel investments through public funds to avoid higher tax rates, creating a strong capital absorption effect in the market [3]. Impact on Different Fund Types - Interest rate bond funds are expected to face pressure due to their high allocation to interest rate bonds (approximately 80% of interest income), leading to a projected decline in yields over the medium to long term [4]. - Credit bond funds will experience minimal impact from the new VAT policy, as their allocation to interest rate bonds is typically below 10%, resulting in minor yield fluctuations [4]. - Funds focused on older bonds issued before August 8 will benefit from tax exemption, making them highly attractive in the current market as a scarce investment option [4]. Investor Response Strategies - Investors in public funds should evaluate their bond portfolios, particularly if they are heavily invested in newly issued interest rate bonds, and consider switching to funds with a higher proportion of older bonds to mitigate yield risks [5]. - Given the limited impact of the new policy on credit bond funds, increasing allocations to these funds may be advisable, especially as the tax advantage for interest rate bonds diminishes [5]. - The declining post-tax yield of bonds highlights the investment value of high-dividend assets like bank stocks, which present significant post-tax yield advantages in the current low-interest-rate environment [5]. - The new policy also provides personal investors with a tax exemption opportunity, allowing monthly interest income up to 100,000 yuan to remain tax-free, effectively creating a substantial annual "interest tax exemption pool" of 1.2 million yuan per individual, which meets the needs of most retail investors [5]. Market Trends - As the August 8 deadline approaches, the yield curve is undergoing changes, with the 10-year government bond yield dipping below 1.7%, indicating increasing market interest in older bonds [6]. - Interest rate bond ETFs that focus on older bonds are likely to become a "tax haven" for institutional funds, while individual investors with monthly interest income below 100,000 yuan will also benefit from the tax exemption policy, gaining unexpected advantages from the tax reform [6].