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券种不同影响各异——税收对债券投资的影响李蓉刘怀元2010.72申万研究结论及投资策略国债金融债信用债高票息优--低票息-优优实际税率隐含税率-优-实际税率隐含税率优--国债：高票息的国债具有正溢价收益，使同期限高票息国债优于低票息国债。应税债券：低票息应税债券具有正溢价收益，使同期限低票息应税债券优于高票息应税债。投资：如果投资者的实际税率高于隐含税率，则投资国债优于金融债。反之，投资于金融债更优。3债券税收征收：体系尚不完善2.票面利率与实际收益率：免税和应税债券影响各异3.不同主体、不同策略：隐含税率决定优劣主要内容主要内容4债券税收的征收方式基金涉及税收：银行交易性账户：银行持有至到期账户：注：营业税中包括0.5%的附加。银行持有至到期账户的价差指到期偿付金额与买价的差。利息收入价差利息收入价差国债免免免不征金融债免免免不征其他债券免免20%不征债券类型个人所得税营业税利息收入价差利息收入价差国债5.5%5.5%免25%金融债5.5%5.5%25%25%其他债券5.5%5.5%25%25%债券类型营业税所得税利息收入价差利息收入价差国债免-免25%金融债免-25%25%其他债券5.5%-25%25%债券类型营业税所得税5注：买价：购买价格减去交易费用-持有期间收到的利息。卖价：卖出价格加上交易费用。1.2债券税收的征收方式——会计与税法的处理会计税法会计税法会计税法交易费用计入当期损益计入投资成本计入取得成本计入投资成本计入取得成本计入投资成本利息收入按收到利息征税按收到利息征税实际利率法摊销可按实际利率法或实际收到利息实际利率法摊销可按实际利率法或实际收到利息公允价值变动计入当期损益不做调整计入资本公积不做调整不做调整不做调整处置收益价格-账面价值卖价-买价价格-账面价值，转回资本公积卖价-买价无不做调整或将价差计入应纳税额可供出售类金融资产交易性金融资产持有至到期会计科目会计处理与债券征税的方式对比（以银行为例）6债券税收征收：体系尚不完善2.票面利率与实际收益率：免税和应税债券影响各异3.不同主体、不同策略：隐含税率决定优劣主要内容主要内容7“溢价收益”：衡量平价债券和非平价债券之间税后收益之间的差别。当债券存在溢价时，即市场价大于面值，则到期时的负差（面值-买价0）将抵减投资者的税收，即产生正的“溢价收益”。溢价收益的估算公式见附录。2.1国债：票面利率越高，溢价收益越高-60-40-200204060801.0%1.5%2.0%2.5%3.0%3.5%4.0%4.5%5.0%5.5%6.0%溢价效应票面利率越高，溢价收益越高（市场利率2.5%，期限5年）期限越长，溢价收益越不显著（市场利率2.5%）-8.0-6.0-4.0-2.00.02.04.06.08.0135710152030溢价效应（上浮10%）溢价效应（下浮10%）资料来源：申万研究8080014和080022谁更优？2.1国债：税前收益高不代表税后收益也高080014税前收益低080014税后收益高2.0%2.2%2.4%2.6%2.8%3.0%3.2%3.4%2008-11-282008-12-282009-1-282009-2-282009-3-282009-4-282009-5-282009-6-282009-7-282009-8-282009-9-282009-10-282009-11-282009-12-282010-1-282010-2-282010-3-282010-4-282010-5-282010-6-28-35-30-25-20-15-10-5051015080022税后收益080014税后收益080022-080014（BP,右）2.0%2.2%2.4%2.6%2.8%3.0%3.2%3.4%3.6%2008-11-282009-1-282009-3-282009-5-282009-7-282009-9-282009-11-282010-1-282010-3-282010-5-28-100102030405060080014税前收益080022税前收益080022-080014（BP，右）代码起息日到期日票面利率剩余期限到期收益率税后收益溢价收益（BP）类型0800222008-11-242015-11-232.71%5.402.69%2.70%0.32国债0800142008-8-182015-8-174.23%5.132.56%2.91%34.68国债资料来源：申万研究9如果期限小于1年，根据人民银行公布的计息规则，通过计算可以得到债券的溢价效益为0。对于期限大于1年的贴现债券：持有期间不付息，只是在期末时才获得收益，即将税收的上缴递延到了期末，相对于平价债券具有额外的收益。2.2应税贴现债券：“贴现”越明显，溢价收益越高市场收益率越高，贴现债券的溢价收益越大（期限5年）期限越长，溢价收益越大（市场收益率5%）0123456789102.0%2.5%3.0%3.5%4.0%4.5%5.0%5.5%6.0%6.5%7.0%050100150200250300350溢价效应（BP，左）斜率（右）0123456780.30.50.81.01.52.02.53.03.54.04.55.05.56.06.57.07.58.08.59.09.510.0年限0.700.720.740.760.780.800.82溢价效应（BP，左）斜率（右）资料来源：申万研究10一方面，对于应税附息债券来说，高票息的债将在付息日上缴更多的税收。另一方面，高票息债会产生负差，在到期日会抵减投资者的应纳税额。综合来看，一般情况下高票息债将产生负溢价收益。2.3应税附息债券：前面多征了，后面补回来票面利率越高，溢价收益越小（市场利率5%，期限5年）期限越长，溢价收益越显著（市场利率5%）-15-10-50510152.0%2.5%3.0%3.5%4.0%4.5%5.0%5.5%6.0%6.5%7.0%7.5%8.0%8.5%9.0%9.5%10.0%-390-340-290-240-190-140-90-40溢价效应（BP，左）斜率（右）-6.0-4.0-2.00.02.04.06.0135710152030期限溢价效应（上浮10%）溢价效应（下浮10%）资料来源：申万研究11070229和100401谁更优？当前相对价值已趋于合理。2.3应税附息债券：票面利率越高越好？070229和100401税前收益070229和100401税后收益2.5%2.6%2.7%2.8%2.9%3.0%3.1%3.2%3.3%2010-1-282010-2-112010-2-252010-3-112010-3-252010-4-82010-4-222010-5-62010-5-202010-6-32010-6-172010-7-1-15.0-10.0-5.00.05.010.0100401070229070229-100401（右，BP）2.5%2.7%2.9%3.1%3.3%3.5%3.7%2010-1-282010-2-112010-2-252010-3-112010-3-252010-4-82010-4-222010-5-62010-5-202010-6-32010-6-172010-7-1-10.0-5.00.05.010.015.020.0100401070229070229-100401（右，BP）代码起息日到期日票面利率剩余期限到期收益率税后收益溢价收益（BP）类型1004012010-1-222015-1-213.65%4.552.99%2.73%-1.54政策性金融债0702292008-1-172015-1-165.14%4.533.03%2.72%-4.73政策性金融债资料来源：Wind申万研究12申万研究简称剩余期限票面利率起息日到期日中间价收益率税后收益率溢价收益税后收益/税前收益10附息国债0919.793.96%2010-4-152030-4-15101.163.8750%3.8848%0.98100.25%09国债0218.643.86%2009-2-192029-2-19100.093.8533%3.8541%0.08100.02%07国债1317.124.52%2007-8-162027-8-16108.533.8351%3.9193%8.42102.19%08国债2313.403.62%2008-11-272023-11-2799.983.6212%3.6210%-0.0299.99%08国债0212.664.16%2008-2-282023-2-28105.783.5877%3.6753%8.77102.44%10附息国债199.983.41%2010-6-242020-6-24101.593.2223%3.2560%3.37101.05%10附息国债129.863.25%2010-5-132020-5-13100.253.2202%3.2255%0.54100.17%10附息国债079.733.36%2010-3-252020-3-25101.193.2161%3.2422%2.61100.81%10附息国债029.593.43%2010-2-42020-2-4101.813.2089%3.2491%4.02101.25%08国债258.452.90%2008-12-152018-12-1598.003.1719%3.1190%-5.2998.33%08国债188.223.68%2008-9-222018-9-22104.473.0593%3.1765%11.73103.83%08国债107.974.41%2008-6-232018-6-23110.162.9687%3.2352%26.65108.98%07国债106.984.40%2007-6-252017-6-25110.162.7855%3.0969%31.14111.18%10附息国债156.902.83%2010-5-272017-5-27100.052.8216%2.8232%0.16100.06%10附息国债056.682.92%2010-3-112017-3-11100.552.8267%2.8457%1.90100.67%08国债225.392.71%2008-11-242015-11-24100.172.6744%2.6817%0.73100.27%08国债145.124.23%2008-8-182015-8-18108.062.5299%2.8831%35.32113.96%10附息国债174.932.53%2010-6-102015-6-1099.812.5703%2.5613%-0.9099.65%10附息国债134.872.38%2010-5-202015-5-2099.272.5403%2.5045%-3.5898.59%10附息国债084.762.70%2010-4-82015-4-8100.682.5451%2.5789%3.39101.33%08国债014.613.95%2008-2-132015-2-13106.232.4985%2.8075%30.90112.37%09附息国债043.742.29%2009-4-22014-4-299.242.5048%2.4553%-4.969