"If any issues arise that could affect the willingness or ability of both domestic and foreign investors to use USDT, the most likely result would be a severe liquidity shock to the broader cryptocurrency market," the report says.
Gundlach has previously said, "I don't believe in bitcoin."
Ether's derivative market looks overheating amid the cryptocurrency's rally to new record highs.
The bank's analysts pointed to gold's much lower volatility.
A senior Finance Ministry official told a newspaper that taxation does not necessarily imply legality.