Group 1 - The basis between the 5-year National Development Bonds and the same-term FR007 interest rate swap is 20 basis points (BP), which has increased by 17 BP compared to the end of 2024 [1] - In 2025, the overall basis between cash bonds and swaps is expected to rise, with the 1-year National Development Bonds and FR007 interest rate swap basis at 5 BP, up 31 BP from the end of 2024, and the 5-year basis at 20 BP, up 17 BP [1] - At the beginning of 2025, due to rising funding rates, interest rate swaps lead cash bonds, causing the basis to drop to a low of -20 BP for the 1-year National Development Bonds and 3 BP for the 5-year basis [1] Group 2 - Since February, the rise in the equity market has led to some capital diversion, impacting cash bonds and causing yields to rise, which has gradually expanded the basis between cash bonds and interest rate swaps [1] - In the second quarter, as the cash bond market recovered, yields fell, leading to a narrowing of the basis between cash bonds and interest rate swaps [1] - In the second half of the year, the cash bond market faced multiple disruptions from VAT collection, institutional behavior, and new rate regulations, resulting in a greater increase in yields and a subsequent expansion of the basis [1]

周度报告-国债期货 [Table_Rank] 走势评级： 国债：震荡 报告日期： 2026 年 01 月 04 日 [Table_Summary] ★一周复盘：国债期货大幅下跌 本周（12.29-01.04）国债期货大幅下跌。周一，市场消息面平 静，市场较为担忧明年供给放量，长端品种大幅下跌，短端品 种相对稳定。周二，市场消息面平静，债市成交清淡，超长品 种期现均走强，曲线中端品种表现相对较弱。周三，12 月制造 业 PMI 超预期回升，国债期货快速下跌。午后市场情绪有所改 善，国债期货部分收复跌幅。截至 12 月 31 日收盘，两年、五 年、十年和三十年期国债期货主力合约结算价分别为 102.446、 105.730、107.825 和 111.380 元，分别较上周末变动-0.100、- 0.300、-0.455 和-1.470 元。 ★费率新规落地，但债市利空未出尽 费率新规落地，但债市利空未出尽 9-12 月，市场因担忧费率新规超预期，机构赎回意愿相对较 强，市场动辄出现大幅下跌，随着正式稿件的落地，债市应出 现快速上涨。但费率新规落地并不能扭转债市的空头情绪。近 期债市走弱的原因是较为复杂的，基本面 ...

Group 1 - The report emphasizes the need to increase allocation to high-elasticity varieties while maintaining a short-duration defensive strategy in the bond market [6][11] - The credit bond market has experienced a new round of declines, with short-term bonds showing stronger stability compared to longer-term bonds, which are under pressure due to regulatory changes and market sentiment [12][11] - The report suggests focusing on medium to short-duration investments, particularly in high-grade credit bonds, as the market seeks certainty and low volatility [12][11] Group 2 - In the corporate perpetual bond sector, the report notes an increase in configuration value but advises caution against potential declines, especially in long-duration products [12][18] - The issuance of corporate perpetual bonds in September was 135 bonds totaling 141.4 billion, reflecting a slight decrease from the previous month, while the repayment scale also decreased [18][19] - The report highlights that the financing costs for AAA and AA+ rated bonds have increased, with rates at 2.34% and 2.57% respectively, indicating a tightening market [18][19] Group 3 - The ABS market is experiencing a slow adjustment in valuation, leading to a convergence in premiums compared to municipal investment bonds, with limited liquidity improvement expected [14][15] - The report recommends prioritizing ABS with a higher safety margin, such as those related to public housing and fee income rights, while cautioning against further exploration in the current environment [14][15] - The issuance of ABS in September reached 267.7 billion, with personal consumption loans and small loans leading the issuance volume [9][40] Group 4 - The report indicates that the secondary market for corporate perpetual bonds has seen a significant increase in yields, particularly in the medium to long-term segments, with credit spreads widening [30][31] - The report notes that the yield on AA-rated 5Y corporate perpetual bonds increased by up to 21 basis points, reflecting a broader trend of rising yields across various sectors [30][31] - The report highlights that the credit spreads for municipal perpetual bonds remained relatively stable, while industrial bonds exhibited greater volatility [32][34]