债市阿尔法：浮息债全解：利率变局中的攻守之道

1. Report Industry Investment Rating No information about the report industry investment rating is provided in the given content. 2. Core Viewpoints of the Report - The scale of floating - rate bonds in China is still small. As of the end of 2024, the outstanding amount of floating - rate bonds was 52.01 billion yuan, accounting for 0.3% of the total bond balance [34]. - The valuation of floating - rate bonds is based on the discounted cash flow method (DCF), and the difficulty lies in predicting future coupon payments and selecting the discount rate [2][54]. - The change in the benchmark interest rate is inversely related to the bond value. The farther the valuation date is from the reset date, the greater the impact of interest rate changes on the bond value. The term spread is also inversely related to the bond value when the benchmark interest rate is constant, and the impact on the bond price needs to be observed in combination with the benchmark interest rate [2]. - Floating - rate bonds are more resistant to decline in a bear market and weaker in a bull market compared to fixed - rate bonds [2]. - The floating - rate bonds imply that the 1 - year LPR will first decline and then rise in the next three years, and the implied interest - rate cut expectation of floating - rate bonds of China Development Bank is stronger than that of Agricultural Development Bank bonds [3]. - Considering the expiration of US tariff exemptions and the appreciation of the RMB, an additional 10 - 20BP interest - rate cut is expected in the second half of the year, and the decline of 1YLPR in the second half of the year is likely to be higher than the implied value of floating - rate bonds [4][99]. 3. Summary According to the Directory 3.1 China's Floating - Rate Bond Historical Changes - The issuance scale of floating - rate bonds has fluctuated and increased, with significant shrinkage in the past three years. It has experienced three rounds of expansion and adjustment, with the peak issuance scale reaching 64.16 billion yuan in 2021, and the average issuance scale from 2022 - 2024 being only 16.34 billion yuan [14][17]. - The benchmark interest rate has changed from single to diversified, from the 1 - year fixed - deposit interest rate at the beginning to various types such as SHIBOR, LPR, and DR [20][21]. - Policy - bank bonds and asset - backed securities (ABS) have alternately dominated. Since 2022, policy - bank bonds have become the main type again [26]. - The issuance term has evolved from being highly concentrated (7 - 10 years) to gradually dispersed and then re - concentrated (2 - 3 years) [28][30]. 3.2 China's Floating - Rate Bond Current Situation - As of the end of 2024, the outstanding amount of floating - rate bonds was 52.01 billion yuan, accounting for 0.3% of the total bond balance. By bond type, the top three are policy - bank bonds, ABS, and non - financial corporate credit bonds. By benchmark interest rate, the top three are the 1 - year loan prime rate (LPR), the 7 - day inter - bank pledged repo rate, and the 5 - year loan prime rate (LPR). By issuance term, the top three are 2 - 3 years, over 10 years, and 7 - 10 years [34]. 3.3 Floating - Rate Bond Valuation Method - The valuation of floating - rate bonds is based on the DCF method, which discounts future coupon payments and principal to the current point in time. The difficulty lies in predicting future coupon payments and selecting the discount rate [54]. - The China Foreign Exchange Trade System simplifies the valuation formula by assuming that the benchmark interest rate remains unchanged after the valuation date, but this method does not reflect the market's expectation of future interest rates [56]. 3.4 Theoretical Analysis of Factors Affecting the Investment Value of Floating - Rate Bonds - The change in the benchmark interest rate is inversely related to the bond value. When the benchmark interest rate rises, the bond value falls, and vice versa. The farther the valuation date is from the reset date, the greater the impact of interest rate changes on the bond value [2][66]. - When the benchmark interest rate is constant, the term spread is inversely related to the bond value. The impact on the bond price needs to be observed in combination with the benchmark interest rate [72]. 3.5 Comparison between Floating - Rate Bonds and Fixed - Rate Bonds - In a rising - interest - rate environment, both floating - rate bonds and fixed - rate bonds will decline in price, but the decline of floating - rate bonds is smaller. In a falling - interest - rate environment, the price increase of fixed - rate bonds is greater than that of floating - rate bonds [78]. 3.6 Current Pricing Investigation of Floating - Rate Bonds - By studying the price changes of floating - rate bonds, the market's expectation of future monetary - policy trends can be inferred. The floating - rate bonds imply that the 1 - year LPR will first decline and then rise in the next three years, and the implied interest - rate cut expectation of floating - rate bonds of China Development Bank is stronger than that of Agricultural Development Bank bonds [3][83]. 3.7 Analysis of the Value of Floating - Rate Bonds from Future Interest - Rate Adjustment Range and Rhythm - Considering the expiration of US tariff exemptions and the appreciation of the RMB, an additional 10 - 20BP interest - rate cut is expected in the second half of the year, and the decline of 1YLPR in the second half of the year is likely to be higher than the implied value of floating - rate bonds. The allocation value of floating - rate bonds in the second half of the year may be lower than that of fixed - rate bonds [4][99]. - Four interest - rate cut scenarios are simulated, and the interest - rate increase rhythms at which the allocation values of floating - rate and fixed - rate bonds are in equilibrium are fitted for each scenario [100].