中外市场概况、估值逻辑与未来展望：浮息债：利率波动下的防御之盾与价值之选

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The domestic floating - rate bond market has gone through three stages: initial development, scale expansion, and adjustment and transformation, with significant room for improvement in market scale and product structure [2][74]. - The US floating - rate bond market is relatively mature, mainly including TIPS and FRNs, with different issuance subjects and benchmark interest rates from the domestic market [17]. - The valuation of floating - rate bonds is complex, and their secondary - market liquidity is insufficient. Issuers and investors choose floating - rate bonds for different reasons, such as cost reduction and risk avoidance [2][38]. Summary by Relevant Catalogs 1. Domestic Floating - Rate Bond Market Development - The domestic floating - rate bond market started in 1995 and has experienced three rounds of expansion. In 2025 (as of October 13), 103 floating - rate bonds were issued, with a scale of 293.57 billion yuan [2][5]. - As of October 13, 2025, the domestic floating - rate bond stock was 648.991 billion yuan, accounting for 0.34% of the total bond balance. Policy - bank bonds are the largest variety, and the top three benchmark - interest - rate types in terms of scale are DR007, 1 - year LPR, and 5 - year LPR [2][6]. - The remaining maturity of outstanding floating - rate bonds is highly concentrated in the 1 - 3 - year medium - and short - term varieties, with a balance - scale proportion of 79.01% [15]. 2. US Floating - Rate Bond Market - As of June 30, 2025, the US floating - rate bond (TIPs + FRNs) stock was approximately $3.39 trillion, accounting for 9.36% of the total US - dollar bond scale. The main products are TIPs and FRNs [17]. - TIPs are linked to the CPI, with a fixed coupon rate and a floating principal to resist inflation. As of June 30, 2025, the TIPs stock was approximately $1.73 trillion, accounting for 51.03% of floating - rate government bonds [17]. - FRNs are linked to the US benchmark interest rate, with a more diverse range of issuers. As of June 30, 2025, the FRNs stock was approximately $1.66 trillion, accounting for 48.97% of floating - rate government bonds [22]. 3. Floating - Rate Bond Valuation - The pricing of floating - rate bonds is driven by two factors: current benchmark - interest - rate changes triggering coupon resets and changes in market expectations of future interest rates. YTM may be "distorted" in analyzing floating - rate bonds [38]. - Quantitative valuation analysis of floating - rate bonds is subjective because future cash flows cannot be determined in advance and rely on forward - interest - rate forecasts. Current methods include the ChinaBond valuation method, forward - interest - rate prediction, and using comparable fixed - rate bonds for valuation [46]. 4. Secondary - Market Trading of Floating - Rate Bonds - With the decline of the interest - rate center, the trading activity of floating - rate bonds has decreased. Their liquidity is generally lower than that of fixed - rate bonds of the same period [52][55]. - The five floating - rate bonds with the best liquidity as of October 19, 2025, are 25 Guokai 14, 25 Nongfa Qingfa 09, 25 Nongfa 09, 24 Nongfa 09, and 25 Guokai Kechuang 01. Liquidity is better for bonds with a large stock scale, a remaining maturity of 1 - 3 years, and a recent issuance date [61]. 5. Reasons for Issuers and Investors to Choose Floating - Rate Bonds - For issuers, floating - rate bonds can reduce issuance costs in a declining or stable interest - rate environment, have a built - in risk - hedging function, and help broaden financing channels [64][65]. - For investors, floating - rate bonds are an effective tool to avoid interest - rate risks and achieve asset - liability matching. Investing in floating - rate bonds with a high repricing frequency can reduce the duration exposure of commercial - bank asset portfolios [70][71]. 6. Future Outlook for the Domestic Floating - Rate Bond Market - The domestic floating - rate bond market has significant room for improvement in market scale, product structure, and function. Local governments and enterprises can issue floating - rate bonds with the government - bond yield as the benchmark, and the central government can issue floating - rate bonds linked to inflation indicators [74][75]. - Banks' self - operation of floating - rate bonds can effectively alleviate interest - rate risks. To improve liquidity, multi - dimensional measures should be taken, such as expanding issuance scale, standardizing terms, and unifying quotation methods [74][75].