品类掘金系列之一：浮息债：债熊之盾，穿越周期

1. Report's Industry Investment Rating - Not provided in the content. 2. Report's Core View - The floating - rate bond market in China is currently small in scale, with policy - bank bonds as the main component. Its relative investment value depends on the trend of the benchmark interest rate. It is recommended to allocate more when the benchmark interest rate is expected to rise and sell when it is expected to fall. Currently, the short - term allocation value of floating - rate bonds is not prominent [5]. 3. Summary by Directory 3.1 China's Floating - Rate Bond Market Situation 3.1.1 Main Features of Floating - Rate Bonds - Floating - rate bonds are favored in the "low - interest + high - volatility" environment due to the increased demand for reducing issuance costs and defensive allocation. They have a coupon reset mechanism to hedge against interest - rate risks and can reduce issuers' costs. Their coupon consists of a "benchmark interest rate + fixed spread", and the benchmark is often linked to market - based rates [11]. - Floating - rate bonds have unique advantages in interest - rate risk management. They can save financing costs for issuers in a low - interest environment and hedge against interest - rate and inflation risks for investors [12]. - The basic elements of floating - rate bonds include face value, term, interest - calculation method, and payment frequency. They differ from fixed - rate bonds in interest composition, return certainty, and interest - rate risk exposure [13]. 3.1.2 Development History of the Floating - Rate Bond Market - The development of China's floating - rate bond market has gone through multiple expansion phases. It started in 1995, experienced a start - up exploration period (1995 - 2000), a diversified expansion period (2003 - 2011), a mature optimization stage (2014 - 2021), and an adjustment and restart period (2022 - present) [15]. - In terms of variety structure, policy - bank bonds dominated in the early stage, and asset - backed securities once became the main driver of market growth. Since 2022, policy - bank bonds have regained the dominant position, and bank - type credit bonds have increased in 2025 [20]. - The benchmark interest - rate system has evolved from being concentrated on the one - year fixed - deposit rate to a more diversified system, including LPR, SHIBOR, and DR series [24]. - The issuance - term structure has changed from long - term in the early stage to a more concentrated 2 - 3 - year structure recently [27]. 3.1.3 Stock Size and Structure - As of February 4, 2026, the stock of floating - rate bonds in China is over 80 billion yuan, accounting for 0.44% of the overall bond market. Compared with the US, there is room for growth. The stock is concentrated in the medium - and short - term, with 2 - 3 - year bonds accounting for 68%. Policy - bank bonds have the highest proportion, followed by other financial bonds and asset - backed securities [30]. - The benchmark interest rates of the stock floating - rate bonds are mainly DR007 and LPR, with DR007 - based repo rates accounting for 54% and LPR series accounting for 35% [31]. 3.1.4 Liquidity of the Floating - Rate Bond Market - The secondary - market liquidity of floating - rate bonds is generally low due to complex pricing and valuation, limited market size, and reduced defensive and trading attractiveness. In January 2026, the trading volume of floating - rate bonds was about 7.89 billion yuan, lower than that of mainstream fixed - rate bonds [37]. - There is significant differentiation in liquidity among different types of floating - rate bonds, with policy - bank floating - rate bonds being the most active. In January 2026, the monthly trading volume of policy - bank bonds reached 7.11 billion yuan [40]. 3.2 Pricing and Valuation of Floating - Rate Bonds 3.2.1 Floating - Rate Bond Valuation Model (ChinaBond) - The price of a floating - rate bond is affected by the benchmark interest rate and the spread yield. The valuation model shows that the price is less sensitive to the benchmark interest rate but more sensitive to the spread yield [46]. 3.2.2 Floating - Rate Bond Duration Valuation Formula (ChinaBond) - The spread duration of a floating - rate bond has a more significant negative correlation with the price, similar to the relationship between the fixed - rate bond's yield to maturity and its price [55]. 3.2.3 Yield to Maturity of Floating - Rate Bonds in Actual Trading - The market still refers to comparable fixed - rate bonds when pricing the yield to maturity of floating - rate bonds. The spread of floating - rate bonds reflects the relative change between the long - term yield to maturity and the short - term benchmark interest rate [63]. 3.3 Relative Investment Value of Floating - Rate Bonds in Different Market Environments 3.3.1 Comparison between Floating - Rate Bonds with LPR as the Benchmark and Fixed - Rate Bonds - In most cases, floating - rate bonds linked to LPR underperformed fixed - rate bonds from 2023 to 2026 because the LPR was in a downward trend during the tenure of the floating - rate bond, and the coupon rate gradually decreased, failing to hedge against the increase in the yield to maturity [77]. 3.3.2 Comparison between Floating - Rate Bonds with DR007 as the Benchmark and Fixed - Rate Bonds - Floating - rate bonds underperformed fixed - rate bonds in bull and volatile markets. In bear markets, their performance was divided. When the DR007 central rate increased, floating - rate bonds outperformed; when it decreased, they underperformed [85]. 3.3.3 Floating - Rate Bond Investment Strategy - Investors should break the mindset of regarding floating - rate bonds as only "bear - market tools" and focus on the trend of the benchmark interest rate. Floating - rate bonds are more suitable for short - term investment. They are recommended to be allocated when the benchmark interest rate is expected to rise and sold when it is expected to fall. Currently, their relative cost - effectiveness is not prominent [94].