Group 1: Report Industry Investment Rating - No relevant content found Group 2: Core Viewpoints of the Report - The issuance scale of floating - rate bonds in China has shown a fluctuating upward trend in the past 30 years, with significant shrinkage in the past three years. The benchmark interest rate has changed from single to diverse, and the dominant bond varieties have alternated between policy - bank bonds and asset - backed securities. The issuance term has evolved from high concentration to dispersion and then back to concentration [29][35][45]. - The valuation of floating - rate bonds is based on the discounted cash flow method (DCF). The key difficulties lie in predicting future coupon payments and selecting the discount rate. The change in the benchmark interest rate and the term spread △y can affect the value of floating - rate bonds [106][109][144]. - Floating - rate bonds are more resistant to decline in a bear market but weaker in a bull market compared to fixed - rate bonds. The absolute value change of floating - rate bonds is complex, and its value is affected by the relative changes of the benchmark interest rate and the market interest rate [161][168][197]. - Based on the analysis of the cash - flow simulation of floating - rate bonds, the market implies that the 1 - year LPR will decline steadily in the next two years and then rise. The floating - rate bonds of China Development Bank imply a stronger expectation of interest - rate cuts than those of Agricultural Development Bank [319][339]. - Considering the expected interest - rate cuts in the second half of the year, the allocation value of floating - rate bonds may be lower than that of fixed - rate bonds [353][356]. Group 3: Summary According to the Directory 1. Floating - Rate Bond Historical Changes and Current Situation - **Historical Changes** - **Issuance Scale**: It has experienced three rounds of expansion and adjustment in the past 30 years. The first round (1995 - 2002) was an exploration period with the first breakthrough to the 10 - billion - level. The second round (2003 - 2013) was a consolidation period with the scale reaching 50 - billion - level. The third round (2014 - 2024) was a mature and fluctuating period with the peak exceeding 60 - billion - level, but it has shrunk significantly in the past three years [35][37]. - **Benchmark Interest Rate**: It has changed from a single 1 - year fixed - deposit interest rate to a diverse range, including 7 - day repo rate average, LIBOR, SHIBOR, LPR, etc. Currently, LPR and DR series have become the mainstream [41][45][48]. - **Bond Varieties**: Policy - bank bonds and asset - backed securities have alternately dominated. Policy - bank bonds were dominant in the early stage, and asset - backed securities took the lead in 2014. Since 2022, policy - bank bonds have regained the dominant position [50][60][61]. - **Issuance Term**: It has evolved from high concentration in the 7 - 10 - year term to dispersion and then back to concentration in the 2 - 3 - year term [65][71][72]. - **Current Situation** - As of the end of 2024, the stock of floating - rate bonds in China was 50.08 billion yuan, accounting for 0.3% of the total bond balance. The top three in terms of bond varieties are policy - bank bonds, ABS, and non - financial corporate credit bonds. The top three in terms of benchmark interest rates are 1 - year LPR, DR007, and 5 - year LPR [78]. 2. Floating - Rate Bond Valuation Method - **Valuation Principle and Theoretical Calculation Method**: It is based on the DCF method. The key is to predict future coupon payments and select the discount rate. The China Foreign Exchange Trade System has a specific valuation formula for non - option - embedded and non - early - repayment floating - rate bonds. However, the simple model does not reflect the market's expectation of future interest rates [106][112][116]. - **Analysis of Factors Affecting Investment Value**: The change in the benchmark interest rate can affect the value of floating - rate bonds. Generally, an increase in the benchmark interest rate leads to a decline in bond value, and vice versa. The impact is greater when the valuation date is farther from the reset date. The term spread △y also affects the bond value, and its impact needs to be considered in combination with the benchmark interest rate [120][139][144]. 3. Relative Value Assessment of Floating - Rate Bonds (Based on Historical Backtracking) - Floating - rate bonds are more resistant to decline in a bear market but weaker in a bull market compared to fixed - rate bonds. In a rising - interest - rate environment, the price decline of floating - rate bonds is smaller than that of fixed - rate bonds. In a falling - interest - rate environment, the performance of fixed - rate bonds is better [161][162][180]. 4. Absolute Value Assessment of Floating - Rate Bonds (Based on Historical Backtracking) - The absolute value change of floating - rate bonds is complex. By observing the historical trends of two floating - rate bonds with DR007 as the benchmark interest rate, it is found that when the benchmark interest rate and the market interest rate change in opposite directions, the value change direction of floating - rate bonds is clear; when they move in the same direction, the value change direction cannot be determined; when they are flat, the value center is stable [197][269][271]. 5. Future Interest - Rate Cut Path Implied by Current Floating - Rate Bonds - By simulating the cash flows of three actively traded floating - rate bonds of Agricultural Development Bank, it is inferred that the 1 - year LPR will decline steadily in the next two years and then rise. The floating - rate bonds of China Development Bank imply a stronger expectation of interest - rate cuts and a faster interest - rate cut speed than those of Agricultural Development Bank [319][339]. 6. Consideration of Floating - Rate Bond Investment Value - Considering the expected interest - rate cuts in the second half of the year, the allocation value of floating - rate bonds may be lower than that of fixed - rate bonds. For DR007 floating - rate bonds, the decline of DR007 may compress the coupon income, and different interest - rate cut scenarios will affect the capital gains of floating - rate bonds [353][356][362].

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].