[Table_Page] 固定收益|专题报告 2026 年 2 月 12 日 证券研究报告 [Table_Title] 浮息债：债熊之盾,穿越周期 ——品类掘金系列之一 [Table_Summary] 报告摘要： [分析师： Table_Author]杜渐 SAC 执证号：S0260526020003 010-59136690 dujian@gf.com.cn 分析师： 吴棋滢 SAC 执证号：S0260519080003 SFC CE No. BQN213 021-38003588 wuqiying@gf.com.cn 请注意，杜渐并非香港证券及期货事务监察委员会的注册 持牌人，不可在香港从事受监管活动。 识别风险，发现价值 请务必阅读末页的免责声明 1 / 23 [Table_Contacts] 972918116公共联系人2026-02-12 20:25:03 ⚫ 为何近期浮息债受到市场关注？ ⚫ 在风浪中寻求稳定器："低利率+高波动"环境下，降低发行成本与防 御性配置需求显著提升。一是利率高波动催生防御性配置需求，当前 债市分歧加大，投资者担忧中长期的利率上行风险，浮息债票息重置机 制使其能够有效对冲 ...

Group 1 - The report discusses floating rate bonds, which have interest rates that adjust periodically based on market benchmarks, highlighting their appeal in a declining interest rate environment [4][41] - The development of floating rate bonds in China has shifted from long-term to medium and short-term maturities, with a focus on financial bonds, particularly policy financial bonds [4][21] - The report indicates that the market for floating rate bonds is expected to expand further due to anticipated interest rate declines and increased volatility [4][29] Group 2 - Floating rate bonds exhibit a defensive characteristic, particularly in bear markets when benchmark interest rates rise, making them more attractive compared to fixed-rate bonds [4][89] - The report emphasizes the importance of the basis interest rate and spread yield, noting that their movements do not always align, which provides a self-hedging feature for floating rate bonds [4][86] - The investment structure of floating rate bonds is diverse, with money market funds being the primary holders due to the bonds' duration advantages [25][22] Group 3 - The pricing of floating rate bonds typically employs comparable bond pricing methods and interest rate swap pricing methods in the primary market [4][54][56] - The report outlines the historical development of floating rate bonds in China, noting significant milestones such as the introduction of Shibor and the reform of the Loan Prime Rate (LPR) [18][21] - The report suggests that the floating rate bond market may see a new wave of expansion driven by policy guidance and financing demands [41][39]