国信证券 GUOSEN SECURITIES 证券分析师: 赵婧 证券分析师: 陈笑楠 021-60375421 0755-22940745 chenxiaonan@guosen.com.cn zhaojing@guosen.com.cn S0980524080001 S0980513080004 请务必阅读正文之后的免责声明及其项下所有内容 浮息债全解 利率变局中的攻守之道 专题报告 · 固定收益 证券分析师: 季家辉 021-61761056 jijiahui@guosen.com.cn S0980522010002 证券研究报告 | 2025年07月24日 证券分析师: 董德志 021-60933158 dongdz@guosen.com.cn S0980513100001 目录 浮息债历史变迁及现状 01 02 浮息债估值方法 浮息债的相对价值考察 请务必阅读正文之后的免责声明及其项下所有内容 04 浮息债的绝对价值考察 . 基于历史回溯 当前浮息债所隐含的未来降息路径 05 基于历史回溯 06 浮息债投资价值思考 E 信 11-5 03 ． 浮息债估值原理与理论计算方法拆解 从估值公式出发: 浮息债 ...

Report Summary 1. Report Industry Investment Rating No industry investment rating information is provided in the report. 2. Core Viewpoints - The value of floating - rate bonds is affected by factors such as changes in the benchmark interest rate, term spreads, and market expectations of interest rate movements. In a rising interest - rate environment, floating - rate bonds are more resistant to price declines compared to fixed - rate bonds, but they perform relatively weakly in a falling interest - rate environment. - Based on simulations of floating - rate bonds, the market expects the 1 - year LPR to decline steadily in the next two years, reaching a low of 2.8% in April 2027, and then rise to 3.1% by the end of 2027. - Considering the potential for additional 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. Similarly, the current allocation value of DR007 floating - rate bonds may also be lower than that of fixed - rate bonds [167][177]. 3. Directory Summaries 3.1 China's Floating - Rate Bond Historical Changes - **Issuance Scale**: Over the past 30 years, China's floating - rate bond issuance scale has shown a fluctuating upward trend, with three rounds of expansion and adjustment. The issuance scale reached a historical peak of 637.6 billion yuan in 2021, but has significantly decreased in the past three years [14]. - **Benchmark Interest Rate**: It has evolved from a single benchmark (1 - year fixed - deposit interest rate) to a diversified one. Currently, LPR and DR007 are the mainstream benchmark interest rates [20][27]. - **Bond Types**: Policy - bank bonds and asset - backed securities have alternately dominated the market. Since 2022, policy - bank bonds have once again become the main type of floating - rate bonds [34][41]. - **Issuance Term**: The issuance term has changed from being highly concentrated (7 - 10 years) to gradually diversified and then re - concentrated (2 - 3 years) [46][51]. 3.2 Floating - Rate Bond Valuation Method - **Valuation Principle**: Based on the discounted cash - flow method (DCF), the present value of a floating - rate bond is calculated by discounting future coupon payments and the principal at maturity to the current point in time. However, the difficulty lies in predicting future coupon payments and selecting the discount rate [63][64]. - **Factors Affecting Investment Value**: Changes in the benchmark interest rate and term spreads (∆y) affect the value of floating - rate bonds. Generally, an increase in the benchmark interest rate leads to a decrease in bond value, and vice versa. The impact of term spreads on bond value needs to be analyzed in combination with changes in the benchmark interest rate [77][80]. 3.3 Relative Value of Floating - Rate Bonds - **Comparison with 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, floating - rate bonds perform slightly worse than fixed - rate bonds [86][94]. 3.4 Absolute Value of Floating - Rate Bonds (Based on Historical Backtracking) - By observing the historical trends of floating - rate bonds with DR007 as the benchmark, it is found that the value changes of floating - rate bonds are complex and are affected by the fluctuations of the National Development Bank bond rate and DR007. When the two rates move in opposite directions, the direction of the floating - rate bond value change is clear; when they are stable, the value center of the floating - rate bond is stable; when they move in the same direction, the direction of the value change is uncertain [101][134]. 3.5 Future Interest - Rate Cut Path Implied by Current Floating - Rate Bonds - By simulating the cash flows of floating - rate bonds, the market's implied interest - rate cut/ hike path for the 1 - year LPR in the next three years can be predicted. The market expects the 1 - year LPR to decline steadily in the next two years, reach a low of 2.8% in April 2027, and then rise to 3.1% by the end of 2027. The implied interest - rate cut expectations of floating - rate National Development Bank bonds are stronger than those of Agricultural Development Bank bonds [154][162]. 3.6 Investment Value of Floating - Rate Bonds - **1 - year LPR Floating - Rate Bonds**: Considering the potential for additional 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 [167]. - **DR007 Floating - Rate Bonds**: Through scenario analysis, it is found that under most scenarios, the current allocation value of DR007 floating - rate bonds is lower than that of fixed - rate bonds [172][175].

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].

Summary of Key Points from the Conference Call Industry Overview - The focus is on the bond market and monetary policy in China, particularly regarding the central bank's actions and their implications for interest rates and economic support. Core Insights and Arguments 1. **Monetary Policy and Interest Rates** - The central bank's reverse repo operations are stabilizing market expectations, with a potential for further rate cuts in the second half of the year to support economic growth [1][3][8] - A 10 basis point rate cut has already occurred in Q2, with expectations for additional cuts in Q3 [1][3][8] 2. **Market Expectations and Bond Purchases** - Large purchases of short-term bonds by major banks may indicate the central bank's intention to restart bond-buying operations, which could lead to lower interest rates [1][3][9] - The short-term government bond yield is expected to trend towards 1.1%, while the 10-year bond yield may break below 1.6% and approach 1.5% [1][6][9] 3. **Factors Influencing Interest Rate Movements** - A significant amount of maturing certificates of deposit and fluctuations in the funding environment may temporarily restrict interest rate declines [1][7] - Positive outcomes from US-China negotiations could slightly increase market risk appetite, potentially affecting rates by 2-3 basis points [1][4][5][7] 4. **Investment Strategies** - A bullish approach is recommended for the next two to three months, focusing on 3 to 5-year bullet bonds if the central bank resumes bond purchases [1][9][11] - In the absence of such expectations, a strategy favoring ticket interest or yield spread compression is advised [1][9][11] 5. **Long-term Credit Bonds** - Long-term credit bonds are viewed as having high certainty in the current market environment, with recommendations to focus on 8-year medium-term notes and 6 to 10-year subordinated capital bonds [1][15] 6. **Local vs. National Bonds** - The spread between local and national bonds is expected to remain stable, with local bond issuance anticipated to increase in Q3 [1][16][17] 7. **Liquidity and Trading Strategies** - Active bonds are reasonably priced and maintain good liquidity, making them suitable for trading [1][21] - Investors are advised to monitor changes in liquidity premiums and bond pricing dynamics [1][21] 8. **Floating vs. Fixed Rate Bonds** - Floating rate bonds are currently reasonably priced, but may not outperform fixed-rate bonds if short-term rates decline [1][24] 9. **Government Bond Futures** - Current pricing of government bond futures is considered high, but they still hold hedging value. Strategies may include shorting corresponding futures to capture yield [1][25] Other Important Considerations - The overall economic outlook remains dependent on continued monetary support, with expectations for the central bank to take action to stabilize market conditions amid significant government bond supply pressures [1][8] - The anticipated bond market dynamics suggest a cautious yet opportunistic approach to investment, with a focus on liquidity and yield optimization [1][9][15]