中银国际固定收益报告-境外人民币及人民币债研究

中银国际固定收益研究Fixed Income Research

中银国际固定收益研究BOCI Fixed Income Research

王卫(Steve Wang)

+ (852) 39886925 steve.wang@https://www.360docs.net/doc/1416593390.html,

吴琼(Qiong Wu), CFA

+(852) 39886926 qiong.wu@https://www.360docs.net/doc/1416593390.html,

张威(Vivian Zhang)

+(86) 10-66229195 vivian.zhang@https://www.360docs.net/doc/1416593390.html,

刘溪(Lucy Liu)

+(86) 21-68604866x8025

xi.liu@https://www.360docs.net/doc/1416593390.html, 利率

利率、

、汇率

汇率、

、信用研究专题合

研究专题合集

集Rates, Currencies & Credits Special Collection 境外人民币及人民币

境外人民币及人民币债的

债的

债的专题研究

专题研究

专题研究报告

报告

报告（

（III）Topics on Offshore RMB & RMB Bond Markets III 目录/CONTENT:

离岸人民币市场记事

离岸人民币市场记事表表

Offshore RMB market fact sheet

-P2 离岸人民币债券市场

离岸人民币债券市场统计图表

统计图表

O ffshore RMB bond market new issuance stats

-P4

近来境外与境内人民币孪生兄弟之争莫过于隔夜之忧

The recent disputes between the offshore and on-

shore RMB twins won’t last long

-P5 中国企业离岸人民币债性价的两级分化

中国企业离岸人民币债性价的两级分化：：国企与非国企的比较

Two-tiered valuation among Chinese offshore RMB bonds: SOEs vs. non-SOEs

-P10 境外人民币债市

境外人民币债市场的第一次调整

场的第一次调整

场的第一次调整：：事出有因The first market correction of offshore RMB bonds: On their own merits

-P15

2012. 01. 03

O f f s h o r e R M B m a r k e t f a c t s h e e t

Policy development:

2004: RMB business in Hong Kong was of-ficially launched, offering RMB deposits and other selective RMB services.

June 2007: Financial Institutions from mainland China for the first time were al-

lowed to issue RMB bonds in Hong Kong, subject to mainland government approval.

China Development Bank issued the first RMB bond in Hong Kong in July 2007.

July 2009: PBoC launched pilot program for RMB settlement for cross-border trades from 4 mainland cities of Shanghai & Guangdong province with Hong Kong/Macau.

June 2009: the RMB trade settlement pilot program was expanded to 20 mainland provinces, covering all foreign countries and regions.

July 2010: PBoC and HKMA signed a sup-plementary Memorandum of Co-operation, under which corporates and other non-retail customers are allowed to open RMB deposit accounts in Hong Kong; both individual and corporate accounts are al-

lowed to make inter-bank RMB payments and fund transfer. Although the daily limit on individual RMB exchange remains at 20K yuan, there is no daily cap on corporate accounts.

August 2010: PBoC announced that foreign central banks, RMB clearing banks, and RMB cross-border trade settlement banks could start participating in the China’s domestic interbank bond market, subject to quota approval. At present, nearly 40 offshore institutions have been approved. August 2011: the RMB trade settlement pilot program was expanded to nationwide.

Mainland companies are allowed to issue RMB bonds in HK. The issue by Baosteel Group Corp in November 2011 is the first direct issue by a mainland corporate.

October 2011: PBoC released rules re-garding to FDI in the form of RMB.

2008 - Mid 2011: PBoC signed a total of about RMB 841.2bn worth of bilateral currency swap agreements with 12 coun-

tries. In November 2011, PBoC renewed its bilateral currency swap agreements with 离岸人民币市场记事表

政策方面:

2004年，香港的人民币银行业务正式启动，主要为人民币存款、及提供有限度的

人民币服务。

2007年6月，在境内注册的金融机构经批准可以在香港发行人民币债。2007年7

月，国开行在香港发行第一支人民币债。 2009年7月，中国人民银行推出跨境贸易人民币结算试点计划，涉及上海及广东省

的4城市与香港/澳门间的贸易结算人民

币服务。

2009年6月，跨境贸易人民币结算拓展到境内20个省与境外所有国家和地区。

2010年7月，中国人民银行和香港金融管理局签署补充合作备忘录。企业和其它非

个人客户可在港开立人民币存款账户，且

可在境外账户间自由进行人民币资金的支

付和转账。境外个人兑换人民币的额度保

持在每天2万元，而企业无兑换额度。

2010年8月，中国人民银行宣布，境外央行、人民币清算行及参与境外跨境贸易人

民币结算的银行可获准投资境内银行间债

券市场。目前有接近40家境外机构获准

限额进入境内银行间债券市场。

2011年8月，跨境贸易人民币结算境内地域范围扩大到全国。允许境内企业在香港

发行人民币债。2011年11月，宝钢发行

首支内地非金融类企业赴港直接发行的债

券。

2011年10月，中国人民银行宣布人民币FDI细则。

2008至2011年中，中国人民银行与12个国家的央行签订相当于8,412亿人民币

的货币双边互换协议。2011年11月，中

国人民银行与韩国及香港续签并扩大了双

边货币互换协议，互换规模增加至原来的

２倍。

2011年12月，人民币QFII试点办法出台，初期试点额度为200亿人民币(约31亿美

元)。获批资格的首批试点机构包括9家中

资基金公司和12家中资券商。

the size of swap doubled.

December 2011: RMB QFII Investment Trail Scheme was launched, which has an initial investment quota of RMB 20bn ($3.1bn).

The first batch of RMB QFII licenses were granted to 9 Chinese fund managers and 12 Chinese securities companies.

Market development:

RMB deposits in HK reached RMB 627.3bn at end of Nov. 2011, accounting for about 10% of the total deposits and 20% of the total foreign deposits. As the end of Oct.

2011, Corporate RMB deposits amounted to RMB 440bn, accounting for 71% of the total (2009: 1%).

Outstanding RMB bank loans in HK reached RMB 19bn as of the end of Sep. 2011, 8.5 times that of the start of 2011.

As the end of Sep. 2011, a total of 183 banks became participating banks in HK RMB business clearing platform, of which 160 are branches of foreign banks or overseas branches of domestic banks. In addition, nearly 800 foreign banks in HK has selected HK’s participating banks to deal with RMB business, and earlier this year that number increased three-fold.

For the first three quarters of 2011, HK cross-border trade settlement in RMB ac-

counts for more than 80% of China’s total RMB trade settlements, and the proportion rose to 90.1% in Q3. From Jan. to Nov.

2011, the cross-board RMB trade settle-

ment reached RMB 1.6754 trillion, more than the total RMB 369.2bn of entire 2010, including RMB 184.99bn in Nov. 2011.

The outstanding amount of RMB bonds is-sued in HK has grown to RMB 149.2bn, as of the end of 2011. The 2011 issuance reached RMB 111bn, as compared to the $58.3bn of USD-denominated bonds (RMB 367.4bn equivalent) from Asia ex-Japan region for the same period. A total of 98 issuers have tapped the RMB bond market in HK, including 32 international issuers. HK’s RMB CD outstanding reached over RMB 76bn as of the end of 2011. Most of the CDs were issued by Chinese banks.

At present, there are 12 RMB funds in HK. The first HK RMB IPO, Hui Xian REIT, was listed in Hong Kong in Apr. 2011 for a total of RMB 10.48bn. 市场

市场方面

方面:

2011年11月底，香港人民币存款达到6,273亿元，占香港总存款约10%，占外

币存款额的约20%。10月底，企业存款逾

4,400亿元人民币，占人民币存款总额的

71%（2009︰1%）。

2011年9月底，香港人民币银行贷款余额为190亿元，是今年年初的8.5倍。

截至今年9月底，共有183家银行成为香港人民币业务清算平台的参加行，其中

160家是外国银行的分支机构或内地银行

的海外分支机构。另外，近800家外国银

行已经选定香港的参加行，委托它们处理

人民币业务，这一数字与今年年初相比增

长了3倍。

2011年首三季，经由香港的人民币贸易结算占内地以人民币对外贸易结算总额的8

成以上；其中第三季的占比更上升至

90.1%。1至11月份香港人民币跨境贸易

结算额达16,754亿元，高于去年全年的

3,692亿元。2011年11月份，香港人民

币跨境贸易结算额达1,849.9亿人民币。 截至2011年底，香港人民币债存量达1,492亿；而2011年的香港人民币债券发

行量为1,110亿人民币，相比同期亚洲有

约583亿美元的美元债发行(等同3,674

亿人民币)。发行体数目达到98家。其中，国际发行体有32家。

截至2011年底，香港人民币存款证存量超过760亿。发行人以中资银行为主。

目前，香港市场上有12家人民币基金。 2011年4月，境外首支人民币IPO汇贤人民币中国地产信托基金在香港上市，集资

104.8亿元。

离岸人民币债券市场统计图表

O f f s h o r e R M B b o n d m a r k e t n e w i s s u a n c e s t a t s

图1：2010年7月以来香港人民币债/存款证发行量(十亿元)/Fig. 1: CNH bond/CD new issuance since July 2010 (RMB

图2：2007年以来香港人民币债发行情况年以来香港人民币债发行情况：：

期限分布/Fig. 2: CNH bond new issuance profile since 2007: Breakdown of total number of issuance by tenor

1Y 12%

10Y 3%

图4：2007年以来香港人民币债发行情况年以来香港人民币债发行情况：：国家地区国家地区分分布/Fig. 4: CNH bond new issuance profile since 2007: Breakdown of total number of issuance by country/area

Macau Macau11%Japan Japan 11%

U .S . . 33%香港 香港 HK HK HK 55%8%

欧洲

3: CNH bond new issuance profile since 2007: Breakdown of total number of issuance by sector

Utilities 5%

7%

图6：2007年以来香港人民币债发行情况年以来香港人民币债发行情况：：发行人类型分布/Fig. 6: CNH bond new issuance profile since 2007: Breakdown of total number of issuance by issuer type -发/Int Int''l 28%

图5：2007年以来香港人民币债发行情况年以来香港人民币债发行情况：：有评级与无评级/Fig. 5: CNH bond new issuance profile since 2007: Breakdown of total number of issuance by rated vs. un-rated

T h e r e c e n t d i s p u t e s b e t w e e n t h e o f f s h o r e a n d o n s h o r e R M B t w i n s w o n’t l a s t l o n g (D a t e d:9D e c.2011)

Summary:

The "One currency, Two markets" state for the Chinese RMB has gotten to a more complicated situation recently. Particu-

larly, offshore market is now holding a different directional view on the future path of the currency, a situation beyond a simple magnitude difference as we were used to see.

There have been only two periods of sig-nificant CNH-CNY departures since the start of CNH: One in the early development stage of CNH when CNH spot was traded at

a significant premium over CNY, due to an

overwhelming demand for the deliverable RMB offshore, and the other started this September when CNH spot depreciated on

a number drivers, such as a sharp rally of

USD on global flight to quality and pres-

sures from risk reductions on China expo-

sures.

We believe the recent reverse of RMB ex-pectation offshore is more technical than fundamental, as CNY has been more stable, thanks to the continued resilience of Chi-

nese economy and government policy support for a stable RMB.

As CNH has already re-converged to CNY in the spot market, we think the expectation on the RMB direction offshore will also re-align with that onshore in the near fu-

ture.

T he "One currency, Two markets"state for the Chinese RMB has gotten to a more complicated situation recently. We understand all along that RMB offshore is treated and regulated by different market forces and legal framework as comparing to its onshore twin, and therefore the two markets are bond to have materials differences, such as associated FX pricing, in-terest rates and derivatives (see Fig. 1). What has surprised us lately is that the two markets are now holding different directional views about the future path of the currency, a situa-tion way beyond a simple difference in magni-tude as we were used to see. 近来境外与境内人民币孪生兄弟之争莫过于隔夜之忧(报告日期:2011.12.09)

要点:

中国人民币的“一个货币、两个市场”的现状近来变得逾加复杂化。特别是，境外对人民币未来走势的预期出现方向上的分歧，这超出了我们习惯见到的仅在量级上的差异。

自离岸人民币开始交易以来，境内、外人民币出现过两次大的差价情况：一是在早期发展阶段巨大的境外需求令离岸人民币“洛阳纸贵”；另一次始于9月份，美元在全球避险情绪下走强和市场唱空中国的压力等因素引发离岸人民币大幅贬值。 我们相信目前境外人民币预期的偏离更多是来自技术层面原因而非基本面，因为境内人民币一直相对更为稳定，中国经济继续稳健增长以及国家政策继续支持人民币稳定。

离岸人民币即期汇价已重新回归到了境内人民币的水平，我们认为离岸人民币的走向预期也将在不久的将来与境内重新汇合。

中国人民币的“一个货币、两个市场”的现状近来变得逾加复杂化。离岸人民币一直以来由于所处的市场环境和监管框架不同，因而相对境内的人民币注定有一定的差异，诸如关系到的汇价、利率及衍生品等（见图1）。最近让我们特别感到惊讶的是，两个市场对人民币未来走势的预期出现方向上的分歧，这远超出了我们习惯见到的仅在量级上的差异。

两个人民币市场

两个人民币市场

源于中国政府对跨境资本流动的监控及香港和中

图1：境内外人民币差异摘选/Fig. 1: Selected differences between offshore and onshore RMB markets

境外Offshore 境内

Ons hore

即期

Spot

6.3665 6.36385

远期Forwa rd 1Y DF:6.4515

1Y NDF:6.411

1Y DF:6.32365

存款利率Deposit ra te 1Y: 0.55%

(HSBC)

1Y: 3.5%

国债收益率

Gov bond yie ld

3Y: 1.85% 3Y: 2.84%

企业债收益率Corporate bond yie ld Baosteel Group

3-y ear: 3.54%

Baosha n Iro n

& Steel

3-y ear:4.94%

数据来源：中银国际/S ou r ce s: B OCI

The two RMB markets

Due to the tight control on cross-border capital flows by the Chinese government and the dif-ference in levels of capital market develop-ments between HK and mainland China, the offshore RMB (called CNH)market in HK and the RMB market in mainland (CNY) have some major differences from day one.

Taking the differential between CNH and CNY spots versus USD as an example (see Fig. 2). The USD/CNY spot in the onshore market is largely driven by the government’s policy guided fixes, and it has been in a fairly stable appreciation trend over a period of long time. On the other hand, the offshore USD/CNH spot is basically market driven, and we can see large deviations at times from its onshore twin de-spite both have been nearly on top of each other for most of the time. The large deviations observed in CNH were likely due to the unique market dynamics existed offshore, including supply/demand imbalance, international inter-plays and global investment characteristics of foreign investors.

There have been two periods of significant CNH-CNY departures since the start of CNH trading in August 2010. During the early de-velopment stage of the CNH market, CNH was traded at a significant premium over CNY due to the overwhelming demand for the now de-liverable RMB offshore. The subsequent nar-rowing of this inter-market spread starting at the beginning of 2011 was a welcome sign of 币（标记为CNH）市场和内地的人民币（CNY）市场从最开始就存在一些明显差别。

图2：境外、境内人民币即期/Fig. 2: CNH and CNY

spot

数据来源

数据来源：

：彭博

彭博、

、中银

中银国

国际/Sources: Bloomberg, BOCI

以离岸人民币和境内人民币即期兑美元汇率的差价为例（见图２）。因为境内人民币（CNY）兑美元即期汇率在很大程度上受到政府的指导性定价约束，在过去长时间里基本保持稳定的升值趋势。另一方面，离岸人民币（CNH）的定价主要由市场主导，故有时会相对于境内的人民币汇率出现较大偏离，但多数时间几乎相近。这种离岸人民币的大幅偏离可能与境外市场独有的机制有关，如供需不平衡、国际市场的互动及外国投资者的全球投资特性等。

自2010年8月离岸美元兑人民币（CNH）即期开始交易以来，境内外人民币出现过两次大的差价情况。在离岸人民币即期的早期发展阶段，受益于对新出现的离岸可交割的人民币的巨大需求，离岸人民币较境内变得“洛阳纸贵”。不过，该差价在2011年年初之后开始收窄，显示离岸人民币的流动性改善和提高。

另外一次大幅偏离的情况是从9月底开始，当时全球金融市场经历急剧动荡的局面。这一次离岸人民币变成便宜，较境内人民币出现大的折让。美元在全球避险情绪的助推下连续走强，以及市场不少唱

Another significant departure was developed starting at the end of September when the global financial market was suffering a severely elevated turmoil. This time around CNH cheapened up significantly to trade at a large discount to its onshore peer. The sharp rally of USD due to the global flight to quality and mounting pressures from liquidating or even shorting China exposures have caused this large CNH downward move on the back of thin liquidity. Yet CNY continued trading higher onshore. The CNH-CNY spot spread widened to as much as over 1200pips during Septem-ber-October, but has now narrowed down to about 100pips as CNH has converged to the CNY level.

Now the diverged views on the future direc-tion of RMB

What has changed even more dramatically in the past couple of months is the forward view on the RMB offshore. While the onshore RMB fixing maintains in a stable range, offshore NDF (DF) market indicates RMB to decline in the near future (see Fig. 3).

If the strong demand for RMB and RMB-related investment products offshore in the early days could be largely blamed for the CNH premium over CNY, it is the offshore view reverse on RMB that has contributed to recent CNH weak-ness.

Such negative views on RMB have not happened often in recent years. The last time this hap-pened was during the 2008 global financial cri-sis when NDF had priced in a depreciation of RMB, by as much as 7% over a 12-month hori-zon, ignoring the solid and stable spot rate of RMB onshore (see Fig. 4) (there was no CNH market yet at that time). Unfortunately (or fortunately), this negative view had lasted only for about 6 months before reversing back to an appreciating RMB, as China has maintained its policy for a stable currency and the govern-ment introduced stimulus plans to counteract the global financial crisis.

In our opinion, the recent offshore reverse of RMB view is more technical than fundamental. Fundamentally speaking, China’s economic growth has remained robust (estimated at 9.5% for 2011) on a “soft-landing” backdrop, and Chinese government remains committed to a stable RMB. 致在交易量低位的背景下离岸人民币大幅贬值；而境内的人民币仍然继续走高。到9至10月份时，离岸和境内人民币汇率的差距加宽至最大超过1200点，但之后收窄至近来的近100点，回归到境内水平。

目前

目前对人民币未来

对人民币未来

对人民币未来的

的走势

走势也出现

也出现

也出现分

分歧

在过去几个月中更戏剧性的是境外市场对人民币走向预期的变化。尽管境内人民币官方中间价仍然保持在稳定区间，但离岸市场的不可交割远期（可交割远期）则有偏离，显示预期人民币将贬值（见图3）。

图3：三条曲线/Fig. 3: Three curves

数据来源：彭博、中银国际/S ou r ce s: B loom b e r g, B OCI

如果说在离岸人民币市场发展初期，对人民币和人民币投资产品的旺盛需求导致了离岸人民币相对境内人民币的溢价，那么最近境外对人民币看法的转向则是导致离岸人民币走弱的原因。

这种对人民币的负面看法在过去并不多见。上一次是在2008年全球金融危机的时候，当时离岸非可交割远期预期人民币贬值，12个月看跌多达7%，无视当时境内人民币即期的坚挺和稳定（见图4）（当时离岸人民币即期市场还未开始）。不幸（或幸运）的是，归功于中国政府执行稳定货币的政策及政府为应对全球金融危机实施的经济刺激措施，这种负面看法仅持续了6个月，之后升值期望重返境外市场。

will converge back to the onshore view after a brief technical deviation as we are seeing now. In fact, CNH has already regrouped with CNY in the spot market after experiencing a large de-viation. This deviation in the spot market has only lasted for about 2-3 months. We think the next move is that the offshore expectation on RMB will re-converge to the onshore one. Al-though the CNY market has seen some pressure lately as the CNY spot was trading at the lower end of the policy band during the past few ses-sions, the government’s daily CNY fixings have been remaining stable and solid. By that meas-ure, we are again confident in that the gov-ernment has the resolve to maintain a strong RMB going forward. 汇价已重新回到境内人民币的即期附近。这一波偏离实际仅持续了2－3个月。我们认为下一步将可能出现的变化是，离岸人民币的预期将与境内重新汇合。虽然近期境内人民币市场正面临一些压力，人民币即期交易连续触及政府指定的区间低位，但是政府的每日人民币中间定价仍然稳定且坚挺。从这方面来看，我们对政府在未来保持人民币坚挺的决心仍保持信心。

T w o-t i e r e d v a l u a t i o n a m o n g C h i n e s e o f f-s h o r e R M B b o n d s:S O E s v s.n o n-S O E s (D a t e d:02N o v.2011)

Summary:

The recent global market turmoil has scaled out the once tightly congregated offshore RMB (dim-sum) bonds, making the dim-sum bond market now a more credit sensitive and more risk-rewarding invest-

ment playing field.

The dim-sum bond market has demon-strated a much higher correlation with the global credit market since August, as the extreme volatility developed in global fi-

nancial markets during Sep.-Oct. has finally found its knock-on effect on dim-sum bonds and investors awaken to the call on potential credit risk beyond potential cur-

rency gain.

During the current market downturn, we find Chinese SOE dim-sum bonds have no-

tably outperformed non-SOE issues in both primary and secondary markets.

Since majority of the dim-sum bonds are not rated, at times of market stress in-

vestors might have been inclined to stick with familiar/proven Chinese names such as SOEs, as against non-SOEs.

Also, si nce fund managers tend to be more active in secondary trading, their dominant role in the HY dim-sum bond market might have partially contributed to the much elevated volatility of this market.

Our relative value analysis shows some HY dim-sum bonds now offer attractive risk-reward potentials.

A s a classic Chinese saying claims “Storm grades out beach sands”, the recent global market turmoil has indeed scaled out the once tightly congregated offshore RM

B (dim-sum) bonds. For experienced credit investors, the dim-sum bond market now becomes a more credit sensitive and more risk-rewarding in-vestment playing field.

The recent market highlights

We have witnessed some significant moves in the dim-sum bond market over the course of a very turbulent summer this year. One very in-teresting change is that the dim-sum bond 中国企业离岸人民币债性价的两级分化：国企与非国企的比较(报告日期:2011.11.02)

要点:

近来全球市场的动荡推动了离岸人民币债（点心债）收益率的差别化。点心债市场对信用的敏感度进一步提高，成为风险回报潜力更大的一个投资领域。

点心债市场自8月以来与全球信用市场的相关性大幅增加，源于9至10月间全球金融市场的急剧动荡终于波及到点心债市场，警示投资者除了货币升值潜力，也存在信用风险。

在这段市场消沉期，我们发现中国国企点心债在一级和二级市场上的表现显著优于非国企债。

由于多数人民币债没有评级，在市场受压时，投资者有可能更倾向于接受那些熟悉和被认可的中国名字，诸如国有企业，而不是非国有企业。

此外，在二级市场上交易更活跃的基金投资者在高收益点心债市场占主导作用，这也可能是导致该市场波动性较高的原因之一。

我们的相对价值比较显示一些高收益点心债已具有较好的风险回报潜力。

正所谓中国的一句名言“大浪淘沙”，近来全球市场的动荡确实将以往抱成一团的离岸人民币债券（点心债）的收益率冲刷得更具差别化。对经验丰富的信用投资者来说，今天的点心债市场已变成信用敏感度更高、风险回报潜力更大的一个投资领域。

近期市场

近期市场动向

动向

在过去这个市场异常动荡的夏日里，我们看到点心债市场也出现了一些显著的变化。其中一个非常有趣的变化是，点心债市场自8月以来与全球信用市

图1：中银离岸人债指数和iTraxx 日本以外亚洲5年期投资级信用违约指数/ Fig. 1: BOC Offshore RMB

relation with the global credit market since August, after a very different trend before then (see Fig. 1). We believe this change is resulted from shifts in two important fronts. On one hand, the demand/supply scale has become more balanced as more bonds were brought to the market in a hurry. As of at the end of Oc-tober, a total of RMB 98bn of new dim-sum bonds have been priced for the year, close to 1.9 times of the total issuance amount of the entire last year. The surging supply has dra-matically eased the shortage in the supply side that was developed in the early days of the market when bond prices could only find one way up behind overwhelming buying interests. On the other hand, the extreme volatility de-veloped during Sep.-Oct. in the global financial market has finally found its way to deliver a knock-on effect on the dim-sum bond market, where not long ago inventors mainly focused on the potential rewards from currency gains while ignoring the potential losses from credit risks (this is exemplified by the fact that 85% of the outstanding dim-sum bonds issued by Chi-nese corporates are unrated). It looks like the will of dim-sum bond investors, who tend to be among the investor group of real money and buy-and-hold nature, has now been shaken up as well. We think this is all understandable and natural, as dim-sum bonds are one class of in-ternational bonds anyway.

The diverging performance between Chinese SOE and non-SOE bonds The winners among the dim-sum bonds during

场的相关性大幅增加，而此前该相关性并不明显（见图1）。我们认为这源于市场在两个重要方面发生的一些变动。一方面，随着越来越多的债券发行蜂拥而至，需求与供给的天平得以更趋平衡。年初以来至10月底，一共有980亿人民币点心债发行，此数字已达到去年发行总额的1.9倍。新债供应的大幅增加大大缓解了点心债市场初期出现的供应短缺、强烈的投资需求将点心债价格一路推高的局面。另一方面，9至10月间全球金融市场的急剧动荡，终于也波及到这个不久前仍以货币升值为主要考虑而忽略了潜在信用风险的点心债市场（例证之一就是约85％的中国企业的点心债余额均没有信用评级）。看来，以现金投资以及长期持有为代表的点心债投资者的信心也已受到冲击。如果考虑到点心债也是国际性债券的一种，我们认为上述现象也就完全可以理解和自然了。 国企和非国企债表现分歧

最近市场动荡中的优胜者为中国国有企业发行的点心债，而这些债券的大部分在我们的内部信用分析中被评为投资级。我们发现国企点心债的表现显著优于非国企债。图2为中国企业发行的债券的当前债券收益率与债券票面利率的比较，以大概显示自发行后债券收益率的变化情况。显然，国企债的收益率仅出现小幅上升，而非国企债的收益率却大

图2：中国企业的离岸人民币债收益率分布/ Fig. 2: Yield distribution of Chinese offshore RMB bonds

the recent market turmoil are bonds issued by Chinese SOEs (State-Owned Enterprises), which are mostly rated investment-grade (IG) from

our own internal credit analysis. We find that SOE bonds have notably outperformed the non-SOE issues. Fig. 2 compares the current yields of dim-sum bonds from Chinese corpo-rate issuers with the coupon rates of these bonds, as a way to roughly show how much their yields have changed since issuance. Ob-viously, SOE yields rose only modestly, while non-SOE yields have gone up dramatically. In the SOE group, the credit curve is relatively flat, with names at low-AA yielding in the range of 1.9%-4.7% and high-BB in the range of 3%-5.6%. For bonds ranked below mid-BB, yields have jumped, with most of them offering yields from 6% to 15% not even considering the two property issues that offer yields at 20-23%. Similar performance was also seen in the pri-mary market. Non-SOE dim-sum bonds from Chinese corporates were shunned by investors recently, while some of the SOE issuers could still manage to tap the market. Notable cases include the recent issuance from SINOTRANS and CNPC in mid-October. This is also in con-trast to the USD bond market where no Chinese new issues were completed during the same period.

Why such a waterfall between the two groups We think there are two major reasons behind

幅跳涨。在国企债部分，次AA 级债券的收益率处于1.9％-4.7％范围，高BB 级的收益率也就在3-5.6％区间。对信用评级低于BB 的部分，债券收益率飙升，如果不考虑收益率高达20-23％两支地产债，大多数债券收益率位于6-15％的区间。

一级市场也有类似的情况。非中国国有企业的点心债发行基本停滞，而一些国有企业仍能发行。有目共睹的案例包括10月中发行的中外运和中石油的点心债。这与美元债市场也形成了鲜明对比，同期没有中国企业在境外成功发行美元新债。 两债券群体之间瀑布式落差的缘由

我们认为国企和非国企点心债券之间形成大幅落差的主要因素有两个。

一是与评级相关。由于多数点心债没有评级，投资者必须完全依赖自身的信用分析来决定投资选择；而在市场受压时（如最近的市场动荡中），投资者有可能更倾向于接受那些熟悉和被认可的名字，如国有企业，而不是非国有企业。在发展成熟的美元债券市场，大多数来自中国企业的债券拥有评级，投资级与非投资级债间收益率的过渡也就更为平稳有序。

图3：中国企业的离岸人民币债新发售分布/Fig. 3: New issuance allocations of Chinese offshore RMB

bonds

其它Others 5%

基金Funds 36%

私人银行

PB 17%

银行Banks 42%

IG

其它Others 5%私人银行

PB 28%

银行Banks 22%

基金Funds 45%

HY

the development of such a large waterfall be-tween the SOE and non-SOE dim-sum bonds. One is related to the rating issue. Since major-ity of the dim-sum bonds are not rated, inves-tors have to rely on their own credit judgment for investment decision, and at times of market stress such as the recent turmoil they might have been inclined to stick with famil-iar/proven names such as SOEs, as against non-SOEs. In the more developed USD bond market where most of Chinese issues are rated, the yield curve has a more measured transition from investment grade to non-investment grade. The other one is related to the profile of in-vestor base in the dim-sum bond market. Here we use the new issue allocation statistics from 30 Chinese dim-sum issues to illustrate the case (see Fig. 3). Our analysis shows banks on average take up 42% of an IG deal, but only 22% in a HY deal. Banks obviously have served as an anchor in the IG dim-sum bond market. Their real money and buy-and-hold investment nature provides stability to the market. PB investors, another group of real money and buy-and-hold type of investors, are also major participants in the dim-sum bond market, making up 17% and 28% for the IG and HY deals, respectively. Fund managers, including hedge funds, respectively make up 36% and 45% of the IG and HY deals. Since fund managers tend to be more active in secondary trading, their dominant role in the HY dim-sum bond market might have partially contributed to the much elevated volatility of this market. 二是与点心债市场的投资者构成相关。我们通过30支中国企业点心债的发售分配统计数据来说明这个问题。

我们的分析表明，对投资级点心债，银行参与占42％；而在高收益债中，银行仅占22％。银行显然在投资级点心债市场起到支柱性作用。由于银行投资者为现金买入型且大多是长期持有，因而对市场提供了稳定的支持。另外，同为现金型且长期持有的私人银行投资者也是点心债市场的主要参与者，分别占投资级债和高收益债新债份额的17％和28％。基金投资者（包括对冲基金）分别占投资级债和高收益债份额的36％和45％。由于基金投资者在二级市场上的交易更加活跃，他们在高收益点心债市场中的主导作用也可能是该市场波动性较高的原因之一。 相对相对价价值

最近点心债市场高收益债板块的大幅走低凸显了部分高收益债的相对价值。除了中国房地产的人民币债收益率高达23％外（见图2），许多非房地产债也呈现深度折扣（见图4），如银泰百货、山水水泥、中升、华侨城和海南航空公司等。我们认为它们具有较好的风险回报潜力。

Relative Value

The recent severe sell-off in the HY segment of the dim-sum bond market now makes some of the HY dim-sum bonds appear relative values. Away from the fact that Chinese property bonds now offer yields as high as 23% (see Fig.

2), there are many non-property names, such as Intime Department Stores, Shanshui Cement, Zhongsheng, OCT Travel and Hainan Airlines, are currently trading in deep discounts (see Fig. 4). In our opinion, they offer attractive risk-reward potentials. 图4：离岸人民币债摘选/Fig. 4: Selected off-shore RMB bonds

债券

Bond

价格

Price

收益率

Yield INDEPS 4.65 14’s 92.5/95.5 7.6/6.4 SHANSHUI 6.5 14’s 90/93 10.7/9.5 ZHONGSHENG 4.75 14’s 87/90 10.9/9.4 OCT 3.5 14’s 88/90 8.8/7.9 HAINAN 6 14’s 93.25/94.75 8.7/8.1 数据来源：中银国际/S ou r ce s: B OCI

T h e f i r s t m a r k e t c o r r e c t i o n o f o f f s h o r e R M B b o n d s : O n t h e i r o w n m e r i t s (D a t e d : 17 A u g .

2011) Summary: The offshore RMB bond market is going through its first correction since early June after a period of non-stop accent and growth in its young history. This correction has lagged behind the recent global credit market decline that started around early May.

We find the offshore RMB bond market ex-perienced a relatively low correlation with the USD credit market, yet a fairly high cor-relation with the China’s domestic RMB bond market over its short life span. The “hybrid” nature of this market simply means the market is likely to be affected by factors coming from both offshore and onshore. The market’s recent downturn is the result of a confluence of events developed both off-shore and onshore, including the Sino-Forest triggered Chinese corporate governance worries, renewed headlines on Chinese local government debt problems, concerns of pos-sible policy adjustment to the rapidly grow-ing offshore RMB market, and lowered ex-pectation on further RMB appreciation, all of which are on top of the backdrop of a sum-mer-long decline of global credit markets.

Although the domestic RMB bond market shares some of the same pains, such as the local government debt problems, worries on corporate governance and concerns on a slowing economic growth, it has its own set of woes to deal with, such as a liquidity de-cline due to the continuing monetary policy tightening and summer-time corporate tax & dividend outlays.

We remain optimistic on the outlook of the offshore RMB bond market. The recently re-inforced messages from the government for the continuing development of this market, new policy moves to further strengthen the RMB and the outstanding resilience of RMB bonds as a new class of safe-haven asset as displayed during the recent global financial market rout have again pushed the product to the spot light .

C

hinese offshore RMB bonds are in a unique po-sition as compared to both their offshore USD 境外人民币债市场的第一次调整：事出有因

(报告日期: 2011.08.17)

要点要点：：

历史仍短暂的离岸人民币债市场在经历了

一轮蓬勃向上的始发期后，自6月起出现了第一次调整。但此市场的调整滞后于自5月初左右开始的一波全球信用市场调整。

就其较短的历史来看，离岸人民币债市场与美元债市场的相关性较低，但与中国境内的人民币债市场的相关性较高。离岸人民币市场具有的“混合”市场特性意味着该市场很可能受到来自境外、境内两个方向诸多因素的影响。

离岸人民币债市场近来的调整是境内外一系列因素综合影响的结果，其中包括嘉汉林业引发的对中国企业管治的担忧、对中国地方政府债务问题的新忧虑、对快速发展的离岸人民币市场可能面临的政策调整的顾虑，以及对人民币升值预期的下降。这些均叠加于全球信用市场在整个夏天处于下滑之势的大背景上。

尽管境内人民币债市场也受到一些类同的负面因素影响，如地方政府债务问题、对中国企业管治的忧虑和对经济增长放缓的担心等，它本身还面临一些独有之痛，如持续的货币紧缩政策及企业夏期中的税务和股息支出导致的资金面紧张。

我们对离岸人民币债市场的前景保持乐观。近来政府多方面释放继续推动市场发展的强烈信号、出台强化人民币的新举措，以及人民币债在最近全球金融市场风暴中作为新型投资类避风港而表现出的杰出稳定性都将该产品再次推到市场的聚光灯下。

与大陆境外美元债和境内人民币债相比，大陆离

岸人民币债处于独特地位。离岸人民币债券在某种

图1：中银离岸人债指数和iTraxx 日本以外亚洲5年期投资级信用违约指数/ Fig. 1: BOC Offshore RMB Bond Index vs. iTraxx Asia ex-Japan IG 5Y CDS index

图2：中银离岸人债指数和境内中债固定利率企业债指数 / Fig. 2: BOC Offshore RMB Bond Index vs. turning point was more than one month lagging behind the global credit market downturn. These differences suggest that drives for the offshore RMB market are not entirely the same as those for the offshore USD bond market. Nevertheless, both markets have on a precipi-tous decline ever since.

Why the relatively low correlation with USD bonds?

Fig. 1 clearly demonstrates some insensitivity of

the offshore RMB market to the global credit market trend. There are a number of possible explanations to this. In our opinion, the most important reason, particularly for the early days of the market, is the significant imbalance between demand and supply. As the offshore RMB market is going through a phase of rapid growth that has at-tracted a rapidly growing pool of new global investors, the strong demand for offshore RMB bonds has diluted or even masked the negative impact from the recent global credit market decline. The characteristic nature of the Inves-tor base of offshore RMB bonds is probably also a very critical factor. First, PB clients make up a significantly large portion of the investor base of this market, and this group of investors, as compared to actively-managed real money funds and hedge funds, tends to be of buy-and-hold nature and is less sensitive to short-term price movements. Second, this market is still at a young stage of development and there are many

下降。

与美元债的与美元债的相关性低的缘由相关性低的缘由

图1清楚显示了离岸人民币债相对于全球信用市场的某种低敏感度。

对此可能的解释有几方面。在我们看来，最主要的原因，特别是在市场的早期，是需求和供给间的显著失衡。由于境外人民币市场正经历一波快速的发展阶段，吸引了来自全球的且快速增长的新投资群体，这为离岸人民币债带来的强劲需求稀释甚至掩盖了近期全球信用市场下滑的负面影响。离岸人民币债的投资者群体的特性可能也是非常关键的一个因素。首先，私人银行客户在投资者群体中占据了显著的份额。相对交易频繁的管理型基金和对冲基金，该类投资者更趋向于买进后长期持有，对短期价格走势不大敏感。其次，离岸人民币市场仍处于一个起步阶段，很多新入市者，尤其是基金，仍以买入增加头寸为主，这意味着买家多过卖家。第三，由于二级市场的流动性仍然有限，该市场做空的途径仍然非常有限，这意味着做空市场的成本效益低，因而抑制了卖空行为。 与境内人民币债市场的相关性

有趣的是离岸人民币债市场与境内人民币债市场间

The period after June is more interesting, as multiple factors have been contributed to the bond price declines in each of the two markets. For the onshore market, starting in June the continuing monetary policy tightening caused liquidity to dry up, which was the key drive for the market decline. Other factors such as cor-porate tax payments in May, mid-year tempo-rary bank deposit boost, and corporate dividend payout in June and July all compounded the tightened liquidity in the market as well. Moreover, domestic credits were facing addi-tional pressures at the time in two other fronts: foreign selling on both concerns of a slower Chinese economic growth and worries of Chi-nese corporate governance issues triggered by the Sino-Forest allegation, and a broad domestic sell-off during July on the headline of Chinese local government debt problems. This sharp de-cline of the domestic credit market in July is very clearly seen in Fig. 2.

For the offshore RMB bond market, bond prices were also facing a number of headwinds starting in June. Despite of its overall insensitivity to the global credit market moves before, the ex-tended “summer blues” of the global credit market had finally taken a toll on the offshore RMB bond market as investors questioned sus-tainability of the low yields of this market. Negative sentiments arising from the Chinese corporate governance issues, concerns over a slowing Chinese growth and worries on the Chi-nese local government debt problems have also caused a lot of tensions among global investors. More importantly, concerns on any potential policy adjustments on the offshore RMB market by the central government,as well as the low-ered market expectation of future RMB appre-ciations due to a slowed Chinese growth, also made differences.

We remain optimistic on the offshore RMB bond market

A number of recent positive developments in both policy and market fronts should lend new support and energy to the offshore RM

B bond market.

1.Chinese Ministry of Finance (MoF) has suc-

cessfully issued a new series of RMB China sovereign bonds in HK this week in a largest offshore offering ever (RMB 20bn in total) that has received heavy demand (4.6 times of coverage on institutional tranches). This 图3：2014-2016年到期的非投资级中国/香港

香港美元债和

美元债和离岸人民币

离岸人民币债的

债的

债的等值

等值

等值美元收益率比较

美元收益率比较/ Fig. 3: C ompari-son on USD yield s of Chinese HY names: 2014-2016 USD bonds vs. offshore RMB bonds*

资料来源：彭博、中银国际/ Sou r ce: B loom b e r g, B O CI

就离岸人民币债市场而言，自今年6月初以来，债券价格也面临种种阻力。虽然该市场对全球信用市场的敏感度较低，全球信用市场持续的夏季“疲乏症”最终也影响到境外人民币债市场，源于投资者对离岸人民币债市场的低收益率的可持续性显现出怀疑。有关中国企业的管治问题、对中国经济放缓及对中国地方政府债务问题的忧虑也导致了全球投资者的紧张情绪。更重要的是，对中央政府可能调整境外人民币市场的政策而产生的忧虑，以及因中国经济增长放缓引发的对未来人民币升值预期减弱都令离岸人民币债市场下滑。

我们

我们对

对离岸人民币债市场

离岸人民币债市场保

保持乐观态度

最近在政策和市场方面一些新的正面发展对离岸人民币市场带来了新的支持和活力。

1. 中国财政部本周在香港成功发售新系列的人民币中国主权债，为有史以来发行额之最（共计人民币200亿元）。该次发行吸引了投资者的强劲需求（4.6倍机构投资者部分的认购）。此发行成绩反映了持续的市场需求。

mand in the market.

2.This new MoF bond issuance also represents

a continuing policy support and commitment

from the central government to the devel-opment of the offshore RMB and RMB bond markets, which were reinforced by the offi-cial address from Vice Premier Li Keqiang today during his visit to HK, in which he announced a set of new government initia-tives to allow offshore RMB to make foreign direct investment (FDI) in China and to in-vest in the China’s, securities market through the RMB QFII (Qualified Foreign In-stitutional Investor) program, and to allow non-financial companies in mainland to issue RMB bonds offshore.

3.China’s recent announcement to further its

currency reform by increasing the RMB ex-change rate flexibility and at the same time lowering USD/RMB fixings during the past few days has again sparked market expecta-tion on a stronger RMB (See Fig. 4).

4.Offshore RMB bonds have shown relatively

remarkable resilience during the recent global financial market rout triggered by the U.S. rating downgrade. It appears that RMB bonds have enjoyed the benefit as a safe haven for global investors, as well as a choice of asset diversification.