证券研究报告 关注 3 月利差压降的结构性机会 ——信用分析周报（2026/2/24-2026/2/27） 投资要点： 本周信用热点事件：（1）中国人民银行等四部门联合发文助力乡村振兴；（2）香 港特区政府财政司司长提出完善离岸人民币债券市场等几点举措。 固收定期报告 hyzqdatemark 2026 年 03 月 01 日 证券分析师 廖志明 SAC：S1350524100002 liaozhiming@huayuanstock.com 赵孟田 SAC：S1350525070004 zhaomengtian@huayuanstock.com 联系人 本周市场概览： 1）一级市场：本周传统信用债发行量、偿还量、净融资额环比上周均有所减少；资 产支持证券净融资额环比上周减少 708 亿元。 2）二级市场：本周信用债成交量环比上周减少 4801 亿元；换手率方面，本周信用 债换手率较上周整体下行。本周不同评级不同期限的信用债收益率较上周有不超过 5BP 的波动。总体来看，本周 AA+休闲服务行业信用利差较上周大幅走扩，AA 采掘、 AA+商业贸易、纺织服装行业信用利差较上周大幅压缩，其余不同行业不同评级的 信用 ...

1月，离岸（CNH）人民币兑美元即期汇率升值，在岸（CNY）人民币兑美元即期汇率升值。 即期市场：1月30日，CNH兑美元即期汇率收于6.9589，较上月末升值0.24%；CNY兑美元即期汇率收于6.9486，较上月末升值0.58%；日均平均价差（CNY- CNH的绝对值）为56BP，较上月减少3BP。CFETS人民币汇率指数和参考BIS货币篮子、参考SDR货币篮子的人民币汇率指数分别为96.99、104.06、92.52， 分别较上月末下降1.02%、下降0.58%、下降0.2%。 汇率衍生品市场：价格方面，CNH 1年期掉期点收于-1285BP，较上月末下降8BP；CNY 1年期掉期点收于-1222BP，较上月末下降97BP。在岸和离岸日均掉 期点差（CNH-CNY）的绝对值为70BP，较上月下降15BP。成交量方面，2026年1月，港交所USD/CNH期货标准合约成交量为158.24万张，较上月减少 11.3%，月末未平仓合约2.97万张，较上月减少8.1%。港交所USD/CNH期权合约成交71张，较上月增加29.1%，月末未平仓合约325张，较上月增加5.2%。 2025年12月，新交所USD/CNH ...

香港交易所欢迎中国财政部今年第一批人民币国债在香港上市。本次发行共五只债券，发行规模合计人民币 140 亿元，涵盖 2 年期（40 亿元）、3 年期 （40 亿元）、5 年期（30 亿元）、10 年期（20 亿元）及 30 年期（10 亿元） 等多个期限，为投资者提供了丰富的选择。 香港交易所将持续拓展和强化相关平台与服务，以吸引更多人民币计价债券来港发行及上市。 近年来，离岸人民币债券市场持续活跃，发行总额屡创新高，连续第八年录得增长。2025 年，人民币债券在香港交易所新上市债券数量中占约三份之 一，全年共筹集人民币 2,300 亿元。截至目前，在香港交易所市场上的人民币计价债券数量已超过 300 只。 ...

Core Viewpoint - The offshore RMB bond market, known as "dim sum bonds," is experiencing a new wave of expansion driven by increasing demand from global investors for RMB asset allocation [1] Group 1: Market Performance - In August 2025, the net financing amount for dim sum bonds reached nearly 70 billion RMB, marking the highest monthly figure of the year [2] - The issuance of dim sum bonds has accelerated, with 105 bonds issued in August 2025, totaling 123.56 billion RMB, and a net financing scale of 69.54 billion RMB, achieving the best monthly financing performance of the year [5] - The total issuance scale of dim sum bonds in 2024 is projected to exceed 1 trillion RMB, reaching 1.27 trillion RMB, with net financing close to 480 billion RMB [5][6] Group 2: Government Initiatives - The Shenzhen Municipal Government successfully issued 1 billion RMB of offshore RMB local government bonds in Macau, with a subscription rate of 6.62 times, setting a historical high for RMB bond issuance in Macau [4] - The Guangdong Provincial Government has also issued 2.5 billion RMB of offshore RMB local government bonds in Macau, continuing its trend for five consecutive years [4] Group 3: Factors Driving Expansion - The relative attractiveness of financing rates in China has been a macroeconomic factor driving the growth of dim sum bond issuance [9] - The divergence in monetary policy between China and the U.S. has made dim sum bonds a more appealing financing option in the overseas bond market [10] - Various policy measures by the Chinese government have promoted the use of offshore RMB, supporting the continuous growth of the dim sum bond market [10]

Core Insights - The offshore (CNH) and onshore (CNY) RMB exchange rates depreciated in July, with the average daily price difference decreasing by 4 basis points from the previous month [3][4] - The CFETS RMB exchange rate index and indices based on BIS and SDR currency baskets increased compared to the end of the previous month [3] - The issuance of offshore RMB bonds decreased compared to the previous month [5] Group 1: Offshore RMB Deposits in Hong Kong and Taiwan - As of June 2025, offshore RMB deposits in Hong Kong decreased by 9.6% to 8820.61 billion, while Taiwan's deposits increased by 1.6% to 1192.66 billion [2] - Cross-border trade settlement in Hong Kong rose by 8.9% to 12235.18 billion [2] Group 2: Offshore RMB Foreign Exchange Market - On July 31, the CNH/USD exchange rate was 7.2096, down 0.72%, and the CNY/USD exchange rate was 7.1930, down 0.38% [3] - The CFETS RMB exchange rate index rose by 1.48% to 96.76, the BIS index rose by 1.85% to 102.57, and the SDR index rose by 1.49% to 91.49 [3] Group 3: Offshore RMB Derivatives Market - The 1-year CNH swap points were at -1756 basis points, down 9 basis points, while CNY 1-year swap points were at -1815 basis points, up 51 basis points [4] - The average daily swap point spread between CNH and CNY decreased by 121 basis points to 64 basis points [4] - The Hong Kong Exchange's USD/CNH futures volume decreased by 11.8% to 2.2285 million contracts, while the options volume increased by 583.3% to 82 contracts [4] Group 4: Offshore RMB Bond Market - In July, 110 offshore RMB bonds were issued, an increase of 10 from the previous month, but the issuance amount decreased by 24.4% to 589.77 billion [5] Group 5: Offshore RMB Money Market - By the end of July, CNH HIBOR rates for overnight, 7-day, 3-month, and 1-year terms decreased by 87, 56, 18, and 17 basis points respectively [6] - The average interest rate spread between offshore and onshore borrowing rates decreased for overnight and 7-day terms, while it increased for the 3-month term [6] Group 6: Foreign Institutions in Domestic Interbank Market - As of the end of July, the number of foreign institutions participating in the domestic interbank foreign exchange market increased to 233 [7] - The total number of foreign institutions and their products in the domestic currency market decreased to 5739 [7] Group 7: Foreign Institutions' Transaction Volume - In July, foreign institutions' total transaction volume in the domestic interbank foreign exchange market was 40117.62 billion, an increase of 16.0% [8] - The transaction volume in the domestic interbank bond market increased by 9.8% to 14687.13 billion [8]

Core Viewpoint - 华夏基金（香港） is positioning itself as a differentiated Chinese financial institution, focusing on innovative financial products and capitalizing on emerging market opportunities [1][2]. Group 1: Innovation and Market Positioning - 华夏香港 has adopted a forward-looking approach, launching several first-of-their-kind financial products in the Hong Kong market, including the first RMB-denominated public fund and the largest offshore RMB money market ETF [2][3]. - The company has successfully identified and capitalized on market trends, such as the growth of the offshore RMB bond market, by launching products like the 华夏精选人民币投资级别收益基金 during a period of currency volatility [2][3]. Group 2: Offshore RMB Bond Market - 甘添 predicts explosive growth in the offshore RMB bond market over the next three to five years, with the offshore RMB fund pool expected to reach approximately 5 trillion by 2030 [2][5]. - The point bond market has seen significant growth, with its scale increasing from 2.54 trillion in 2020 to nearly 10 trillion currently, driven by a decrease in RMB financing costs [6][7]. Group 3: Investment Opportunities - The point bond market offers attractive yields compared to domestic bonds, with yields for similar maturity bonds being 30-50 basis points higher than their domestic counterparts [6][7]. - Major domestic enterprises are increasingly participating in the point bond market, with significant issuances from companies like 百度 and 蒙牛乳业, indicating strong market demand [7][8]. Group 4: Market Dynamics and Future Outlook - The influx of domestic capital into the Hong Kong stock market is shifting the pricing power, with local investors now holding a significant portion of shares [8]. - The anticipated introduction of a mechanism allowing mainland investors to directly invest in Hong Kong stocks using offshore RMB is expected to enhance participation and pricing power in the market [8].

Core Insights - The offshore (CNH) and onshore (CNY) RMB appreciated against the USD in May, with the average daily price difference (absolute value of CNY-CNH) decreasing by 108 basis points to 62 basis points [1][3] - The CFETS RMB exchange rate index and the indices referencing the BIS and SDR currency baskets showed mixed results, with the former two declining and the latter increasing [1][3] - The issuance of offshore RMB bonds decreased, with 88 bonds issued amounting to 34.682 billion, a 3.8% decrease from the previous month [5] Offshore RMB Deposits in Hong Kong and Taiwan - As of April 2025, offshore RMB deposits in Hong Kong increased by 7.4% to 1,030.895 billion, while Taiwan's deposits rose by 1.6% to 112.725 billion [2] Offshore RMB Foreign Exchange Market - On May 30, the CNH/USD exchange rate closed at 7.2065, appreciating by 0.87%, while the CNY/USD rate closed at 7.1953, appreciating by 0.94% [3] - The CFETS RMB exchange rate index stood at 95.96, down 0.25%, with the BIS index at 101.58, down 0.50%, and the SDR index at 90.93, up 0.54% [3] Offshore RMB Derivatives Market - The 1-year CNH swap points settled at -1846 basis points, down 163 basis points, while the CNY 1-year swap points were at -2060 basis points, down 107 basis points [4] - The trading volume for USD/CNH futures on the Hong Kong Stock Exchange reached 2.4909 million contracts, a 13.0% increase, while the open interest decreased by 21.0% to 31,000 contracts [4] Offshore RMB Bond Market - The offshore RMB bond market saw a total of 88 bonds issued in May, a decrease of 7 from the previous month, with a total issuance amount of 34.682 billion [5] Offshore RMB Money Market - As of the end of May, the CNH HIBOR rates for overnight, 7-day, 3-month, and 1-year were 2.0442%, 1.7946%, 1.7697%, and 1.9403%, reflecting mixed changes [6] - The average interest rate differentials between offshore and onshore borrowing rates increased for overnight and 7-day terms, while decreasing for 3-month and 1-year terms [6] Dynamics of Foreign Institutions in Domestic Interbank Market - By the end of May, the number of foreign institutions participating in the domestic interbank foreign exchange market reached 232, an increase of 1 from the previous month [7] - The total number of foreign institutions and their products in the domestic interbank currency market rose to 5723, with various categories showing slight increases [7] Trading Volume in Domestic Interbank Market - In May, the total trading volume of foreign institutions in the domestic interbank foreign exchange market was 27,551.68 billion, a decrease of 17.1% [8] - The trading volume in the domestic interbank money market increased by 18.1% to 8,680.54 billion [8]

Summary of Key Points Core Viewpoint - In April, both offshore (CNH) and onshore (CNY) RMB depreciated against the USD, with a notable increase in the average price difference between the two, indicating a shift in the currency market dynamics [1][3]. Group 1: Offshore RMB Market - The average daily price difference between CNY and CNH increased by 82 basis points (BP) to 170 BP compared to the previous month [1][3]. - The offshore RMB bond issuance decreased to 360.34 billion CNY, a decline of 13.1% from the previous month, with 95 bonds issued, an increase of 3 bonds [4]. - The CNH HIBOR rates for overnight and 7-day terms rose, while the 3-month and 1-year rates fell, indicating mixed trends in the offshore money market [5]. Group 2: RMB Deposits in Hong Kong and Taiwan - As of March 2025, offshore RMB deposits in Hong Kong decreased by 7.3% to 959.84 billion CNY, while Taiwan's deposits fell by 2.1% to 110.97 billion CNY [2]. - Cross-border trade settlement in Hong Kong increased by 11.3% to 11,839.76 billion CNY, suggesting a rise in trade activity despite the drop in deposits [2]. Group 3: Foreign Participation in Domestic Markets - As of the end of April, the number of foreign institutions participating in the domestic interbank foreign exchange market remained stable at 231, with no changes in the number of foreign clearing banks and participating banks [6]. - The total transaction volume of foreign institutions in the domestic interbank foreign exchange market was 33,233.29 billion CNY, a decrease of 18.5% compared to the previous month [7].