德国银行亚洲宏观战略笔记CCS监测仪QA-118966592

Jalaj SinghResearch Associate Q1. What's the long-term demand/supply outlook for the CNH CCS market? Excluding speculative investors, four key players shape the CNH CCS market (fortenors of 3Y and above). Our analysis indicates a relatively balanced monthly flow nReceive CCS flows - Foreign issuers of Dim Sum bonds: Over the past 12months, non-Chinese entities have issued an average of CNH 21bn DimSum bonds per month. Of these, 40% are offshore subsidiaries of Chinesebanks/corporates, while the remaining 60% are "real" foreign entities. nReceive CCS flows - Foreign corporates borrowing offshore RMB loans:SAFE data shows that Chinese banks' offshore RMB loans have increasedby CNH 43bn per month over the last four quarters. Applying the same logic nPay CCS flows - Chinese issuers of USD bonds: Chinese entities issue anaverage of $3.2bn in USD bonds per month. Assuming a conversion ratioconsistent with Chinese exporters (60.9% on average over last 12 months), nPay CCS flows - Foreign corporates undertaking balance sheet (B/S)hedges: US and European MNCs have accumulated an estimated $577billion in direct investment in China. PWC's Global Treasury Surveyindicates that 36% of large-cap companies conduct B/S hedges. Assuming The aggregate flows above seem to match, with little obvious structural orpersistent gap. It's crucial to note though that these flows are driven by diversefactors and exhibit varying seasonality, creating opportunities for speculative 21 November 2025Asia Macro Strategy Notes attractive. Over the medium term, as RMB internationalization progresses, we anticipate arelative increase in receive CCS flows, which could pressurize CNH Xccy basis Q2. Will CNH Xccy basis rise significantly into year-end, mirroring last year’strend? Last year's sharp rise of CNH Xccy basis into year-end was primarily driven by: 1)elevated FX points amid RMB weakness, 2) rising corporate B/S hedging flows, 3)increased paying flows from Chinese corporates issuing USD bonds, and 4) a lack With the introduction of the RMB liquidity facilities and the HKMA’s commitmentto ensuring stable CNH liquidity, CNH FX points have remained relatively stablesince June. We see little reason for this to change into year end. The other three drivers for a higher CNH Xccy basis are, to some extent, linked to theRMB's weakness observed in the final quarter of last year. However, given theRMB's current resilience, it's unlikely that CNH Xccy basis is bid up into year-end, Q3. Will the receive INR Xccy basis trade continue to perform into year-end? The receive INR Xccy basis trade has performed well thus far. While some clientshave raised concerns about a potential increase in ECBs issuance in December, weremain sanguine. News reports suggest a high probability of IGBs being includedin the Bloomberg Global Aggregate Index. This development is expected to Furthermore, our economists anticipate the RBI will inject INR 1.5-2.0 tn of rupeeliquidity, likely via OMO purchases and/or long-term FX swap auction. Previouslong-term FX swap auctions earlier this year led to a significant decline in the INR See charts on following pages... Source : Deutsche Bank, Bloomberg Finance LP, CEIC Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP, DTCC Cross-currency swap monitor Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP CCS seasonality monitor Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP ASW monitor for USD-based investors ASW monitor for EUR-based investors ASW pick-up over SOFR/ESTR for 5-year Asian GBs Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Intra-Asia ASW monitor EMTN monitor Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Balance sheet hedge monitor for USD based MNCs Balance sheet hedge monitor for EUR-based MNCs Source : Deutsche Bank, Bloomberg Finance LP Asia Credit issuance & maturity monitor Source : Deutsche Bank, Bloomberg Finance LP, Bondradar Source : Deutsche Bank, Bloomberg Finance LP, Bondradar Source : Deutsche Bank, Bloomberg Finance LP, Bondradar Appendix 1 Important Disclosures *Other information available upon request *Prices are current as of the end of the previous trading session unless otherwise indicated and are sourced from localexchanges via Reuters, Bloomberg and other vendors . Other information is sourced from Deutsche Bank, subject companies,and other so