Abstract摘要：履约需求或使碳价筑底反弹

Compliance Demand May Drive Carbon Prices to Rebound履约需求或使碳价筑底反弹 张默涵Zhang Mohan从业资格号Qualification No：F03097187投资咨询号Consulting No.：Z0020317桂晨曦Gui Chenxi从业资格号Qualification No：F3023159投资咨询号Consulting No.：Z0013632 CITIC Futures International Service Platform：https://internationalservice.citicsf.com Abstract摘要 1.Calculation of Carbon Allowance Surplus orDeficitin the National Carbon Market Overthe Years A.The net increase in carbon allowances for the first three compliance periods of the national carbonmarket were 317mn t, 14mn t, and-29mn t, respectively; taking into account the usage of CCERs and thecompliance completion rate of key emitting entities during the first three compliance periods; the totalsurplus of carbon allowances in the market was approximately 368mn t at the beginning of 2024. B.Assuming the company's carbon emission intensitydecreasedby 0.5% in 2024 compared to2023, andconsidering the introduction of an appropriate correction factor for the average carbon emissionintensity of theUtilities &EPsector based on the statistics bureau's published data on thermal powergeneration above the designated size, the estimated net increase in market carbon allowances for 2024was-29mn t; the total surplus of market carbon allowances at the beginning of 2025wasapproximately345mn t. C.Under the scenario of full market quota carry-over, quotas are either used for compliance orcarried forward to the next year if they meet therequirements. When enterprises with surplus quotasreasonably plan their quota transactions to meet the carry-over requirements, thebankingpolicy will notresult in market quotas "disappearing out of thin air'; the total surplus of market carbon quotas at thebeginning of 2026will beapproximately 316mn t. 2.The national carbon marketmayreboundfrom its bottom. In Oct, the national carbon market trading volume was 41.5625mt, an increase of 27.1% comparedto Sep, further reducing thepassive quota sales volume. Calculations show that under three trading modelassumptions, if wedo not consider the proactive over-selling by enterprises,thepassive quota salesvolumehas reached 0, indicating that the remaining allowances of quota-surplus enterprises may havealready met the maximum carry-overrequirement, leading to a decrease in the willingness to sell andconfirming the bottom support for carbon prices.As compliance demand continues to release inNov, carbon prices may sustain a rebound until the compliance demand subsides. It isnecessary to monitor daily trading volume data; a reduction in trading volume could signal arisk of a pullback in carbon prices after the rebound. Risks:1) Limitations of trading model assumptions; 2) Data precision constraints in the calculationof quota surpluses and deficits; 3) Diversity in corporate tradingbehaviors; 4) Carbon market policies. 1.历年碳配额盈缺测算 结论一：全国碳市场前三个履约周期市场碳配额净增量分别为3.17亿吨、0.14亿吨及-0.29亿吨；综合考虑前三个履约周期中CCER使用量及重点排放企业的履约完成率等因素，2024年初市场碳配额总盈余约3.68亿吨。 结论二：假设企业碳排放强度2024年较2023年下降0.5%，根据统计局公布的规模以上火力发电量，并对电力行业平均碳排放强度考虑引入适当的修正系数进行修正，测算得2024年度市场碳配额净增量为-0.29亿吨；2025年初市场碳配额总盈余约3.45亿吨。 结论三：市场配额完全结转情景下，配额或用于履约，或满足结转条件结转至明年使用。在配额盈余企业合理规划配额交易以满足结转要求的情况下，结转政策并不会导致市场配额“凭空消失”；2026年初市场碳配额总盈余约3.16亿吨。 2.全国碳市场筑底反弹 10月全国碳市场成交量为4156.25万吨，交易量较9月份增长了27.1%，被动卖出的配额余额进一步减小。经测算，在三种交易模型假设下，若不考虑企业的主动超额卖出情况，被动卖出的配额余额已等于0，表明配额盈余企业剩余配额或已满足最大可结转量的要求，企业卖出意降低，碳价的底部支撑已得到确认。随着11月履约需求的进一步释放，碳价或将持续反弹至履约需求退场。需关注日成交量数据，成交缩量则需警惕碳价反弹后的回调风险。 风险因子：1）交易模型假设的局限性；2）配额盈缺测算过程数据精度受限；3）企业交易策略、交易行为的多样性；4）碳市场政策。 Content目录 1.1 Background.......................................................................................................................................................51.2 Research purpose............................................................................................................................................51.3 Assumptions......................................................................................................................................................5 2. Carbon Market Allowance Surplus Calculation...............................................................6 2.1 The carbon allowance surplus and deficit in the first three compliance cycles.......................................62.2 The carbon allowance surplus and deficit in the fourth compliance cycle...............................................8 3. Impact of the Quota Banking Policy................................................................................11 3.1Quota banking policy requirements.............................................................................................................113.2 Maximum Carry-over Trading Strategy.......................................................................................................12 4. Outlook on the National Carbon Market..........................................................................13 4.1 Calculation of the "passive quota sales volume"..........................................................................