CCS监测：接收CNH交叉货币基差

21 January 2026Date CCS monitor: Receive CNH Xccy basis Bryant XuStrategist+65-6423 5558Jalaj SinghResearch Associate We have been arguing that the medium-term direction for the CNH Xccy basis islower, underpinned by a booming dim sum bond market and renewed momentumin RMB internationalization. However, we had stopped short of recommendingreceiving the basis late last year, given the risk from seasonal dynamics—namelybalance sheet hedging and heavy USD bond issuance— towards widening the Key downward drivers are re-emerging nStrong dim sum bond issuance by non-Chinese entities. Foreign entitieshave issued CNH 20.7bn in dim sum bonds over the last four weeks, thesecond-strongest start to a year in the last five years. We expect this trendto continue, given the decent funding cost savings available by issuing dimsum bonds and swapping back to USD versus issuing USD bonds directly. nAccelerating Offshore RMB Lending.Offshore RMB loans, a key part ofChina's RMB internationalization push, grew dramatically in 2025 and lookset for a strong Q1 2026. Following last year's precedent, we expect a surgein lending activity as corporates enact new-year budgets and banks deploy Temporary upward pressures are fading The recent spike in the CNH Xccy basis was driven by three factors that are now nElevated front-end CNH yields: CNH front-end implied yields spiked due topoor CNH liquidity at the turn of the year, elevated onshore CNY impliedyields, and strong CNH demand linked to onshore equity performance. nHeavy USD bond issuance: The wave of USD bond issuance by Chineseentities from late 2025 appears to have passed its peak. We see little scopefor a rebound, as the central government is guiding LGFVs to reduceleverage and the property sector remains in a downturn. nSeasonalhedging:Balance sheet hedging is seasonally strong in December and early January; the bulk of these flows is likely now behind us. Giventhese supportive fundamental drivers and the fading of temporaryheadwinds, we recommend receiving the 5Y CNH Xccy basis at 5bps, with a target Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP, CEIC 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 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 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 sources. For further information regarding disclosures relevant to Deutsche Bank Research, please visit our globaldisclosure look-up page on our website at https://research.db.com/Research/Disclosures/FICCDisclosures. Aside from withinthis report, important risk and conflict disclosures can also be found at https://research.db.com/Research/Disclosures/ Analyst Certification The views expressed in this report accurately reflect the personal views of the undersigned lead analyst(s). In addition, theundersigned lead analyst(s) has not and will not receive any compensation for providing a specific recommendation or view Additional Information The information and opinions in this report were prepared by Deutsche Bank AG or one of its affiliates (collectively 'DeutscheBank'). Though the information herein is believed to be reliable and has been obtained from public sources believed to bereliable, Deutsche Bank makes no representation as to its accuracy or completeness. Hyperlinks to third-party websites in thisreport are provided for reader convenience only. Deutsche Bank neither endorses the