提高公司债券市场流动性Enhancing the Market Liquidity of Corporate

1、提高公司债券市场流动性 Enhancing the Market Liquidity of Corporate Bonds 中国金融市场各类资产流动性比较 Comparisons of Liquidity of Various Capitals in Chinese Financial Market 张 睿/ Zhang Rui 2008.9.21 sw108申万研究 申万研究2 中国公司债券市场发展中国公司债券市场发展/ /The Development of Chinese Corporate Bond 各类金融资产流动性比较各类金融资产流动性比较/ /Comparisons of the

2、 Liquidity of Various Financial Capitals 提高公司债券市场流动性建议提高公司债券市场流动性建议/ /Suggestions for Enhancing Corporate Bond Liquidity 主要内容/ Contents 申万研究3 中国公司债券市场发展：银行间市场 The Development of Chinese Corporate Bond Market: Inter-Bank Market n2002年以来，中国公司债券市场快速发展，2007年银行间市场公司债券托管量（不考虑 金融机构债券）达到7949亿，较2001年增长22.65倍

3、，年均复合增速达到70%，预计2008 年公司债券发行量将超过9000亿，托管量将超过1万亿，约占债券市场总量的7%。 nIn 2007, the amount of corporate bonds in inter-bank market is 794.9 billion, which is 22.65 times compared to that of 2001. The annual complex increase rate is 70%. It is estimated that the issuing amount of corporate bond will exceed 900

4、 billion, with the amount of trusteeship exceeds 1000 billion, which account to approximately 7 % of the total bond market. n银行间市场的公司债券品种包括1年以下的短融、3-5年的中期票据、以及5年以上的企业 债 nCorporate bonds in the inter-bank market include short-term financing bills within 1 year , 3-5 year medium-term bills, and 5-year

5、-and-plus corporate bond. 银行间市场公司债券发行量（2000-2008.7） Amount of corporate bond in inter-bank market 银行间市场公司债券托管量（2000-2008.7） Amount of Trusteeship of Corporate bond in inter-bank market 资料来源：Chinabond，申万研究 0 5000 10000 15000 20000 2001 200220032004 200520062007 Jul- 08 Corporate bondGovernment bond 亿

6、元 100 million 0 10000 20000 30000 40000 50000 60000 2000 2001 2002 2003 2004 2005 2006 2007 Jul- 08 Corporate bondGovernment bond 亿元100 million 申万研究4 中国公司债券市场发展：交易所市场 The Development of Corporate Bond Market in China: Bourse Market n2006年，交易所推出分离债品种，2007年推出公司债品种，2008年或推出可交换债品种，交易所公 司债券市场成为公司债券的另一大交易

7、平台 nIn 2006,the bourse issued a kind of warrant bond, in 2007 corporate bond, in 2008, exchangeable bond. The bourse corporate bond market become another large trading platform for corporate bonds. n商业银行不能参与交易所公司债券市场，但个人、企业投资者可直接参与，小额交易的流动性较好 nCommercial banks cannot participate the bourse corporate

8、 bond market, but individuals and firms can directly join in, as the liquidity of small amount trade is good. 资料来源：申万研究 交易所债券市场公司债券发行品种 various sorts of corporate bonds in the bourse bonds market 0 400 800 1200 1600 200620072008(E) warrant bondsCorporate bond 100 million100 million 申万研究5 中国公司债券市场发展

9、The development of corporate bond market in China n公司债券的行业分布主要集中在工业、公用事业、能源等行业，大型央企是主要的融资主体 nIndustry distributions of corporate bonds are concentrated on manufacturing, public affair, and energy, etc. large-scale state-owned firms are the main financing entities. n1年以下及5-10年品种是目前公司债券市场的主流品种，1、3、5、7

10、、10、15年成为关键发行期限 nThe bonds within 1 year and 5-10 year bonds are the main products in the market.1, 3, 5, 10, 15 are the key maturities. n商业银行、保险机构、基金、信用社是公司债券最大的四类持有机构，持有比例将近90%，个人投资者 持有比例最低 nCommercial banks, insurance institutions, funds, and credit institutions are the four main holders of corpo

11、rate bonds, the holding percentage of which is up to 90%. Percentage of individual holder is the lowest. 0 1000 2000 3000 4000 5000 工业 公用事业 材料 能源 金融 电信服务 可选消费 日常消费 信息技术 医疗保健 亿元 100million Industry distribution of corporate bonds in inter-bank market（2008.7） Time limit for corporate bonds （2008.7） 资料

12、来源：Chinabond，Wind，申万研究 41% 6% 31% 11% 2%2%1% 5% 1% 0% 商业银行信用社保险 基金证券公司非银行金融机构 非金融机构个人投资者交易所 特殊结算成员 Investor distribution（2008.7） 0 500 1000 1500 2000 2500 3000 3500 1年 以 下1-3年3-5年5-10年10年 以 上 亿元 100million 申万研究6 1. 中国公司债券市场发展/The development of Chinese corporate bond market n 公司债券市场发展的意义/The signifi

13、cance of corporate bond market 推动直接融资、拓宽企业融资渠道/ promote direct financing, enlarge channels for corporate financing 分散银行信用风险、促进银行经营模式转变/ separate banks credit risk, promote the transformation of bank management 增加机构投资者和个人投资者的可投资品种，促进债券市场多层次发 展/ increase the investment products for institution investo

14、rs and individual investors, promote multi-level development of bond market n 公司债券市场发展的重点/ focuses of the development of corporate bond market 完善信用评级体系，建立合理的定价方法/ improve credit rating system, establish rational pricing mechanism 提高公司债券市场的流动性，分散系统性风险，减小流动性利差/ enhance the liquidity of corporate bond

15、market, separate systematic risk, reduce interest spread in liquidity. 申万研究7 中国公司债券市场发展/ The development of Chinese corporate bond market 各类金融资产流动性比较/ comparison of liquidity for various financial capitals 提高公司债券市场流动性建议/ Suggestions for enhancing the liquidity of corporate bond market 主要内容/ Contents

16、 申万研究8 2. 各类金融资产流动性比较/ Comparisons of the liquidity for various financial capitals n 债券：国债、公司债券/ Bonds: treasury bonds and corporate bonds n 股票：沪深股市/ Stock: the stock market in Shenzhen and Shanghai n 基金：封闭式基金/ Funds: closed-end funds 申万研究9 0 50000 100000 150000 200000 200020012002200320042005200620

17、07Jul- 08 短 融企 业 债国 债央 票金 融 债资 产 支 持 证 券 2.1 债券市场：流动性偏弱/ Bonds market: low liquidity n债券市场发展初期投资者多选择持有到期策略，债券流动性较差，随着市场规模的不断扩大和双边报价制度的推出， 债券交易量逐渐放大 nAt the infancy phase of bond market, investors are likely to choose to hold the bonds until expiration, which makes low liquidity of bonds. As market s

18、cale becomes larger, and the debut of bilateral pricing system, the volume of trading becomes larger. n现券用于回购融资的交易量是现券交易量的数倍，回购融资能力对流动性需求影响很大 nThe existing bonds that are used for Repo are larger than the existing bond trade volume. Repo ability are influential to demand of liquidity. n2008年1-7月，银行间

19、市场公司债券的交易量占市场总交易量约7.8%，用于质押式回购的公司债券交易量占市场总交 易量约4.1%，公司债券的回购融资功能明显偏弱 nDuring January to July, 2008, the trading volume of inter-bank corporate bond market is 7.8% of the total market. Corporate bonds used in pledge-style Repo is 4.1% of the total market. The Repo abilities of corporate bonds are low.

20、 0 100000 200000 300000 400000 500000 2001200220032004200520062007Jul- 08 短融企业债国债央票金融债资产支持证券 亿元 100million 亿元 100million Trading Amount of inter-bank market existing bonds（2000-2008.7） Trading amount of inter-bank market for mortgage buy-back bonds（2000-2008.7） 资料来源：Chinabond，申万研究 申万研究10 2.1 债券市场：流动

21、性偏弱/ Bonds market: comparatively low liquidity n2008年1-7月债券市场换手率达到1.5左右，流动性指标趋势不断向好，但绝对水平依然较低 nThe bond turnover ratio in the bond market during January to July, 2008 is 1.5, the trend of liquidity is better, while the absolute level is still low. n从品种比较看，银行间债券市场的流动性指标似乎依次是短融央票金融债企业债国债资产支持证券，而实际情况是

22、公司债券的虚假交易很多，往往新券上市初期成交较为活跃，随后则沉淀在投资者手中；资质差的公司债券流动性不如 资质好的公司债券 nIn terms of products sorts, liquidity indicator in inter-bank bond market are in sequence: short-term financing billcentral bank billfinancial bondscorporate bondstreasury billasset-backed securities, but the fact is that fake trading is

23、 a commonplace regarding to corporate bonds. Usually they are active when issued at first, then precipitated in the hands of investors. bad-quality corporate bonds have lower liquidity than good-quality bonds n交易所市场个券的换手率更能明显说明新券流动性较好的特征 nTurnover ratio of individual bonds in the bourse market can b

24、etter explain the liquidity of new bonds 1.300.00 0.00 0.000.00 0.00 0.05 1.04 1.33 0.0 3.0 6.0 9.0 20002001200220032004200520062007Jul- 08 短融企业债国债 央票金融债资产支持证券 所有债券(右轴） 0.00 0.20 0.40 0.60 0.80 2006-12 2007-2 2007-4 2007-6 2007-8 2007-10 2007-12 2008-2 2008-4 2008-6 2008-8 Turnover ratio of corporat

25、e bonds in inter- bank market（2000-2008.7） Monthly turnover ratio of 06 Sino-chem （126002） bonds in the bourse market 资料来源：Chinabond，申万研究 申万研究11 2.1 债券市场：流动性偏弱/ Bond Market: low liquidity n公司债券流动性较差的原因/ the reasons for low liquidity of corporate bonds 1、信用评级体系不完善，产品信用差异难以区分，二级市场缺乏合理定价方法 Incomplete c

26、redit rating system, credits differentiation of products are vague, secondary market lacks rational pricing mechanism. 2、能否用于质押式回购是衡量流动性的重要标准，而在银行间市场这取决于交易对手，即使AAA 评级公司债券在进行回购融资时亦有诸多限制，相比央票、金融债面临劣势 Whether or not Pledge-style Repo is an important standard for bond liquidity, and in the inter-bank ma

27、rket, this depends on trading counterparts. Compared to central bank bill and financial bonds, a AAA corporate bond still has many limits in Repo. 3、一级市场发行方式非市场化，发行利率对市场利率的敏感度相比国债反应滞后 We issue the corporate bonds in the primary market is not in a market way. Issuing interest rate is less sensitive t

28、o market interest rate than the treasury bond . 4、市场规模整体较小，发行不是连续行为，收益率变动往往由一级市场向二级市场传导；而二 级市场缺乏做市商，双边报价活跃度较低 The market is sill very small, and the issue is not a successive process. The change of income rate usually transfers from the primary market to the secondary market, while secondary market

29、lacks market-maker, and bilateral pricing system is less active. 5、投资群体有限，机构风险偏好层次非常单一，以持有到期需求为主，交易型需求不足，缺乏 转移信用风险的衍生产品 The investors are very few and limited to single risk preference. Majority holders willing to hold the bonds to expiration. Trading demands is insufficient, and the derivatives tha

30、t can transfer credit risks is absent. 申万研究12 2.2 股票市场：流动性最好/ Stock Market: best liquidity n股票与债券为金融市场两大资产，至2008年7月，沪、深两市A股总市值达到18.05万亿，超过债券市 场总量 nStocks and bonds are two main assets in financial markets. Up to July, 2008, Market cap of the A share stock markets of Shenzhen and Shanghai is up to 18

31、.05 trillion, which exceeds the total amount of bond market n两市A股交易量逐年增大，2007年以来超过债券现券成交量 nThe trade volume of A share stock market in Shenzhen and Shanghai increase every year, up to 2007, they have exceeded the trade volume of bond market n自2002年起A股流通股年换手率在2以上，且逐年上升，2007年达到7.3，2008年1-7月换手率达到2.43，

32、流动性好于债券资产 nEver since 2002, the turnover ratio of A share stock market has been up to 2, and is increasing every year. In 2007, the figure is 7.3, and the turnover ratio during January to July 2008 is 2.43, which means a better liquidity than bond 0 100000 200000 300000 400000 500000 200220032004200

33、520062007Jul-08 0 1 2 3 4 5 6 7 8 交 易 量换 手 率 亿元100million 0 50000 100000 150000 200000 250000 300000 350000 200220032004200520062007Jul-08 亿元100million Annual turnover ratio of A share markets （2002-2008.7） Total capital amount of A share stock markets （2002-2008.7） 资料来源：Wind，申万研究 申万研究13 2.3 封闭式基金：规

34、模小，流动性差/ Exclusive funds: small scale, low liquidity n基金规模增长同样较快，开放式基金规模远大于封闭式基金。至2008年7月，开放式基金净 值达2.03万亿，封闭式基金净值仅为726亿 nThe scale of funds increase quickly as well. The scale of open-end funds are bigger than closed-end funds. Up to July, 2008, the net value of open-end funds is up to 2003 billion,

35、 and closed-end funds is only 72.6 billion. 0 500 1000 1500 2000 2500 2000 2001 2002 2003 2004 2005 2006 2007 Jul- 08 基金净值基金份额 0 5000 10000 15000 20000 25000 30000 35000 20002001200220032004200520062007Jul- 08 开放式基金份额（亿份）开放式基金净值（亿元） Scale of open-end funds （2000-2008.7）Scale of closed-end funds （200

36、0-2008.7） 资料来源：Wind，申万研究 申万研究14 2.3 封闭式基金：规模小，流动性差/ Closed-end funds: small scale, low liquidity 0 1 2 3 4 5 200220032004200520062007Jul-08 n封闭式基金换手率低于股票，但高于债券，05年以来随着股市上涨，封闭式基金流动性迅速提高，2007 年换手率达到4左右，08年1-7月回落至1.6 nThe turnover ratio of closed-end funds is lower than stocks, but higher than bonds. A

37、s the stock market develops since 2005, the liquidity of closed-end funds increases too. The turnover ratio is around 4 in 2007,and dropped to 1.6 during January to July, 2008. n由于封闭式基金规模太小，其流动性与国债、股票难以比较，但如果推出针对公司债券的封闭式基金， 有助于缓解公司债券的流动性风险 nBecause the small scale of closed-end funds , it is difficu

38、lt to compare the liquidity between closed-end funds and treasury bill or stocks. But if closed-end funds that focus on corporate funds can be issued, it can relieve the liquidity risk of corporate funds. Exchange rate of open-end funds （2002-2008.7） 资料来源：Wind，申万研究 申万研究15 2.4 小结/ Conclusion n2002年以来

39、，债券市场流动性有所改善，但在股票、债券、封基三类金融资产中，债 券的流动性整体仍然比股票市场差，不具备优势 nEver since 2002, the liquidity of bond market has been improved, but among stock, fund, and bond, the liquidity of bond is still lower than stock n在债券品种中，真实的流动性排序依次是央票金融债国债公司债券，公司债券虚假 交易较多，上市初期交易活跃，但很快沉淀在投资者手中，资质差的公司债券流动性 不如资质好的公司债券 nThe real l

40、iquidity sequence among bond products is central bank billfinancial bondtreasury billcorporate bond. The fact is that fake trading is a commonplace regarding to corporate bonds. Usually they are active when issued at first, then precipitated in the hands of investors. Bad-quality corporate bonds hav

41、e lower liquidity than good-quality bonds. n能否质押回购对公司债券的流动性需求影响很大 nWhether or not Pledge-style Repo highly affects bond liquidity n封闭式基金流动性指标好于债券，但规模太小，如果推出针对公司债券的封闭式基金， 有助于缓解流动性风险 nThe liquidity of closed-end funds are better than bonds, but its scales is too small. If closed-end funds that focus o

42、n corporate bonds can be issued, the liquidity risk can be relieved. 申万研究16 中国公司债券市场发展/ The development of Chinese Corporate bond market 各类金融资产流动性比较/ Comparison of liquidity of various financial capitals 提高公司债券市场流动性建议/ Suggestions for enhancing the liquidity of corporate bonds 主要内容/ Contents 申万研究17

43、3. 提高公司债券市场流动性建议/ Suggestions for enhancing the liquidity of corporate bonds n金融资产的流动性一方面取决于市场供需，即需要变现的的时候能否找到交易对手，另一方面取决于二级市场定 价能力，即以什么价格进行交易 nOn the one hand, liquidity of financial assets is decided by demand and supply in the market, i.e. whether trading counterparts can be found when products n

44、eeds to be transformed to money. On the other hand, it is decided by the pricing ability in secondary market. n当经济危机发生时，系统性风险成为公司债券市场面临的最大风险，市场需求和流动性可能瞬间消失，从而对产 品估值带来严重影响。随着公司债券市场规模不断扩大，流动性问题益发重要 nWhen economic crisis happens, systematic risk becomes the biggest risk faced by corporate bond market.

45、Market demand and liquidity can disappear at once, and cause serious influence on product pricing. As the scale of corporate bonds increase, liquidity becomes more important. n金融资产的变现能力与交易需求相辅相成，流动性越好的品种市场需求越大，而完善的定价体系则是推动公司债 券流动性的决定因素，我们应从市场制度、一级市场发行、二级市场交易等全面立体角度完善市场建设，提高公 司债券品种的流动性 nThe liquidity

46、 of financial assets and trading demands are inter-dependent. Better liquidity entails more market demands, and complete pricing system is the determining factor for enhancing liquidity of corporate bond. We should try to enhance corporate bond liquidity from the perspective of market system, primar

47、y market issuing, secondary market trading, etc. firmbroker investor investor Inter-bank market bourse 申万研究18 3.1 增强银行间市场、交易所市场的联动性/ enhance the interaction of inter-bank market and bourse market n银行间市场、交易所市场的分割造成公司债券在两个市场的表现差异可能很大，商业银行不能 进入交易所市场、跨市场套利的制度成本使得公司债券定价体系比较混乱，例如交易所市场相 对银行间市场的流动性溢价补偿曾高达80

48、bp以上 nThe segmentation of inter-bank market and bourse market makes the performance of corporate bonds in both markets differs greatly. That commercial banks cannot enter the bourse market, and the institution cost of trans-market arbitrage make the corporate bond pricing system chaotic. For example

49、, the compensate of liquidity premium between bourse and inter-bank market was ever amounted to over 80 bp n建议提高两市场之间的联动性，降低转托管的操作难度（目前为T+3)，为无风险套利创造机会， 从而提高公司债券品种的流动性，促进公司债券的合理定价 nEnhance the interaction between the 2 markets, reduce the operational difficulty of trusteeship (currently T+3), and cr

50、eate chances for non-risk arbitrage, so as to improve liquidity and rational pricing of corporate bonds. n探索商业银行进入银行间市场、公司债跨市场发行或两市场统一的可能性 nExplore the possibilities of commercial banks entering inter-bank market, trans- market issuing of corporate bond and the unification of two markets. Inter-bank

51、 market Commercial bank Insurance company funds Credit institution Non-bank financial agent Bourse market Insurance company funds Individual investor enterprises T+3 申万研究19 n增强信用评估能力，建立公司债券定价体系，二级市场能够合理定价是提高市场流动性和防范信用风 险的必要条件，尤其在银行担保方式取消后对各类企业和担保方式的评估 nWe should enhance the ability of credit rating

52、and build up corporate bond pricing system. The rational pricing ability of secondary market is the necessary condition for better market liquidity and prevention of credit risk, especially for the evaluation of various enterprises and ways of guarantee after the cancellation of bank guarantee. n加强审

53、计制度，发行债券的上市公司与非上市公司均应提高信息披露制度和透明度，定期公布跟踪评 级结果，不定期公布公司重大事项对企业偿债能力的影响，并及时提示风险 nEnhance auditing system, quoted companies and non-quoted companies which issued the corporate bonds should improve their information disclosure system and transparency, announce track rating results regularly, aperiodicity

54、publish important events and its influence on the companys solvency, and predict risk. n银行担保取消后，各类新的担保方式包括/ After the cancellation of bank guarantee, new ways of guarantee include: 互相担保/ mutual assurance 集团担保/ group assurance 担保公司担保/ assurance by assurance company 土地等资产抵押担保/ mortgage guarantee by la

55、nd or other assets 股权、应收账款等资产质押担保/ stock rights, receivable accounts and other assets assurance 3.1 建立有效的信用评价体系/ Establish effective credit rating system 申万研究20 3.2 一级市场：丰富产品结构，扩大公司债券供给/ primary market: enrich product structure, enlarge supply of corporate bonds n信用风险具有很强的集聚性，如果发行企业过于集中在某几个行业，可能在行业风

56、 险加大的时候对市场流动性带来严重影响 nCredit risk is highly aggregative. If issuing companies are limited to certain industries, it can influence market liquidity when industrial risk increases. n丰富产品结构，鼓励更多行业进行债券融资，将为投资者提供更多的选择来分散信 用风险和流动性风险；同时随着产品供给的增加和市场规模的扩大，二级市场定价 能力亦将提升，从而促进市场的流动性 nEnriching products structure

57、, and encouraging more industries to perform bond financing will provide more choices to separate credit risk and liquidity risk for investors. Meanwhile, as the abundance of products and enlargement of market scale, the ability of pricing of the secondary market will enhance too, so to enhance the

58、liquidity of market. n鼓励中小企业捆绑发债，中小企业债券由于规模很小，市场流动性往往很差，通过 捆绑方式发债，既可分散信用风险，也有利于提高产品的流动性. nEncourage small and medium size companies to do a binding bond issue. Small and medium size companies have low liquidity due to their small size. Through binding bond issuing, credit risk can be separated, and

59、liquidity of products can be improved. 申万研究21 3.2 一级市场：丰富投资者结构，提高承销商市场议价能力/ primary market: enrich the investor structure, and the pricing ability of bond brocker n不同类型的投资者参与到市场中有助于提高市场流动性并 分散信用风险，在现有的市场结构和投资者结构下供给压 力可能遭遇需求的瓶颈；同时也丰富了机构和个人投资者 可投资的金融资产，建议降低利息所得税和交易费用，吸 引更多的中小投资者 nParticipation of vari

60、ous investors can enhance the liquidity and lower credit risk. Under the current market structure and investor structure, supply pressure may face demand bottleneck. It is suggested to reduce interest rate and trading fees to attract more medium and small investors. n加强一级市场的市场化定价能力，将对二级市场形成良好 的引导作用；