When Chinese government bonds and policy financial bonds are fully included in the Bloomberg Barclays Global Aggregate Index, Bloomberg launched the world's first credit bond index that tracks internationally-rated Chinese issuers.
On November 5, Bloomberg announced the launch of the Bloomberg Barclays Liquid China Credit (LCC) Index, which tracks the highly liquid and tradable bonds denominated in RMB in Chinese inter-bank credit bond market .
At the beginning of November this year, Chinese government bonds and policy financial bonds were fully included in the Bloomberg Barclays Global Composite Index. At present, the weight of Chinese bonds in the index is about 6%, and RMB has become the fourth largest currency in the index after the US dollar, the Euro and the Japanese yen. Since April 2019, Chinese government bonds and policy financial bonds have been officially included in Bloomberg Barclays Global Composite Index, and this has been gradually completed in 20 months. This opened the way for RMB bonds to be included in the mainstream international bond index. Following the recent announcement by FTSE Russell that Chinese government bonds will be included in the FTSE World Treasury Index (WGBI), the Chinese bond market will be fully included in the world’s three major bond indices.
Steve Berkley CEO of Bloomberg Index Services Co., Ltd. said that after China's government bonds and policy financial bonds are fully incorporated into the global composite index, the creation of the LCC index will help global investors better understand and invest in the Chinese credit bond market. It is expected that this new index can help market participants better understand the characteristics of China’s credit bond market. Investors and asset managers can use the LCC index in a variety of ways, including new product launches, derivative contracts, and traditional benchmark setting etc.
Bloomberg explains the compilation method of LCC index
Ji Zhuang, head of Bloomberg's Asia-Pacific index business, told reporter that the compilation of the world's first China credit bond index that tracks the issuer's investment grade given by an international rating agency is the first step to establish a more widely accepted Chinese credit bond market by foreign investors. The index is expected to create a way for the inclusion of RMB credit bonds in the Bloomberg Barclays Global Composite Index.
In terms of the specific compilation method of the LCC index, according to Ji Zhuang, the compilation of the index is based on the same rules as the Bloomberg Barais China Composite Index, while using the transaction amount of bond in the National Interbank Funding Center (hereinafter referred to as the trading center) and the issuer ratings of the three major global rating agencies determine the bonds that can be included.
"In order to reflect the tradable and highly liquid parts of China's credit bond market, the LCC index adopts a unique compilation method, taking into account the bond transaction data of the trading center and other conditions. Specifically, the bond should meet the conditions that at least 10% of the trading days have been traded in the past three months and the total transaction amount exceeds 250 million yuan (inclusive)." Ji Zhuang said.
It is worth noting that the bonds included in the LCC index must meet the standards of the Bloomberg Barclays China Composite Index and must also meet: at least one of the world’s three major rating agencies which give the issuer an investment rating; non-subordinated bonds should have the expiration date exceeds 1 year. In addition, the bonds will remain in the index until the maturity, and the weight of issuance limit is 10%. The frequency of rebalancing the LCC index is once a month, and the frequency of adding eligible bonds is once a quarter.
As of October 30, 2020, the LCC index included 125 securities from 48 issuers. The average yield of bonds included in the index was about 3.4%, and the average duration was 1.9 years. From the perspective of the industry classification of the bond issuer, the financial category accounts for as high as 53%, and the government-related category accounts for 43%.
"Icebreaking" starts with the passive investors tracking index
After the issue of China’s treasury bonds and policy financial bonds, foreign capital has gradually turned its attention to China’s credit bond market, it is an inevitable process for China’s bond market to expand to the world. Bing Li, President of Bloomberg Asia Pacific, said that the types of foreign investors in China’s government bonds and policy financial bonds have been diversified. The release of the LCC index will help international investors better understand and evaluate China’s credit bond market and enhance international investment as well as enhance the interest and participation rate on China’s credit bond market.
The degree of internationalization of China's credit bond market is far less than that of government bonds and policy financial bonds. Although China’s bond market continues to attract the capital inflows of foreign capital, foreign investment enthusiasm is concentrated in the areas of national debt and policy financial bonds. There is a long way to go to attract the world investors due to the lack of foreign capital's understanding of China's credit bonds market and the imperfect infrastructure of China's credit bond market.
Jian Hu, vice president of E Fund and director of fixed income investment, said that there are three main reasons why most international investors have not yet fully accepted RMB credit bonds: First, the credit rating infrastructure of China’s bond market is not yet complete. Foreign rating agencies were only allowed to carry out bond credit rating business in China. At present, most domestic credit bonds have not been rated by international rating agencies. The second is the uniformity of the Chinese bond market, such as the inter-bank market and exchange market related rules and systems. Consistency needs to be further improved; third, China’s bond market needs to further strengthen the interaction between the issuers and investors, the interaction is relatively lacking in China’s credit bond market. The vast majority of investors and issuers have little communication, making overseas investor cannot understand the market more clearly.
In Jian's view, the launch of the world's first credit bond index that tracks internationally-rated Chinese issuers has "ice-breaking" significance. "Although large international asset management institutions are currently establishing credit analysis teams for Chinese market, there are still many international investors who are not asset management institutions restricted by the inability to establish a dedicated RMB credit bond analysis team, therefore it is difficult to understand the market for them in detail. The establishment of the LCC index will first promote international passive investors to track the index for investment. In this sense, the establishment of the LCC index is an ice-breaking measure."
However, ice-breaking is only the first step. Many industry experts, including Bing Li and Jian Hu, believe that the reform and opening up of China’s bond market has entered a new stage. In the future, China's bond market will be more challenging in terms of improving infrastructure, deepening the policy and mechanism reforms. .
"Take credit rating infrastructure as an example. Domestic credit bond issuers with extensive coverage by international rating agencies are expected to take at least five years. Therefore, it is expected that it will take at least three years to make China’s credit bond market be more internationally attractive. Time." Jian Hu said.
Foreign capital has increased its holdings for 23 consecutive months. What does the mid- and long-term attractiveness of RMB bonds depend on?
Since the beginning of this year, foreign institutional investors have continued to increase their holdings of RMB bond assets. As of the end of October, they have increased their holdings of RMB bonds for the 23rd consecutive month. According to data released by China Bond Board recently, as of the end of October 2020, the institution has custodial bonds for overseas institutions with a face value of 2,682.676 billion yuan, an increase of 3.3% month-on-month and 48.53% year-on-year.
Treasury bonds and policy financial bonds are the most popular assets by foreign investors. According to Bloomberg data, as the end of September, among RMB bonds held by foreign investors, treasury bonds and policy financial bonds held a monthly holding scale of US$440 billion, accounting for about 85% of all foreign holdings. Especially since China’s government bonds and policy financial bonds were included in the Bloomberg Barclays Global Composite Index in April 2019, the value of foreign holdings of Chinese government bonds and policy financial bonds have increased by US$150 billion
It is worth noting that since the second quarter of 2020, foreign holdings of financial policy bonds have increased significantly, with a year-on-year growth about 60%. Therefore, Bing Li believes that China leads the world in Covid-19 prevention and economic recovery. The investment in policy financial bonds reflects the forward-looking judgment of foreign capital on China's macroeconomic development. At the same time, it is also a natural process for foreign investors to increase investment in policy financial bonds after participating in the government bond market for a period of time.
In the future, the industry generally believes that foreign investors will still maintain a high level of enthusiasm for investment in RMB bonds. Jian Hu said that despite the recent adjustments in the domestic bond market, the enthusiasm for foreign investment has not cooled down, but accelerated the capital inflow, which is driven to a certain extent by the appreciation of RMB exchange rate. In the medium term, as the People’s Bank of China proposes to implement normal monetary policy for as long as possible, it hopes to maintain a normal, upward-slope yield curve. As many countries are sliding towards to a zero or negative interest rates. China’ s monetary policy reflects the determination of Chinese policy makers, and will also make the attractiveness of high interest spread between the domestic and foreign asset in the medium to long term.
The high enthusiasm of foreign capital for RMB bonds is largely due to the huge attractiveness of RMB bond yields. In Bloomberg Barclays Global Aggregate Index, RMB bonds have the highest yield among the top 10 denominated currency bonds.
In addition, in the long run, Jian Hu believes that the biggest challenge that China wil meet in the long term is the problem of population aging. Judging from international experience, as a country’s population ageing problem intensifies, the exchange rate of the country’s currency usually weakens. Therefore, for China, the long-term attractiveness of RMB assets depends on whether it can make good use of its own advantages to overcome the economic structural shock brought about by an aging population.

在中国国债和政策性金融债全面纳入彭博巴克莱全球综合指数之际,彭博推出全球首只追踪国际评级中国发行人信用债指数。
11月5日，彭博宣布推出彭博巴克莱中国高流动性信用债(Liquid China Credit，LCC)指数，追踪中国银行间信用债市场中以人民币计价的具有较高流动性、可交易的债券。
今年11月初，中国国债和政策性金融债完全纳入彭博巴克莱全球综合指数。目前，中国债券在该指数权重约为6%，人民币在该指数中成为继美元、欧元和日元之后的第四大计价货币。2019年4月起，中国国债和政策性金融债被正式纳入彭博巴克莱全球综合指数，并分20个月逐步完成，此举开启了人民币债券纳入国际主流债券指数之路。随着富时罗素近期宣布中国国债将会被纳入富时世界国债指数（WGBI），中国债券市场将被全球三大主要债券指数悉数纳入。
彭博指数服务有限公司首席执行官Steve Berkley表示，继中国国债和政策性金融债全面纳入全球综合指数后，LCC指数的创建将帮助全球投资者更好的了解和投资中国信用债市场。期待这只新指数能够帮助市场参与者更好地了解中国信用债市场的特征，投资者和资产管理者可以多种方式使用LCC指数，包括新产品发布、衍生品合约，以及传统的基准设定等。
彭博详解LCC指数编制方法
彭博亚太区指数业务负责人庄戟对券商中国记者表示，编制全球首只追踪国际评级机构给予发行人投资级的中国信用债指数，是建立外资可以更广泛接受中国信用债市场的第一步，该指数有望为人民币信用债最终纳入彭博巴克莱全球综合指数做铺垫。
谈及LCC指数的具体编制方法，据庄戟介绍，该指数的编制是基于与彭博巴莱中国综合指数的相同规则，同时采用全国银行间同业拆借中心(以下简称交易中心)的债券成交金额和全球三大评级机构的发行人评级确定可被纳入的债券。
“为反映中国信用债市场中可交易、具有较高流动性的部分，LCC指数采用了独特的编制方法，将交易中心的债券成交数据和其他条件一并纳入考量。具体而言，被纳入的债券应满足在过去三个月内至少10%的交易日中发生过交易，且总成交金额超过2.5亿元人民币 (含)的条件。”庄戟称。
值得注意的是，纳入LCC指数的债券须符合彭博巴克莱中国综合指数的标准，且须同时满足：全球三大评级机构中至少一家给予发行人的评级达到投资级；非次级债；纳入时距到期日超过1年。此外，被纳入的债券将保留在指数中直至到期，且发行人权重上限为10%。LCC指数再平衡的频率为每月一次，新增符合条件的债券的频率为每季度一次。
截至2020年10月30日，LCC指数纳入了48家发行人的125只证券，纳入该指数的债券的平均收益率约为3.4%，平均久期为1.9年。从债券发行人所处的行业分类看，金融类占比高达53%，政府相关类的占比达43%
破冰”之举，先从被动投资者追踪指数投资开始
继中国国债和政策性金融债之后，外资将目光逐渐转向中国信用债市场，是中国债券市场扩大对外开放的必然进程。彭博亚太区总裁李冰表示，目前中国国债和政策性金融债的境外投资者类型已经实现多元化，LCC指数的发布，将利于国际投资者更好地了解和评估中国信用债市场，提升国际投资者对中国信用债市场的关注度和参与度。
中国信用债市场的国际化程度远未及国债和政策性金融债。尽管目前中国债券市场持续吸引着外资的流入，但外资的投资热情集中聚集在国债和政策性金融债领域。外资缺乏对中国信用债的了解，以及中国信用债市场自身基础设施的不完善，使得中国信用债市场提升国际吸引力还有很长的一段路要走。
易方达基金副总裁、固定收益投资总监胡剑表示，之所以目前大部分国际投资者还未充分接受人民币信用债，主要有三方面原因：一是我国债券市场的信用评级基础设施尚不完善，由于2018年境外评级机构才获许在境内开展债券信用评级业务，目前大部分的境内信用债未获国际评级机构评级；二是中国债券市场的统一性，如银行间市场和交易所市场相关规则制度的一致性有待进一步完善；三是我国债券市场需要进一步强化发行人和投资者的良性互动，这在我国信用债市场中是相对缺失的，绝大多数投资者和发行人交流较少，使得海外投资者无法更清晰地了解市场。
在胡剑看来，全球首只追踪国际评级中国发行人信用债指数的推出具有“破冰”意义。“尽管目前国际大型资管机构都在建立针对中国市场的信用分析团队，但仍有不少非资产管理机构的国际投资者受限于无法建立专门的人民币信用债分析团队，而难以详细了解这个市场。 LCC指数的建立，会先推动国际被动型投资者跟踪该指数进行投资，从这个意义上看，LCC指数的建立是具有破冰意义的举措”。
不过，破冰只是开始，包括李冰、胡剑在内的多位业内人士认为，中国债券市场的改革开放进入“行百里者半九十”阶段，未来中国债券市场在完善基础设施、深化政策机制改革力度等方面都将更具挑战。
“以信用评级基础设施为例，国际评级机构覆盖较广的境内信用债发行人预计至少要5年时间。因此，要让我国的信用债市场更具国际吸引力，预计至少还需要3年以上的时间。”胡剑称。
外资连续23个月增持，人民币债券中长期吸引力取决于什么？
今年以来，境外机构投资者持续增持配置人民币债券资产，截至10月末，已经连续第23个月增持人民币债券。中债登日前公布数据显示，截至2020年10月末，该机构为境外机构托管债券面额达26826.76亿元，环比增长3.3%，同比上涨48.53%。
国债和政策性金融债是最受境外投资者青睐的品种。彭博数据显示，截至9月末，外资持有的人民币债券中，国债和政策性金融债的持有规模月4400亿美元，约占全部外资持有量的85%。特别是自2019年4月中国国债和政策性金融债纳入彭博巴克莱全球综合指数以来，外资持有中国国债和政策性金融债增加了1500亿美元。
值得注意的是，自2020年第二季度起，政策性金融债外资持有量显著增加，同比增长约60%左右。对此，李冰认为，中国的疫情防控和经济恢复在全球领先，对政策性金融债的投资体现出外资对中国宏观经济发展的前瞻性判断。同时，外资在参与国债市场一段时间后，加大对政策性金融债的投资力度也是一个很自然的过程。
展望未来，业内普遍认为外资对人民币债券仍会保持较高投资热情。胡剑表示，最近一段时间尽管国内债市出现调整，但外资的投资热情并未降温，反而在加速流入，这在一定程度上受人民币汇率升值的驱动。中期看，由于中国央行提出尽量长时间实施正常的货币政策，希望保持正常、斜率向上的收益率曲线，在全球很多国家都滑向零利率、负利率之际，这种表态体现出了中国政策制定者的决心，也会使得境内外高利差的吸引力会在中长期内保持。
外资对人民币债券保持的较高热情，很大一个原因来自于人民币债券收益率的巨大吸引力。在彭博巴克莱全球综合指数中，人民币债券是前10大计价货币债券中收益率最高的品种。
此外，长期看，胡剑则认为，中国长期面临的最大挑战就是人口老龄化的问题。从国际经验看，一国随着人口老龄化问题的加剧，通常该国货币的汇率会走弱。因此，对中国来说，人民币资产的长期吸引力取决于能否利用好自身优势克服人口老龄化带来的经济结构上的冲击。