金融学院知识库

自高质量发展战略制定实施以来，碳排放等成为政府重点监督管理的问题之一，与环境和谐发展成为目标所在。在 2020 年的第 75 届联合国大会上，习近平总书记正式提出了“双碳”战略规划，力争在 2030 年前和 2060 年前分别实现“碳达峰”“碳中和”两项关键性目标。上述目标成为我国践行可持续发展理念的重要标志，这就为绿色金融的发展创造了有利契机，而碳中和债券也因此成为绿色金融创新的重要成果之一。我国首批碳中和债券发行于 2021 年 2 月 7 日，债券数量为 6 只，标志着我国碳中和事业进入了新的发展时期。这一债券产品的出现，不仅为企业融资创造提供了更加丰富的渠道，也为绿色金融的创新发展提供了有力支持，成为国家绿色低碳发展战略的重要措施之一。

三峡集团现已成为我国清洁能源产业的领军企业之一，在绿色债券创新发展的过程中作出了巨大贡献，主导了国内首批碳中和债券的设计和发行工作，在绿色债券的设计和发行领域具备显著的经验优势。本研究以案例分析法为主要研究工具，以三峡集团为对象开展实证研究工作，在具体研究分析“21 三峡 GN001”、“22 三峡 GN002”两只碳中和债券相关内容、市场表现等问题的基础上，结合数据资料对相关债券的发行背景、交易条款、产品风险等问题进行梳理总结，明确其中创新之处和风险问题，为债券风险的防控工作提供有价值的参考。研究发现，两只碳中和债券的票面利率以国债利率为基准，且票面利率固定，债券的价值会受到市场利率的影响，从发行之日到 2023 年 12 月期间，我国国债利率水平基本维持在2.14％—3％之间，波动幅度相对较大，所以从利率波动带来的利率风险的角度来看，三峡集团这两只债券可能面临一定的利率风险；从久期和凸性的角度来看，两只碳中和债券的久期和凸性呈下降趋势，意味着两只债券可能面临着较大的价格下降风险，但另一方面也意味着利率波动对价值的影响逐渐降低；由Z-score 模型分析结果可知，最近数年，三峡集团表现出比较突出的财务风险，存在信用评级过高的问题，但进一步分析发现，由于三峡集团所处水电行业的自身特性，流动性不足造成 Z 值较低；从 Credit metrics 模型中得出的在险价值表明两只碳中和债券具有一定的信用风险；通过分析财务指标，发现三峡集团具有较强的偿债能力和盈利能力，具有较好的成长性和较强的营运能力，财务风险较小。

本研究在梳理总结三峡集团碳中和债券管理经验的基础上，根据市场未来可能的发展情况，分别从国家政策、企业管理等维度出发对碳中和债券的风险表现进行研究分析，针对性地提出一套相对合理有效的风险防控策略，为企业风险防控工作的开展提供参考和借鉴进而合理控制碳中和债券风险，为我国碳中和债券市场的良性发展提供科学指导。

Since the formulation and implementation of the high-quality development strategy, carbon emission has become one of the key issues of the government's supervision and management, and the harmonious development with the environment has become the goal. At the 75th Session of the United Nations General Assembly in 2020, General Secretary Xi Jinping formally put forward the "two-carbon" strategic plan, striving to achieve the two key goals of "carbon peak" and "carbon neutrality" by 2030 and 2060 respectively. The above goals have become an important symbol of China's practice of the concept of sustainable development, which has created favorable opportunities for the development of green finance, and carbon-neutral bonds have therefore become one of the important achievements of green finance innovation. China's first batch of carbon neutral bonds issued on February 7,2021, the number of bonds is 6, marking that China's carbon neutral cause has entered a new period of development. The emergence of this bond product not only provides a more abundant channel for enterprise financing creation, but also provides strong support for the innovative development of green finance, and has become one of the important measures of the national green and low-carbon development strategy.

Three Gorges Group has become one of the leading enterprises in China's clean energy industry. It has made great contributions to the process of innovation and development of green bonds, led the design and issuance of the first batch of carbon neutral bonds in China, and has significant advantages in the design and issuance of green bonds. This study with case analysis method as the main research tool, the three gorges group as the object to carry out the empirical research, in the specific research analysis of "21 three gorges GN 001", "22" three gorges GN 002 " two carbon neutral bonds related content, market performance, on the basis of data of related debt issue background, trading terms, product risk summary, clear the innovation and risk, for bond risk prevention and control work to provide valuable reference.research finding, The coupon rate on the two carbon-neutral bonds is based on the Treasury interest rate, And the coupon interest rate is fixed, The value of the bonds will be influenced by the market interest rates, During the period from the release date to December 2023, The basic dimension of China's Treasury bond interest rate is between 2.14% and 3%, The fluctuation amplitude is relatively large, So from the point of view of the interest rate risk arising from interest rate fluctuations, The two bonds of the three Gorges Group may face a certain interest rate risk; From the perspective of duration and convexity, The duration and convexity of the two carbon-neutral bonds are declining, Means that the two bonds couldface a greater risk of price declines, But on the other hand, it also means that the impact of interest rate fluctuations on value gradually decreases; From the analysis results of the Z-score model, In the recent years, The Three Gorges Group shows relatively outstanding financial risks, There are problems of a high credit rating, But further analysis revealed that, Due to the characteristics of the hydropower industry in which the Three Gorges Corporation operates, Insufficient liquidity resulting in low Z value; The risk value obtained from the Credit metrics model indicates that the two carbon neutral bonds have certain credit risk; By analyzing the financial indicators, Found that the Three Gorges Group has a strong solvency and profitability, With a relatively good growth potential and a relatively strong operating capacity, Financial risk is small.

This study on the basis of summarizing the three gorges group carbon and bond management experience, according to the development of the future, respectively from the national policy, enterprise management dimension of the risk of carbon and bond performance analysis, targeted put forward a relatively reasonable and effective risk prevention and control strategy, provide reference and reasonable control of carbon and bond risk, for the benign development of carbon and bond market in China to provide scientific guidance.