原创 2016-04-21 季天鹤央行观察

作者：季天鹤，方正中期期货利率汇率研究员，央行观察专栏作家

央行的转向尽管是坚定的，但却是微调和灵活的，4月份债券市场的震荡行情还会延续

3月份的人民币汇率总体较为强势，在岸和离岸人民币总体价差较小，我们也看到3月的央行外汇占款下降1447亿元，幅度较之前各月继续缩小，而美元计价的外汇储备甚至因欧元日元等非美货币的强势而有所上行。在银行方面，我们看到市场主体继续增持外汇存款107.25亿美元，连续三个月增持。总体来说，外汇市场是比较平稳的，人民币走势和欧元英镑一样，都以小幅震荡为主。

同时，境内外币贷款规模停止下降，而境外外币贷款继1月和2月的增长之后减少80亿美元，在人民币方面，我们看到境外存款也回升了612亿元，使得从2015年6月末开始的境外人民币存款萎缩幅度定在了5000亿元的水平上。上述信号都反映出一方面配置外币资产的操作仍然持续，另一方面也反映出市场对于人民币的走势判断有所变化，外币负债方不再慌张减少外币负债。

相比汇率，3月份的重点在于利率和国内流动性方面。在2月底的降准之后，央行放手停做各类逆回购，使得逆回购到期直接回收流动性10250亿元，在SLF投放153亿以及PSL投放1345亿之后，基本符合央行数据上反映的回收流动性8446亿元。但同时，我们也看到纸币回流姗姗来迟，3月份流通中货币下降7041亿，很大程度上抵消了央行抽水的效果。此外，财政存款的回流也有助于银行将准备金存款水平基本维持不变，使其仅小幅下降111亿元。

从银行的角度来看，人民币存款的增速依然并未放缓，住户存款在3月增长5753亿元，非金融企业存款增长23308亿元，机关团体存款增加7104亿元，显示出实体经济的流动性非常充裕。但是，非银行业金融机构存款下降9871亿元，达到124012亿元，为2015年5月以来的最低值，也是去年夏天股灾之后的最大跌幅。

这反映了两件事情，一是上述非银行金融机构的资金被其他市场主体抽走，例如基金持有者赎回资金、股票投资者取出资金等，二是上述非银行金融机构的资金被主动投向其他市场主体。从交易结算资金方面来看，3月份证券和股票期权投资者的交易结算资金小幅增加400亿，而银行对非银行金融机构的贷款并没有明显下降，反而小幅增加468亿元。而考察债券持有者情况，我们看到上清所口径的非法人机构以及中债登口径的基金类依然在购入债券，包括增持上清所方面的短融、超短融和中票2658亿以及增持中债登方面的企业债852亿。上述购债行为都会导致基金在银行的存款减少。当然我们知道，非银金融机构积极认购债券已经有一定时间了，但非银行金融机构存款的净减少，表明存款的流入小于存款的流出规模。

上述的存款减少和其他资产增加，意味着非银金融机构对于流动性的波动更为敏感。这种敏感的来源，不光是对同业拆借的依赖性，而且还有基金投资者配置行为的变化。例如，前面提到的非金融企业23308亿元的月度存款增长，乃是2015年以来的最高月度增量，这既反映了3月份银行贷款的存款创造，也反映出了非金融企业行为的变化，个人和企业宁可持有存款也不愿意投资到金融市场中。

在贷款方面，我们看到住户中长期消费贷款同比增速继续攀高至25.05%，这是2011年2月以来最高的同比增速，而在目前的房贷政策以及汽车消费政策的环境下，这一同比增速还没有显示出减速的迹象。当然进入4月后，个别一线城市房地产市场有所降温，但二线和三线城市房地产市场还在升温当中，因此预计这部分贷款将继续保持目前同比增速水平。

在非金融企业和机关团体的中长期贷款来看，2015年同比增速不断下滑的趋势已经被遏制，目前已经回升至12.65%的水平。在债券投资方面，随着3月份地方政府债券重新发行，当月的金融机构债权投资增长6703亿元，结束了此前连续两个月的下滑。同时，银行的股权及其他投资同比增速继续保持高位。

从大型银行和中小型银行的情况来看，我们看到了一个谜团，即大型银行和中小型银行的向中央银行借款仅增加共计200亿元左右，这和央行资产负债表中对银行债权减少8446亿差距很大。另外，大型银行在央行存款减少3010亿，而中小型银行在央行存款增加1647亿，而央行资产负债表中银行在央行存款减少111亿。

由此我产生了一个怀疑，即大型银行和中小型银行的向央行借款或许只包括特定类型的借款，而目前盛行的逆回购则包括在卖出回购资产当中。如果把大中小银行的向中央银行借款和卖出回购资产共计四个数据加总，以和货币当局对其他存款性公司债权相比对，我们会发现在一些比较大的波动的时候会有同向变化，特别是2016年1月和2015年8月。当然由于卖出回购资产还包括银行间以及对非银行部门的卖出回购操作，因此上述四数据拟合的序列与货币当局对其他存款性公司债权走势并不特别贴合，而且由于四数据是2015年那次统计口径改革的产物，因此回溯的时间也较为有限，不能够用更多的大波动来进行检验。

小结

从金融市场的情况看，3月份股市从2700点升至3000点，中债总净价指数和五年期国债期货也有走高，十年期国债期货在上旬延续跌势但随后反弹到二月上旬的位置，和7-10年中债总净价指数相似。这反映出在3月份市场的总体操作是缩短久期，而股市则在外部和内部环境的稳定下逐渐恢复。

但当我们意识到3月份非银行金融机构在银行存款减少近万亿之后，我们不禁要思考一个问题，即当上述的非银行金融机构在3月流失了这样多的资金，意味着市场将如何变化。看上去，3月份居民和企业增持的存款似乎并没有重新返回到市场当中，在4月20日，我们看到股市基本在3月底的位置附近波动，并没有走出有力的突破，反而遭遇了4月20日的大跌，而债市则经历了比较明显的走低。

这种股市不火，债市下跌的状态似乎和3月份良好的经济数据相背离。诚然，好的经济数据，无论是价格方面的CPI还是尸体经济方面的PMI自然会冲击债市，但对于股市并没有形成明显的提振。这似乎意味着，3月份获得超过2万亿存款的居民和企业，一方面可能安心持有上述增加的存款，一方面可能在事实上成为了其他市场的参与者，比如房地产市场。参与股市意味着存款从居民存款转化为非银行金融机构在银行存款，但参与房地产市场的存款就表现为银行存款自己。

再考虑到央行在银行间一直比较谨慎，整个4月主要通过公开市场操作的方式补充流动性。本周传出的央行货币政策从适度宽松转向稳健，恐怕不是空穴来风。IRS市场已经体现出这一点，1年期FR007IRS报价在4月一路上升，目前已经达到2.49%，基本回到了去年8月底降准前的水平，这反映出市场已经认识到短期资金利率的水平在上升通道中，也意识到央行正在容忍或者暗中推动着这一上升。在境外资金成本由于联储货币政策软化而维持低位时，人行态度的稳健意味着利差的扩大。

这种利差的扩大是一把双刃剑。一方面，利差扩大吸引的套利资金重新流入，可以平衡目前的境外资产配置需求，平衡人民币在外汇市场的供需，同时对实体经济也形成了某种促进，特别是在中国，资本流入往往需要借助经常项目下的实体经济因素。但另一方面，利率的上升以及利率的不稳定，可能会促使央行过早收紧货币政策，而事实上我们看到很多企业在4月份纷纷取消债券发行，很多企业表示无法如期兑付，在这种情况下，利率水平的抬升、利率波动的增加和流动性的收紧，会加剧上述受困企业解困的难度，当然也会遏制市场主体对于房地产等资产的需求。

因此可以预计，央行的转向尽管是坚定的，但却是微调和灵活的，对于债券市场而言，这意味着收益率的波动会上升，上周三、上周四以及本周三的大跌恐怕还会重现，但收益率的上行趋势是较为平缓的而不是骤然上升，因此我们恐怕也会经常看到上周五一样的反弹行情。

Despite the central bank's firm direction, its approach remains one of fine-tuning and flexibility. The volatile bond market conditions observed in April are likely to continue.

In March, the overall trend of the Chinese yuan's exchange rate was relatively strong. The price difference between onshore and offshore yuan was small. The central bank's foreign exchange position decreased by 144.7 billion yuan in March, with a narrower reduction compared to previous months. Meanwhile, foreign exchange reserves denominated in US dollars increased slightly due to the strength of non-US currencies such as the euro and Japanese yen. In the banking sector, it was observed that market participants continued to increase their foreign exchange deposits by $10.725 billion, marking the third consecutive month of increase. Overall, the foreign exchange market remained relatively stable. The movement of the yuan, similar to the euro and pound, was characterized by minor fluctuations.

Simultaneously, the scale of both domestic and foreign currency loans ceased to decline. However, foreign currency loans from overseas decreased by $8 billion after showing growth in January and February. Regarding the yuan, overseas deposits increased by 61.2 billion yuan, maintaining a trend that started from June 2015, albeit at a reduced rate. These signals indicate that while the practice of allocating foreign currency assets persists, the sentiment around the yuan's trajectory is changing. Foreign currency liability holders are no longer hastily reducing their foreign currency liabilities.

In comparison to exchange rates, the focus in March was on interest rates and domestic liquidity. After the reserve requirement ratio cut at the end of February, the central bank refrained from conducting various types of reverse repurchase agreements (repo), leading to the direct recovery of 1.025 trillion yuan in liquidity from matured reverse repos. Following the injection of 15.3 billion yuan via Short-Term Lending Facility (SLF) and 134.5 billion yuan via Pledged Supplementary Lending (PSL), the central bank's data aligned closely with the expected recovery of liquidity by 844.6 billion yuan. However, there was a delayed influx of currency circulation in March, with circulating currency decreasing by 704.1 billion yuan, largely offsetting the central bank's liquidity withdrawal effect. Additionally, the inflow of fiscal deposits helped banks maintain their reserve deposit levels, causing only a marginal decrease of 11.1 billion yuan.

From the perspective of banks, the growth rate of yuan deposits remained robust. Household deposits increased by 575.3 billion yuan in March, non-financial corporate deposits increased by 2.33 trillion yuan, and government and institutional deposits increased by 710.4 billion yuan, indicating ample liquidity in the real economy. However, non-bank financial institutions' deposits decreased by 987.1 billion yuan, reaching 12.4012 trillion yuan, the lowest level since May 2015 and the largest decline since the stock market crash in the summer of the same year.

This reveals two key trends: non-bank financial institutions' funds are being redirected either by other market participants, such as fund investors redeeming funds or stock investors withdrawing funds, or are being actively invested elsewhere. In terms of trading and settlement funds, securities and stock options investors increased their settlement funds by 40 billion yuan. Moreover, while the loans from banks to non-bank financial institutions did not significantly decrease, they increased by 46.8 billion yuan. Regarding bond holders, non-corporate entities based on the China Central Depository & Clearing (CCDC) criteria and funds based on the China Central Depository & Clearing's (CCDC) criteria continued to purchase bonds. This behavior resulted in a decrease in bank deposits. It should be noted that the active subscription to bonds by non-bank financial institutions has persisted for some time, but the net decrease in their deposits suggests that the inflow of deposits is smaller than the outflow.

The decrease in deposits and the increase in other assets indicate that non-bank financial institutions are more sensitive to liquidity fluctuations. This sensitivity arises not only from their dependence on interbank borrowing but also from the changing behavior of fund investors. For example, the 2.33 trillion yuan monthly increase in non-financial corporate deposits in March, the highest since 2015, reflects both the creation of deposits through bank loans and changes in the behavior of non-financial corporations. Individuals and businesses seem to prefer holding deposits rather than investing in the financial market.

Regarding loans, the growth rate of long-term consumer loans in March continued to rise, reaching a record high of 25.05%, the highest since February 2011. Given the current policies related to housing and auto consumption, this growth rate has yet to show signs of slowing down. Entering April, although some first-tier cities experienced a cooling real estate market, second- and third-tier cities continue to see growth. Therefore, it is expected that this type of loan will maintain its current growth rate.

Looking at long-term loans for non-financial corporations and institutions, the downward trend in year-on-year growth since 2015 has been halted and has rebounded to 12.65%. Regarding bond investment, with the reissuance of local government bonds in March, financial institutions' bond investments increased by 670.3 billion yuan, ending the two-month consecutive decline. Meanwhile, banks' equity and other investments continue to maintain high growth rates.

Looking at large and small banks, a puzzle arises. The increase in borrowing from and selling assets to the central bank for large and small banks was only about 20 billion yuan, a significant discrepancy from the 844.6 billion yuan reduction in bank claims on the central bank reported on the central bank's balance sheet. Additionally, large banks reduced their deposits with the central bank by 301 billion yuan, while small and medium-sized banks increased their deposits by 164.7 billion yuan. The central bank's balance sheet, however, reported that banks' deposits with the central bank decreased by 11.1 billion yuan.

This raises the suspicion that the borrowing from the central bank by large and small banks might include specific types of loans, while the widely practiced reverse repurchase agreements include sales of repurchase assets. If the data on large and small banks' borrowing from the central bank and sales of repurchase assets were combined, it could be compared with monetary authorities' claims on other non-depository corporations. It would then be apparent that, during times of significant volatility, such as in January 2016 and August 2015, the data moved in the same direction. However, due to the inclusion of interbank sales of repurchase assets and sales of repurchase operations to non-bank sectors, this composite sequence does not precisely fit the trend of monetary authorities' claims on other non-depository corporations. Additionally, because this composite data is a product of the statistical reform in 2015, it has limited historical data and cannot be used to validate against significant fluctuations.

In summary, looking at the financial market conditions, the stock market rose from 2,700 points to 3,000 points in March. Both the ChinaBond Composite Total Return Index and the five-year China Treasury Bond futures also increased. The ten-year China Treasury Bond futures showed a decline initially but rebounded to the level of early February, similar to the ChinaBond Composite Total Return Index for 7-10 years. These observations indicate that in March, the general market trend was to shorten duration, and the stock market gradually recovered under both external and internal stability.

However, considering the nearly 1 trillion yuan reduction in deposits from non-bank financial institutions in March, we must contemplate how the market will change. The fact that the increased deposits held by households and enterprises in March did not seem to return to the market raises questions. On April 20th, the stock market fluctuated around the end-of-March level, without showing significant breakthroughs. Instead, it experienced a significant drop on April 20th, while the bond market went through a noticeable decline.

This lackluster stock market and declining bond market conditions appear to be at odds with the positive economic data from March. Certainly, positive economic data, whether in terms of Consumer Price Index (CPI) or Purchasing Managers' Index (PMI), tends to impact the bond market. However, it hasn't notably boosted the stock market. This suggests that the households and enterprises that amassed over 2 trillion yuan in deposits in March may have either held onto the increased deposits or invested them elsewhere, such as the real estate market. Participating in the stock market means that deposits are being converted from households' deposits into non-bank financial institutions' deposits with banks. However, participating in the real estate market effectively keeps the deposits within the banking system.

Furthermore, considering that the central bank refrained from conducting various reverse repos in the interbank market and instead resorted to open market operations to inject liquidity in April, recent reports about the central bank shifting its monetary policy stance from moderately loose to prudent might not be unfounded. The Interbank Offered Rate Swap (IRS) market already reflects this change, with the one-year FR007 IRS rate rising steadily to 2.49%, returning to levels seen before the reserve requirement ratio cut in late August last year. This indicates that the market has recognized that short-term funding rates are on the rise and that the central bank is tolerating or even subtly pushing this upward trajectory. Amid softening overseas funding costs due to the Federal Reserve's monetary policy, the central bank's prudent stance implies an expanding interest rate differential.

This widening interest rate differential has both positive and negative implications. On one hand, it attracts arbitrage capital, which can balance the demand for foreign asset allocation, stabilize the supply and demand of yuan in the foreign exchange market, and also provide some stimulus to the real economy. In China, capital inflows often rely on real economic factors in the current account. On the other hand, rising and unstable interest rates could prompt the central bank to tighten monetary policy prematurely. In fact, many companies in April canceled bond issuances, and several expressed difficulties in meeting bond payment deadlines. In such a scenario, an increase in interest rates, interest rate volatility, and tighter liquidity conditions will exacerbate the challenge for these troubled companies to solve their problems. This could also dampen the demand for assets like real estate in the market.

Hence, it can be predicted that while the central bank's change in direction is firm, it remains nuanced and adaptable. For the bond market, this suggests that yield volatility will increase, and the sharp declines seen on the third and fourth Wednesdays of last week and this week might recur. However, the upward trend in yields is gradual rather than abrupt, suggesting that rebounds like the one seen last Friday will likely be common.