原创 2016-02-22 季天鹤央行观察

人民币贬值压力下降，更能自由浮动，而债券市场则准备迎接供给大潮、配置切换和通胀回暖的三重冲击

16年1月份的央行数据讲了哪些故事？

2016年1月，央行发动了811之后的第二次小汇改，并在银行间市场掀起一场小钱荒。外汇市场里，一些毫无准备的市场主体惊慌失措，而资金市场里，部分过度高杠杆压低收益率到不可理喻位置的机构出现流动性危机，乃至清算交易系统多次延时。随之而来的，乃是人民币在总体稳定的情况下盯住一篮子货币波动，而央行也借此次流动性危机的东风，推出了每日公开市场操作的新机制，朝价格型调控的目标迈出新步伐。

外汇市场

我在1月的系列文章中着重分析了外汇市场的情况，基本观点是央行通过打击离岸空头、严查资金流出以及引导居民转向结售汇等方式，可以维持人民币的基本稳定。1月15日的《不期而至的元旦小汇改》中，我指出“人行可能还会调整一阵中间价……然后重新进入观察模式，只要在岸汇价跟着中间价跑就行。如果联储那边如果又有些放慢加息脚步的信号，人民币贬值的压力就能再轻一些。”上述表述完全符合此后1个月里发生的情况。

此外，在《居民购汇是否消耗外汇储备？》中，我指出“外汇存款余额不因还贷和对外汇出而减少，反而因居民购汇而增加。期待2016年的外汇信贷收支表提供答案”，这一观点也在1月的外汇信贷收支表中得到验证，我们看到在境内外汇贷款减少267亿美元、外汇储备下降近1000亿美元的情况下，外汇存款依然增加197亿美元。

一方面，住户外汇存款增长73亿美元，是汇改之后的增幅新高，说明住户在境内配置外币资产以满足分散配置博收益需要的操作越发活跃。另一方面，企业外汇存款结束了2015年8月之后逐月减少的趋势，在1月实现了96亿美元的增长，并且境内企业外汇贷款下降266亿美元。这说明企业在还债之余也在加速配置外币资产。

市场主体的操作从以还债为主进入到了配置为主的新时期。当然，我们也看到境外外汇贷款在1月增长199亿美元，这可能说明境内外汇贷款业务在一定程度上被境外外汇贷款代替，或者说套利者通过在境外贷款的方式来获利。但尽管如此，境内和境外外汇贷款的总量在1月仍然是下降68亿美元。

此外，我们看到央行口径的外汇占款减少6400亿元人民币。考虑到前面提到的新增197亿美元外汇存款以及减少267亿美元贷款，在银行没有大规模增持外币头寸的假设情况下，金融机构外汇占款可能减少超过9000亿元。这个数据可以等外汇局公布了结售汇数据后来核实，但尽管外汇占款减少再多，也不过是说明一部分人民币存款变成外币存款而已，至于这笔外币存款是用于归还贷款、直接持有还是对外汇出，可以从前面三个数据来观察。

信贷和债券

金融机构人民币信贷1月新增2.5万亿元，震惊市场。但我在之前的央行数据讲故事中多次强调置换对于大行信贷的影响，同时也指出中小行信贷其实是比较旺盛的。果然，在1月份七家大行放贷9400亿，相比去年10月的增长300亿（四大行当月各项贷款余额甚至是负增长656亿）而言，可谓是真相毕露。当然1月份中小行放贷更多，达到1.45万亿，确实比较惊人。此外，四大行的票据融资下降183亿，应该与1月份农行的票据风波有关，但中小行以及交行国开邮储等三大行的票据融资依然较为活跃，分别增长2500亿和1500亿水平。

不过仔细观察中长期贷款和非金融企业定期和其他存款，我们发现1月的变化量有引人关注之处。中长期贷款新增1万亿元，而非金融企业定期和其他存款新增8100亿元，两者规模接近。一般来说，给企业的贷款会同时给企业创造活期存款，而这活期存款瞬即可能变成住户存款或者企业的定期存款，或者成为非银金融企业的银行存款等。

这种中长期贷款和非金融企业定期和其他存款增幅相近的状况，比较明显的先例是在2009年1-3月，当时中长期贷款新增很多，但非金融企业和其他存款新增也很多，似乎表明企业并没有立刻把贷款得到的存款支出出去，而是将其以定期和其他存款的形式存在银行等待使用。随着时间流逝，这笔资金会被逐渐支出。

在实体经济的渠道，上述支出会消化库存和利用产能。同时，资金流动中到其他市场主体手中，而市场主体将其投入金融市场，将对金融市场形成提振。从中长期来看，问题的关键在于新贷款形成的固定资产投资，能否在未来带来足够的现金流以偿付贷款，但短期而言，货币创造后的流动以及投向更为重要。

从银行的放贷能力方面，我们需要观察资本充足率和流动性的情况。在资本充足率方面，除了股份制银行外，大型商业银行、城市商业银行、农村商业银行和外资行的资本充足率在去年12月底均高于9月底，而股份制银行也仅有0.03%的下降。大型商业银行的拨备覆盖率下降较多，从2014年底的232%下降至2015年底的171%，超过60%，到了比股份制银行的181%还低的地步。

因此对于大型商业银行而言，2016年的可能会在资本充足率方面有所放松，或许会从12月底的14.50%回落或者增速放缓。对股份制银行而言，拨备覆盖率还有一些下降的空间，但资本充足率的压力不容忽视。当然，如果银监会允许降低拨备覆盖率要求，那么对于银行而言就可以更缓慢地把坏账减计放在利润里，而有更多空间反映在拨备下降里，从而把损失平滑地放到更长的时间里去。

何况目前银行业整体还是盈利的，2016年可能先会出现净利润的负增长，但距离全行业亏损还比较遥远。而且我们也注意到，没有了存贷比硬约束之后，银行业整体的存贷比已经在2015年底达到了67%，而此前5年的最高值是2013年底的66.08%。在破除了这个不合理的监管指标约束后，贷款规模的扩张将更为自由。

除了资本充足率之外我们还要考虑流动性，而这既和央行的政策有关，也和非银行机构有关。我们先来讨论非银行机构在债券方面的表现。首先，央行口径的非银行金融机构减少1900亿元，而股票市场的证券结算交易资金在当月也减少了约1100亿，这说明非银机构在股市以外的在银行存款变动较小。

而1月金融机构对非银行业金融机构贷款余额减少406亿，这说明非银机构如果有资产侧的增持的话，资金来源应该都是非金融机构和个人提供的资金，而非银行贷款。从中债登和上清所的托管数据来看，在债券方面，保险公司在中债登口径下抛出1500亿债券，而基金类购入2505亿。上清所口径下保险公司小幅增持300亿，但基金购入2000亿。当然，基金购入量还是远大于保险的抛售量，需要更多信息才能了解，特别是关于基金规模的数据。

如果基金购入债券的资金来源是投资者的资金而非银行的贷款，那么在数据上将会显示为银行对非银金融的贷款规模变化不大，但基金规模不断变大，同时持有的债券也越来越多，投资者的银行存款间接通过基金跑到非银行发行人/债券卖出方那里，或者是基金购买银行持有债券使得银行缩表。无论是哪种模式，银行的资产负债表都不会变大，反而有缩小的可能。这对于维持银行通过放贷实现的货币创造是有好处的。

最后我们来讨论央行的政策。在信贷量和货币量增速都很重要的情况下，我们需要考虑上述两者的关系。在货币量增速方面，机构投资者持有银行发行的债券，将对银行存款造成分流，从而使货币增速放缓，给更大的货币创造空间。而在货币创造途径方面，如果外汇占款这一途径逐渐退出甚至成为负增长的来源，那么这就给信贷这一途径留下了更大的空间。

例如，在债券方面，我们看到2015年银行债券对货币量的贡献是-3%，而在股灾之前，这个贡献率一直在-2.2%以内，此后随着投资者改变资产配置，银行债券越来越被非银行投资者所持有，这个贡献率也越来越显著。而在货币创造途径方面，我们看到对非金融部门的债权贡献率仅12.1%，仅比2013年钱荒之后略有好转。

并且，央行和银行的国外资产还贡献了-1.6%，因此，想要实现最终13.3%的货币增速，其实是依靠对政府的债权（贡献率3.2%）以及对其他非银机构的债权（贡献率5.2%）。后者是股灾后的救市，而前者是债务置换。当然，我们需要注意非置换类国债在给定货币增速的情况下，对于非金融机构债权这一途径的挤占。此外，居民购汇汇出将导致资产和货币量同步减少，而购汇以及基金持有银行债券都是仅减少货币量，由此银行贷款量甚至可以超过货币增速。

因此在2016年，我们期待银行在放贷方面会更为自由，居民购汇和基金买入银行债务都将放缓货币增速，而如果救市安排进一步撤出，银行就有了充分的空间通过放贷这一方式创造更多流动性。在银行体系的资产侧，我们会看到信贷逐渐蚕食外汇的份额，而在银行体系的负债侧，我们会看到银行发行更多债券以满足居民的配置需要。

当然，很可能央行会降低货币增速的目标，但这种降低增速目标的做法，将是和货币需求相适应的，而不会是某种紧缩政策的象征。如果通胀有所反弹，那么投资和消费等渠道造成的对实体商品和服务的需求也会回升，首先会体现在库存下降和产能利用上。因此，降低货币增速目标应该不会对经济发展与金融资产估值提升造成实质的影响。

未来的展望

首先是房地产市场。个人中长期消费贷款同比增速在2016年1月底已经达到了23.26%，是11年调控之后的最高增速。本来在2013年也有望实现这样的增速水平，但2013年6月的钱荒以及央行的紧缩政策导致这一增速从加速变成减速，最终从2013年11月底的21.47%放缓至2015年5月的16.9%。

从目前中央的政策看，还是很希望房地产市场有一些起色的，无论是提高公积金存款利率，还是降低首付比例，都是如此。因此房贷的同比增幅在2016年还会继续攀升。虽然房贷会对开发商贷款实现置换，但这种置换一方面意味着风险的下降，一方面意味着房地产商和银行终于实现了利润，本身对金融体系的稳定以及进一步的消费和投资都是利好。

在债券方面，我在1月21日发布的《12月份的央行数据讲了哪些故事？》中提到：“一月份的债券市场能在目前水平维持震荡，就已经不错了”，而此后国债期货市场的走势也符合这一判断，目前的位置和21日持平。下一阶段的主要看点当然是国债和地方政府债的发行情况，特别是当中央要扩大赤字水平，地方政府加大置换力度的背景下更是如此。企业和政府或许都意识到，现在需要抓住目前低利率水平的窗口。房贷的热情、CPI数据反映出的消费热情，最终都会体现在物价水平以及人们的风险情绪上。如果非金融部门的资产配置由去年股灾后的增配债市+购汇还债去杠杆，变为增配房市、外汇和股票，那么对于债券市场将是重大打击。

换言之，银行放贷会创造出更多的流动性，这些流动性也成为购买债券的资金来源，但如果债券的发行量太大，超过了流动性的承受能力，或者说流动性持有主体的配置思路发生变化，那么债券收益率水平就无法保持低位。我们已经看到现在公司债的收益率已经重新走高，这既反映了债券供给量骤增的压力，也反映了投资者需求的重新调整。

在外汇市场，很好的消息是在岸-离岸价差重新收敛，我也在此前的《维持人民币汇率基本稳定为什么有希望？》以及《价差收敛，区间用足，人民币胜》中多次强调了价差收敛的重要和必要。当然，价差收敛的原因还是在于市场对于人民币前景发生了较大分歧。2月初联储放出了政策转松的信号之后，在岸-离岸价差从-600点一天内收窄到0。而离岸市场也开始展现出追随在岸市场的倾向，形成了在岸价格追随中间价、离岸价格追随在岸价格的联动机制。

如果中间价能够按照市场能够接受的方式波动，那么上述这种追随的结构就可以维持一段时间，给市场主体继续完善机制的时间和环境。目前市场又在期待联储3月份会议的情况，在此之前市场都会比较谨慎，美元兑人民币在目前水平附近小幅波动的可能性较大，而一旦联储给出了明确的宽松信号，人民币的浮动空间又会进一步被打开，这时候更大幅度的波动就不会被恐慌放大，做多人民币和做空人民币的市场力量更为均衡，而央行在其间若想稳定市场，也可以消耗比1月上旬更小的外汇储备，2月的外汇储备下降幅度将小于1月。

Under the backdrop of the depreciation pressure on the Chinese yuan, it can float more freely, while the bond market is preparing to face a triple impact of supply surge, allocation switch, and inflation resurgence.

What stories did the central bank's data from January 2016 tell?

In January 2016, after the "811" policy move, the central bank launched the second round of small-scale exchange rate reforms, sparking a small liquidity crunch in the interbank market. In the foreign exchange market, some unprepared market participants panicked, and in the funding market, some institutions with excessively high leverage experienced liquidity crises, even leading to multiple delays in clearing trading systems. Following this, the Chinese yuan stayed relatively stable against a basket of currencies amid the overall stability, and the central bank used the backdrop of the liquidity crisis to introduce a new mechanism for daily open market operations, taking new steps toward price-based regulation.

Foreign Exchange Market

In a series of articles in January, I emphasized the situation in the foreign exchange market, and the basic point was that the central bank could maintain the basic stability of the yuan through measures like curbing offshore short selling, scrutinizing capital outflows, and guiding residents towards converting foreign exchange for personal use. In a January 15th article titled "Unexpected New Year's Exchange Rate Reforms," I pointed out that "the central bank might adjust the central parity rate for a while... then re-enter an observation mode, as long as the onshore exchange rate follows the central parity rate. If there are signals from the Fed indicating a slowdown in interest rate hikes, the pressure for yuan depreciation could ease further." This statement perfectly matched the developments over the next month.

Additionally, in the article "Does Residents' Foreign Exchange Purchases Deplete Foreign Exchange Reserves?" I stated, "Foreign exchange deposit balances do not decrease due to repayment or foreign exchange outflows; on the contrary, they increase due to residents' foreign exchange purchases. We await the 2016 foreign exchange credit and payment statement to provide an answer." This viewpoint was validated in the January foreign exchange credit and payment statement, where we saw that despite a decrease of $26.7 billion in foreign exchange loans within China and a drop of nearly $100 billion in foreign exchange reserves, foreign exchange deposits still increased by $19.7 billion.

On one hand, residents' foreign exchange deposits grew by $7.3 billion, reaching a new high after the exchange rate reform, indicating increased activity among residents in allocating foreign currency assets domestically to diversify their portfolios. On the other hand, corporate foreign exchange deposits, which had been decreasing on a monthly basis since August 2015, saw a growth of $9.6 billion in January, and onshore corporate foreign exchange loans decreased by $26.6 billion. This indicated that corporations, while paying off their debts, were also accelerating their allocation of foreign currency assets.

Market participants' behavior shifted from being primarily focused on debt repayment to being more focused on allocation. However, we also observed that offshore foreign exchange loans increased by $19.9 billion in January, which might suggest that to some extent, domestic foreign exchange loan activities were being replaced by offshore foreign exchange loans, or that arbitrageurs were seeking profit through offshore borrowing. Nevertheless, the combined total of domestic and offshore foreign exchange loans decreased by $6.8 billion in January.

Furthermore, we saw a reduction of ¥640 billion in the central bank's foreign exchange assets. Taking into consideration the previously mentioned increase of $19.7 billion in foreign exchange deposits and the decrease of $26.7 billion in loans, assuming that banks did not significantly increase their foreign currency positions, financial institutions' foreign exchange assets could have decreased by over ¥900 billion. This data can be verified once the State Administration of Foreign Exchange (SAFE) releases the balance of payments data, but regardless of the reduction in foreign exchange assets, it only indicates that a portion of yuan deposits has transformed into foreign currency deposits. Whether these foreign currency deposits are used to repay loans, held directly, or used for foreign exchange outflows can be observed from the previous three sets of data.

Credit and Bonds

The central bank's new loans in yuan increased by ¥2.5 trillion in January, which surprised the market. However, in previous analyses of central bank data, I repeatedly stressed the impact of loan replacement on the loan growth of major banks and also pointed out that credit growth for small and medium-sized banks was relatively robust. As expected, in January, the seven major banks extended ¥940 billion in loans, compared to a growth of ¥30 billion in October of the previous year (with the four major banks even experiencing a negative growth of ¥65.6 billion). However, small and medium-sized banks extended even more loans, reaching ¥1.45 trillion, which was indeed remarkable. Furthermore, the bill financing of the four major banks decreased by ¥18.3 billion, likely related to the bill turmoil at the Agricultural Bank of China in January. However, the bill financing activities of small and medium-sized banks as well as the Bank of Communications, China Development Bank, Postal Savings Bank, and other three major banks remained active, with increases of ¥250 billion and ¥150 billion, respectively.

However, when observing changes in medium and long-term loans and non-financial corporate term and other deposits, the changes in January are particularly notable. Medium and long-term loans increased by ¥1 trillion, while non-financial corporate term and other deposits increased by ¥810 billion, with their scales being nearly equivalent. Typically, loans to enterprises lead to the creation of current deposits for those enterprises. These current deposits may quickly become household deposits, term deposits for enterprises, or bank deposits for non-bank financial institutions, among others.

The similar growth rates of medium and long-term loans and non-financial corporate term and other deposits in January have interesting implications. A more obvious precedent for this situation occurred in the first quarter of 2009. At that time, there was a large increase in medium and long-term loans, and non-financial enterprise and other deposits also increased substantially, indicating that enterprises did not immediately expend the deposits obtained from loans, but instead held them as term and other deposits in banks, awaiting future use. Over time, this money would gradually be spent.

Through this channel in the real economy, these expenditures would consume inventory and utilize production capacity. Meanwhile, funds would flow to other market participants, and these market participants would invest these funds in the financial market, thereby boosting the financial market. From a medium and long-term perspective, the key issue is whether the fixed asset investments resulting from new loans can generate sufficient cash flows to service the loans. In the short term, however, the flow of money created through monetary expansion and its allocation are more important.

In terms of banks' lending capacity, we need to consider both their capital adequacy ratios and liquidity. Regarding capital adequacy ratios, except for joint-stock banks, the capital adequacy ratios of large commercial banks, urban commercial banks, rural commercial banks, and foreign banks were all higher at the end of December than at the end of September of the previous year. Capital adequacy ratios of joint-stock banks only dropped by 0.03%. The loan-loss provision coverage ratio of large commercial banks decreased significantly, from 232% at the end of 2014 to 171% at the end of 2015, a decrease of over 60%. This went beyond a drop to even lower levels than joint-stock banks' 181% coverage ratio.

Therefore, for large commercial banks, the capital adequacy ratios may loosen somewhat in 2016, perhaps falling back from 14.50% at the end of December or slowing in their growth rate. As for joint-stock banks, there is still some room for the reduction of the provision coverage ratio, but the pressure on the capital adequacy ratio cannot be ignored. Of course, if the China Banking Regulatory Commission allows a reduction in the provision coverage ratio requirement, banks can more gradually account for bad loans within profits, allowing more room for decreases in provisions, thereby smoothing the impact of losses over a longer period.

Moreover, the banking industry overall is still profitable, and in 2016, net profits may decrease initially, but a full industry-wide loss is still a distant possibility. Also, we have noticed that after removing the loan-to-deposit ratio constraint, the loan-to-deposit ratio for the banking industry as a whole reached 67% at the end of 2015, surpassing the previous five-year peak of 66.08% at the end of 2013. After eliminating this unreasonable regulatory constraint, the expansion of loan sizes will be more flexible.

In addition to capital adequacy ratios, we also need to consider liquidity, which is related to both central bank policies and non-bank institutions. Let's first discuss the performance of non-bank institutions in the bond market. The central bank's measurements indicated a decrease of ¥190 billion in non-bank financial institutions, and in the securities settlement trading funds of the stock market, there was a decrease of about ¥110 billion, suggesting that non-bank institutions experienced minor changes in bank deposit dynamics beyond the stock market.

In January, financial institutions' loans to non-bank financial institutions decreased by ¥40.6 billion, indicating that if non-bank institutions were increasing their assets, the funds must have come from non-financial institutions and individuals, rather than from non-bank loans from banks. From data from China Central Depository & Clearing Co., Ltd. (CCDC) and Shanghai Clearing House (SHCH), we can observe the performance of the bond market. Insurance companies sold ¥150 billion in bonds according to the CCDC data, while fund purchases amounted to ¥250.5 billion. According to SHCH data, insurance companies slightly increased holdings by ¥30 billion, while funds increased holdings by ¥200 billion. Of course, fund purchases significantly exceeded insurance sales, but more information is needed, particularly about the size of the fund market.

If the funds used for bond purchases come from investors' funds rather than bank loans, it would appear as if there has been little change in the size of bank loans to non-bank financial institutions, but the fund market is growing larger and holding more bonds. Investors' bank deposits are indirectly channeled to non-bank issuers/bond sellers through funds, or funds are purchasing bonds that banks hold, leading to the reduction of bank balance sheets. In either scenario, banks' balance sheets won't grow larger and, in fact, there is a possibility of shrinking. This is beneficial for maintaining money creation through bank lending.

Future Prospects

Firstly, let's discuss the real estate market. The year-on-year growth rate of individual medium and long-term consumer loans reached 23.26% by the end of January 2016, the highest growth rate since the tightening measures were introduced in 2011. Originally, achieving this growth rate level was possible in 2013, but the liquidity crisis in June 2013 and the central bank's tightening policy shifted the growth rate from acceleration to deceleration, ultimately slowing from 21.47% in November 2013 to 16.9% in May 2015.

Looking at the current central policies, it is evident that there is a strong desire for some improvement in the real estate market, whether through increasing the public provident fund deposit rate or reducing down payment ratios. Therefore, the year-on-year growth in housing loans will continue to rise in 2016. Although housing loans will replace developer loans, such replacements imply a reduction in risk and suggest that real estate companies and banks have finally generated profits. This is beneficial for financial system stability and will further boost consumption and investment.

Regarding bonds, in my January 21st article "What Stories Did the Central Bank's Data Tell for December?" I mentioned, "It would already be good if the bond market can maintain its current level of volatility," and the subsequent movements in the government bond futures market aligned with this assessment, staying at the same level as the 21st. The key focus in the next stage is, of course, the issuance of government bonds and local government bonds, particularly against the backdrop of the central government expanding its budget deficit and local governments increasing their debt replacement efforts. Corporations and governments likely recognize the opportunity to take advantage of the current low-interest rate environment. The enthusiasm for housing loans, the consumption reflected in CPI data, will ultimately be reflected in price levels and people's risk sentiment. If non-financial sectors shift their asset allocation strategy from allocating more to bonds and repaying debt post the stock market crash to allocating more to the property market, foreign exchange, and stocks, it will be a significant blow to the bond market.

In other words, bank lending will create more liquidity, and this liquidity will serve as the source of funds for buying bonds. However, if the volume of bond issuance is too large and exceeds the capacity of liquidity absorption, or if the allocation strategies of liquidity holders change, then bond yield levels cannot remain low. We have already seen that corporate bond yields have risen again, reflecting both the pressure of increased bond supply and the realignment of investor demand.

In the foreign exchange market, the good news is that the onshore-offshore spread is converging again. I have emphasized the importance and necessity of spread convergence multiple times in my previous articles. After the Federal Reserve signaled a looser policy in early February, the onshore-offshore spread narrowed from -600 points to 0 within a day. The offshore market is also starting to follow the onshore market, forming a linkage mechanism where onshore prices follow the central parity rate, and offshore prices follow the onshore prices.

If the central parity rate can fluctuate in a manner acceptable to the market, this linked structure can be maintained for a period, providing time and a conducive environment for market participants to refine mechanisms further. The market is currently awaiting the March meeting of the Federal Reserve, and until then, the market will likely remain cautious. There is a higher likelihood of slight fluctuations in the USD/CNY exchange rate around its current level. However, once the Federal Reserve provides a clear easing signal, the range of fluctuations for the RMB will widen further. This will result in a more balanced market force between those going long on the RMB and those going short on the RMB. If the central bank wishes to stabilize the market during this time, it could utilize fewer foreign exchange reserves than it did in early January, and the decline in foreign exchange reserves in February will be smaller than that of January.