原创 2016-01-21 季天鹤央行观察

外汇和央行流动性

首先来看央行。市场已经注意到了央行外汇占款减少7082亿，这和外汇储备的减少1079亿美元是同步的。同时，央行对银行的流动性支持也减少了892亿元，这和央行当月逆回购净减少200亿、SLF增加0.4亿、MLF减少300亿、PSL规模不变有关，不过我们看到，除了上面公告出来的操作外，还有近400亿的支持没有了，当然误差总会有的。

央行对其他金融机构的债权减少了3040亿。考虑到2015年7月这个项目增加了2000亿，我们可以猜测央行把证金救市时借的钱还了回来，此外还有一些其他机构也把钱还了。这可以部分地解释非存款类金融机构在银行的存款，为何在12月大幅下降近5000亿。可惜证金公司只有半年报和年报，我们无法通过比对其报表来看到变化了。这笔还钱操作，不但会影响M2层面，也会影响银行间层面。

央行的负债侧也有很多大动作。元旦的现金需求使央行货币发行增长近3000亿，而政府存款减少1.2万亿，显示出财政政策确实比较给力，在央行政府存款余额与2014年底同比减少了13%。资产侧和负债侧共同的作用，使其他存款性公司在央行的存款增加了1817亿。这个数字着实不算多，毕竟在12月央行没有降准操作。

总之，12月银行间流动性主要受财政存款和外汇占款影响。财政存款释放1.2万亿流动性到银行间去，但外汇占款的减少抵消掉7000亿，也就是说7000亿人民币变成外币跑掉了，于是银行间就净增了5000亿。而央行从银行和非银金融机构撤贷款又减少了4000亿流动性，纸币提款减少3000亿，剩下的2000亿缺口就是剩余项目的影响，特别是通过其他资产的增加和其他负债的减少，使缺口反而变为增盈。

这近2000亿的流动性增加规模实在是很小。如果我们观察从2006年起各年的央行资产负债表，会发现这次的1817亿是各年12月里面最小的增幅。一般来说，12月的银行间流动性增长往往超过万亿，少的时候也在7千亿-8千亿，比较特殊的是2011年12月增长4000亿，而我们都知道2011年底，中国经历了欧债危机驱动下资本外逃。

资本外逃的一个特点在于，在减少超额准备金的同时，也会减少准备金的基数。从外汇买卖数据来看，银行12月外汇增持了仅28亿美元，因此12月外汇储备应该并不是给了银行，而是基本被汇出到国外了，或者说跑到了央行的其他某个资产里面。如果按照7000亿人民币银行负债侧人间蒸发来估计，那么对法定准备金的要求其实降低了约1000亿人民币。

此外，可以推测的是，除了央行负债侧有财政存款外，银行负债侧也有财政存款，而这部分财政存款被央行要求全额缴存，即银行需要把在央行的超额准备金存款中，相当于银行负债侧财政存款的部分冻结起来。而银行负债侧财政存款变为一般存款，尽管增加了准备金存款基数，但银行准备金存款会解冻，导致超额准备金的增加。

从人行的政府存款和存款性金融机构的财政性存款，这部分冻结应该有2000亿左右。而这部分存款变成一般存款，先使得法定存准规模增加300亿，但同时由于准备金总额增加2000亿，使得超额准备金增加1700亿，这也有助于银行维持合适的超额准备金率。最终，尽管银行在央行存款仅增加2000亿，但储户购汇以及财政存款解冻等因素，又使得法定准备金要求降低了近3000亿元，基本上能够应对住户存款和非金融企业存款共同增加的24000亿存款基数。人行在12月不降准，当然是估计到了财政存款会有比较剧烈的投放。此外，央行恐怕还认为12月的外汇占款下降得没有它预计的快，所以它甚至还在12月缩减了对银行的贷款支持。

银行体系的外汇情况

从银行的外汇情况看，我们注意到住户的外汇存款增加了49亿美元，非金融企业的活期外汇存款增加了81亿美元，但定期减少了115亿美元，使境内外币存款总体上仅增长1亿美元。看起来，非金融机构的外汇存款少了，但事实上，这部分外汇主要是用来归还银行贷款，使银行的境内非金融外汇贷款减少202亿美元，特别是短期贷款减少170亿美元，和去年9、10月情况相似。

境内银行的外汇短期贷款从2015年3月底的高点3590亿一路下降，12月底达到了2576亿美元，已经减少了1000亿美元。由此引发的境内银行购汇以及相应的外汇占款减少，不应该被看作是一种资本外逃，而应该看作是境内银行去杠杆的过程。市场主体在总体上一方面在购汇，一方面在还贷，7000亿元的银行外汇占款减少中，有1000亿元相当于是归还境内银行贷款了。

上述的1000亿美元下降中，主要的部分是短期外汇贷款，从5月底的高点3590亿美元下降至12月底的2576亿美元。长期贷款相比而言稳定在1900亿美元-2000亿美元。预计短期外汇贷款规模可能会继续下降，但下降的速度恐怕会放慢。此外，居民外汇存款无论是活期存款还是定期存款都有增加。这意味着银行排队购汇的大妈们，有部分只是增持了外币存款，并没有用来汇出。这种到境内银行购汇并持有的操作，会在2016年有所增加。

个人贷款与房地产

之前的几期数据解读都强调了债务置换对于数据的影响，所以这次我们先观察住户贷款，这个数字应该不会受到债务置换的影响。2015年12月底，金融机构人民币住户贷款同比增长16.77%，是2014年10月以来的新高，这主要体现了购房需求的不断释放，开发商的银行贷款被住户的银行贷款所替换。相对于政府债务置换，这可谓是“地产债务置换”了。

住户贷款里面的中长期消费贷款可以看作是个人贷款余额的月度近似指标，这个指标在12月底的同比增速达到了22.57%，超过2013年底的增速峰值，余额在14.8万亿。而房产开发贷款余额仅5万亿，同比增速从2015年3月的22.22%下降至19.38%。当然房产开发贷款只是开发商资金来源的一部分，不能反映开发商的整体负债情况，而住户贷款也不是购房款的全部。

住户贷款１年新增３万亿，考虑到还贷的部分，住户通过贷款渠道给开发商的钱每年要比３万亿更大一些。相比而言开发贷款余额小，增量也小，从银行的角度看，总量上住户贷款慢慢替换开发商贷款是有前景的。对开发商而言，去库存的金融含义就是去负债，库存面积增速和债务增速都要下降，而住户买房的金融含义就是存款转帐以及银行贷款增加。开发贷款余额增速放缓、购房贷款增速增加，或许可以看作是反映去库存情况的参考指标。

现在的情况和2013年很不一样。那个时候央行搞出了钱荒，国家也出台了限购限贷措施，使得很多购房需求无法满足，媒体上充斥着住户想要购房但无法办下来贷款的报道。而数据上则反映为，住户中长期消费贷款增速在2013年达到峰值后持续减速。现在这一增速重新提速，而现在的利率水平比2013年要低，贷款环境也比2013年要宽松，银行会欢迎居民购房贷款这种稳定低风险的资产，住户贷款增长势头短期内不会衰减。不过房地产企业应该也会意识到，这是他们最后一次解套的机会，以后的市场不可能像过去那样，只要盖房就不愁卖了。

债券牛市

金融机构的债券投资，这一项在12月增长了3000亿。这一增长水平在2014年是前几位的大规模，但在2015年则是比较小的规模，因为置换债使得银行增持了很多债券，仅11月就增持了超过1万亿元。2016年还会有债务的置换，因此银行的这个项目未来还会增长。不过如果结合上清所和中债登的数据，我们会发现，中债登的基金（包括银行理财）和上清所的非法人机构在12月的表现都很积极。

中债登的基金在12月净增持3000亿债券，而上清所的非法人机构在12月增持1000亿债券，其中国债300亿、企业债850亿、农发债550亿、二级资本工具580亿、超短融和短融共计900亿。相比之下，银行在12月则抛出了或者持有到期了很多债券，包括企业债338亿、中票300亿、国开债500亿、企业债600亿等。

此外，从基金业协会的数据看，12月债基规模增加1000亿元，货币基金更是增加10000亿元。而保护基金的结算资金余额在12月减少了3500亿。这说明，股票投资者离开股市，买入债基和货基，使两类基金规模变大并不停买债，而且部分解释了12月非银机构银行存款减少的5700亿。

我们不禁需要思考债市目前的问题。基金和理财本身并不像银行一样面临严重的资金成本压力。这不是说基金不加杠杆，而是说基金和理财的主要思路是直接把资产侧收益率传递到投资者那里，而不是像银行一样首先要覆盖自己资金成本。在这种情况下，推高债券价格和推高股票价格一样，都可以直接成为基金净值的增长，而至于推高之后收益率多少，并不是基金需要考虑的问题，因为即使收益率低，他也没有那么多资金成本需要覆盖。

在这种情况下，我们看到基金和理财其实是在为银行解套。银行把自己的债券卖给基金或者理财，获得了债券的资本利得收益，可以在一定程度上对冲不良贷款带来的损失。而留给基金和理财的，是一系列低收益率的债券。由此传递到基金持有人和理财投资者的，自然也是低收益率的基金产品和理财产品。

展望

我们在月初关于人民币汇率的系列文章中指出，在目前阻碍流出鼓励流入，使市场熟悉波动并增持外币资产的过程里，可能的情况是央行外汇储备减少以及对外转帐持续，与之并存的是银行外币存款稳定增加，而且这种增加是在一部分外币存款在还债中消失的前提下。此外，目前资金成本和债券收益率又达到一个非常窄的水平，而1月份现金流出和财政缴税对资金面将造成影响，春节长假也要求银行留足充分的超额准备金。

这种超额准备金的减少因素与需求的增加因素相互叠加，将造成资金市场处于紧而不稳的平衡，埋下高度波动的种子。储户的取款心思，人行和银行又怎能知晓？其流动性支持乃是追着市场跑，在资金面发生紧张时予以缓解，而不是把资金成本往更低的水平引导。而提取现金意味着基金的赎回，这本身就会触发卖券的操作，一月份的债券市场能在目前水平维持震荡，就已经不错了。

Foreign Exchange and Central Bank Liquidity

Let's start by looking at the central bank. The market has already noted a decrease of 708.2 billion in central bank foreign exchange holdings, which is in sync with the decrease of 107.9 billion US dollars in foreign exchange reserves. Additionally, the central bank's support for liquidity to banks decreased by 89.2 billion yuan. This reduction is associated with various factors including a net decrease of 20 billion in reverse repurchase operations, a net increase of 0.4 billion in SLF, a decrease of 30 billion in MLF, and no change in the PSL scale. It's worth noting that aside from the announced operations, approximately 40 billion yuan of support seems to have disappeared, although errors are always possible.

The central bank's claims on other financial institutions decreased by 304 billion yuan. Considering that this item increased by 200 billion yuan in July 2015, it's speculated that the central bank repaid the money borrowed during the China Securities Finance Corporation's market rescue. Furthermore, other institutions might have also returned funds. This can partially explain the significant decrease of nearly 500 billion yuan in non-deposit financial institutions' deposits in banks, particularly as the China Securities Finance Corporation's operations impact the interbank level. The central bank's liabilities also underwent significant changes. Increased cash demand on New Year's Day led to a rise of nearly 300 billion yuan in currency issuance by the central bank, while government deposits decreased by 1.2 trillion yuan, indicating robust fiscal policies. The balance of government deposits at the central bank decreased by 13% compared to the end of 2014. The combination of asset and liability changes increased the central bank's deposits by other deposit-taking companies by 181.7 billion yuan. Although this figure isn't substantial, it should be noted that the central bank didn't implement reserve requirement cuts in December.

To summarize, interbank liquidity in December was mainly influenced by fiscal deposits and foreign exchange holdings. The release of 1.2 trillion yuan in fiscal deposits into the interbank market was offset by the reduction of 700 billion yuan in foreign exchange holdings. This means that 700 billion yuan worth of Chinese currency was converted to foreign currency and left the market, resulting in a net increase of 500 billion yuan in the interbank market. The central bank's withdrawal of loans from banks and non-bank financial institutions reduced liquidity by another 400 billion yuan. Currency withdrawals decreased by 300 billion yuan, leaving a remaining gap of 200 billion yuan. This gap is influenced by residual items, particularly through the increase in other assets and the decrease in other liabilities, turning the gap into a surplus. This increase of nearly 200 billion yuan in liquidity is relatively small. If we consider the central bank's balance sheet from 2006 onwards, we find that this increase of 181.7 billion yuan is the smallest among Decembers of each year. Generally, interbank liquidity growth in December often exceeds one trillion yuan, and even in slower times, it is around 700 billion to 800 billion yuan. Notably, there was an increase of 400 billion yuan in December 2011. As we all know, by the end of 2011, China experienced capital outflows driven by the European debt crisis.

Foreign Capital Outflows typically result in both a reduction in excess reserves and a reduction in the base of reserve requirements. From the perspective of foreign exchange trading data, Chinese banks increased their foreign exchange holdings by only 2.8 billion US dollars in December. Therefore, it's likely that the decrease in foreign exchange reserves in December wasn't primarily allocated to banks; instead, it was mostly transferred abroad or allocated to other assets of the central bank. If we estimate based on the 700 billion yuan reduction in bank liabilities, the required reserves would be reduced by around 100 billion yuan.

Furthermore, it's possible to speculate that apart from fiscal deposits on the central bank's liabilities side, there are also fiscal deposits on the banks' liabilities side. The central bank requires banks to fully deposit these fiscal deposits, meaning that banks need to freeze a portion of their excess reserve deposits at the central bank equivalent to the amount of fiscal deposits on their liabilities side. This conversion of fiscal deposits on the banks' liabilities side into general deposits increases the reserve deposit base, but the frozen reserve deposits will be released, leading to an increase in excess reserve deposits. This calculation suggests that there could be around 200 billion yuan of frozen fiscal deposits. When this portion is transformed into general deposits, it would initially increase the required reserves by 30 billion yuan. However, since the total reserves increase by 200 billion yuan, the excess reserve deposits increase by 170 billion yuan. This helps banks maintain an appropriate excess reserve ratio. Ultimately, even though bank deposits at the central bank only increased by 200 billion yuan, factors like depositors' currency conversion and the thawing of fiscal deposits would lower the required reserves by nearly 300 billion yuan, essentially coping with the 2.4 trillion yuan increase in household and non-financial corporate deposits. The fact that the central bank didn't implement a reserve requirement cut in December is likely a result of anticipating a substantial fiscal deposit injection. Moreover, the central bank probably believed that the decrease in foreign exchange holdings in December was slower than expected, which is why it reduced support for bank loans.

Foreign Exchange Situation of the Banking System

Examining the foreign exchange situation of banks, we observe that household foreign exchange deposits increased by 4.9 billion US dollars, and non-financial corporate demand foreign exchange deposits increased by 8.1 billion US dollars, while time deposits decreased by 11.5 billion US dollars. Overall, this resulted in a net increase of only 0.1 billion US dollars in domestic and foreign currency deposits. Although non-financial institutions seem to have reduced their foreign exchange deposits, a significant portion of these deposits was likely used to repay bank loans, leading to a decrease of 20.2 billion US dollars in domestic non-financial foreign exchange loans, especially a decrease of 17 billion US dollars in short-term loans, similar to the situation in September and October of the previous year.

Foreign exchange short-term loans in domestic banks have been decreasing since reaching a peak of 359 billion US dollars at the end of March 2015, reaching 257.6 billion US dollars at the end of December. This marks a reduction of 100 billion US dollars. This decline also led to an increase in interbank foreign exchange trading by banks and a corresponding decrease in foreign exchange holdings. This phenomenon shouldn't be seen as capital outflows but rather as part of domestic banks' deleveraging process. Market participants, on one hand, are purchasing foreign exchange, while on the other hand, they are repaying debts. Of the 700 billion yuan reduction in bank foreign exchange holdings, approximately 100 billion yuan is akin to repaying domestic bank loans.

Out of the aforementioned 100 billion US dollars reduction, the primary portion is short-term foreign exchange loans, which decreased from 35.9 billion US dollars at the end of May to 25.76 billion US dollars at the end of December. In comparison, long-term loans remained stable at 19-20 billion US dollars. Short-term foreign exchange loans may continue to decrease, but the rate of decline might slow down. In addition, both demand and time foreign exchange deposits by residents have increased. This implies that some of the individuals queueing up to purchase foreign exchange from banks are using a portion of it to hold foreign currency deposits rather than immediately converting it. This operation of purchasing foreign exchange and holding it domestically will likely increase in 2016.

Personal Loans and Real Estate

Previous interpretations of data emphasized the impact of debt replacement on the numbers. Thus, this time we focus on household loans, which shouldn't be significantly affected by debt replacement. As of the end of December 2015, financial institution RMB household loans increased by 16.77% year-on-year, reaching a new high since October 2014. This mainly reflects the continuous release of housing demand and the replacement of developer bank loans by household bank loans. Relative to government debt replacement, this could be called a "real estate debt replacement."

Medium- and long-term consumer loans within household loans can serve as a monthly approximate indicator for personal loan balances. The year-on-year growth rate of this indicator reached 22.57% at the end of December, exceeding the peak growth rate at the end of 2013. The balance reached 14.8 trillion yuan. In contrast, the balance of real estate development loans was only 5 trillion yuan, with a year-on-year growth rate decreasing from 22.22% in March 2015 to 19.38%. However, real estate development loans only constitute a part of developer funding and don't reflect their overall liabilities, just as household loans don't encompass all property purchases.

The increase of 3 trillion yuan in household loans over one year, considering repayments, means that households have provided developers with more than 3 trillion yuan through loans annually. On the other hand, real estate development loan balances are smaller and their incremental growth is smaller as well. From the perspective of banks, the gradual replacement of developer loans with household loans has promising prospects. For developers, the financial implication of reducing inventory is reducing debt. Both inventory growth and debt growth should decrease. Meanwhile, the financial implication of households buying houses is transferring deposits and increasing bank loans. The slowing growth rate of development loan balances and the increasing growth rate of home purchase loans could be considered reference indicators reflecting the destocking process. The current situation is quite different from 2013. At that time, the central bank tightened money supply and the government implemented measures like home purchase and loan restrictions, resulting in many home buyers being unable to obtain loans. This was reflected in the deceleration of the growth rate of medium- and long-term consumer loans within household loans after reaching a peak in 2013. Now, this growth rate is picking up again, and the current interest rate level is lower than in 2013, creating a more lenient loan environment. Banks are likely to welcome stable, low-risk assets like resident home purchase loans. The momentum of household loan growth is unlikely to diminish in the short term. However, real estate companies should also realize that this is their final opportunity to reduce their debt. The future market is unlikely to be as favorable as in the past, where building houses guaranteed sales.

Bond Bull Market

Investments in bonds by financial institutions increased by 300 billion yuan in December. While this growth rate was one of the largest in 2014, it's relatively small in 2015 due to debt replacement leading banks to hold a lot of bonds; they increased their holdings by more than 1 trillion yuan just in November. There will be more debt replacement in 2016, so this item for banks will continue to grow. However, if we consider data from China Central Depository & Clearing Co. (CCDC) and China Securities Depository and Clearing Corporation Limited (CSDC), we can see that funds held by CCDC (including bank wealth management products) and non-corporate entities on the China Securities Depository increased significantly in December.

CCDC's funds increased their bond holdings by 300 billion yuan in December, while non-corporate entities on CSDC increased their bond holdings by 100 billion yuan, including 30 billion yuan in government bonds, 85 billion yuan in corporate bonds, 55 billion yuan in agricultural development bonds, 58 billion yuan in tier 2 capital instruments, and 90 billion yuan in short-term and medium-term commercial papers combined. In contrast, banks sold or let mature many bonds in December, including 33.8 billion yuan in corporate bonds, 30 billion yuan in medium-term notes, 50 billion yuan in policy bank bonds, and 60 billion yuan in corporate bonds.

Additionally, according to data from the Asset Management Association of China (AMAC), bond fund size increased by 100 billion yuan in December, with money market funds increasing by a whopping 1 trillion yuan. Settlement fund balances of protection funds decreased by 350 billion yuan in December. This indicates that stock investors are leaving the stock market and investing in bond and money market funds, significantly increasing the size of these funds and continuously buying bonds. It also partly explains the 570 billion yuan decrease in non-bank financial institutions' bank deposits in December.

We need to contemplate the current situation of the bond market. Funds and wealth management products themselves don't face significant funding cost pressures like banks. This doesn't mean that funds don't use leverage but rather that funds and wealth management products mainly aim to pass on asset-side yields directly to investors, unlike banks which first need to cover their funding costs. In this scenario, just as pushing up stock prices, pushing up bond prices directly results in an increase in net asset value of funds. The exact yield after pushing it up isn't a concern for the fund, as even if the yield is low, it doesn't have as many funding costs to cover. In this context, we see that funds and wealth management products are actually helping banks unwind. Banks sell their bonds to funds or wealth management products, gaining capital gains from the bonds. This partially offsets the losses caused by non-performing loans. Meanwhile, funds and wealth management products end up with a series of low-yield bonds. This is transferred to fund holders and wealth management investors as low-yield fund and wealth management products.

Looking Ahead

In our series of articles at the beginning of the month regarding the renminbi exchange rate, we pointed out that during the process of inhibiting outflows and encouraging inflows, which makes the market familiar with volatility and increases holdings of foreign currency assets, it's possible for foreign exchange reserves to decrease while outward transfers continue. Concurrently, banks' foreign currency deposits steadily increase, and this increase is occurring while a portion of foreign currency deposits disappears due to debt repayment. Moreover, the current situation of interest rates and bond yields has reached a very narrow level. Additionally, January's cash outflows and tax payments will impact the money market, and the long Chinese New Year holiday requires banks to maintain sufficient excess reserve ratios.

The simultaneous reduction of excess reserves and increase in demand will create a situation where the money market is tightly balanced but unstable, planting the seeds for high volatility. The intentions of depositors to withdraw funds and the central bank's and banks' responses are difficult to predict. The central bank's liquidity support is something that follows the market and provides relief during times of financial stress rather than guiding funding costs lower. Cash withdrawals also lead to fund redemptions, which would trigger selling operations. That bond markets can maintain their current level of volatility in January is already a positive outcome.