原创 2015-10-26 季天鹤央行观察央行观察

经过了动荡的8月之后，9月的外汇局数据又讲述了哪些结售汇和跨境汇款的故事呢？

首先来看涉外收付款。9月逆差4488亿人民币，比8月的2238亿扩大，从6月开始的顺差转逆差的进程仍在进行中。然而，仔细观察币种，我们发现，外币净汇出在8月和9月的规模是相近的，但离岸人民币净汇入则大为不同，8月的时候净汇入2404亿，但9月仅82亿。

一般来说，人民币贬值会促使市场主体从境外汇入人民币，而对于外币而言往往表现为汇出。2011年上半年和2013年底，外币大量净汇入，而人民币也表现为汇出。而2015年则整体表现为人民币净汇入，外币摇摆偏向汇出（图中负值表示流出）。

9月数据的特点，在于人民币净汇入迅速下降。8月份我们看到人民币迅速汇入，汇出水平并未大幅波动。而9月份则一方面人民币汇出较8月份增加更多，另一方面汇入减少，造成人民币收支顺差大幅减少。

人民币汇入减少和汇出增加可能的原因是9月份CNH HIBOR保持高位，HIBOR3M维持在4%-4.5%区间，而9月Shibor 3M在3.05%-3.2%水平震荡。离岸利率高于在岸，有利于境外主体增强持有人民币的意愿，也降低了境外主体将人民币汇入境内的意愿，表现为人民币向境外汇出的增加和向境内汇入的减少。

总体而言，不能因为总体上逆差增加了，就认为跨境资本流动加剧。外汇局只是在统计上把外币收付款和本币收付款简单加总，但在解读的时候，必须意识到两者是非常不同的。除了在机制上完全不同之外，操作上看，人行和其他境内主体持有的外币规模是有限的，外币流出尽管规模和外汇储备相比显得很小，但流出的上限毕竟是存在的。而人民币则是可以由人行创造的。

而人民币汇出，无论动机是实体经济的，还是套利投机的，都意味着人民币的国际化，使境外主体持有可以作为基础货币的人民币，从而进一步进行人民币存款扩张等。当然，境外持有人民币的规模越大，潜在的卖出人民币导致汇率下跌的压力也越大，但数万亿离岸人民币规模，和130万亿在岸人民币存款的做空筹码相比就微不足道了。

再来看结售汇的境况。银行代客净售汇7296亿元，略小于8月的净售汇8070亿元。其中，代客结汇和代客售汇均进一步下降，其中银行代客售汇下降较多，也就是客户从银行的购汇较8月下降。但总体上看，代客结售汇的情况和8月份相差不大。

增减较为剧烈的是在远期市场。首先我们关注远期结售汇余额，可以看出远期的结售汇未到期余额净额波动，和外币跨境汇款相似。从2014年开始，这一净额就开始下行，主要因素是远期结汇未到期余额的下降（图中负值表示银行售汇客户购汇）。

远期结售汇未到期余额的变化，受到两方面影响，一方面是新签约的远期结售汇合约，另一方面是履约的远期结售汇合约。可以看到，8月的新签的远期售汇合约数量非常大。

9月份远期售汇新签约逆差大幅下降至981亿元，显然和央行对售汇的监管（银发[2015]273号）有关。央行认为，银行签订远期售汇合约，并同时在即期市场购入外汇在即期市场购入外汇，会影响即期汇率。新签约的减少，以及9月份前期售汇履约的增加，使得远期售汇未到期余额减少。

需要注意的是，尽管远期售汇被打压，但远期结汇继续减少，142亿的单月新签约创下了2010年以来的新低。这意味着客户依然认为人民币有下跌的趋势，或者说客户并不认为人民币升值的风险很大。

最后我们看一下总体的状况。上周的《9月份的央行数据讲了哪些故事？》中提到，9月份的主题是市场主体偿还境内银行的外币贷款。从结售汇的角度看，客户净购入等值7296亿人民币的外汇，其中4570亿人民币等值外汇被净汇出，剩余2726亿人民币等值外汇理应形成外汇存款，但事实上金融机构外汇存款反而减少了151亿美元（约950亿人民币）。

考虑到金融机构外汇贷款减少了505亿美元（约3200亿人民币），我们基本可以确认，上述2726亿元人民币等值外汇和950亿元人民币等值外汇存款一起，归还了前述3200亿人民币等值外汇贷款，此外还有一些其他用途。而央行与银行的国外资产料将下降4500亿人民币左右。目前外汇贷款余额已经跌回2015年以前的水平，去杠杆操作可谓十分猛烈。

10月份的市场状况和9月份相比，最大的差异在于离岸在岸人民币价差收紧。最近虽然又有扩大的趋势，达到了-300基点，但和9月份超过-1000点的情形形成了鲜明的对照，因此代客结售汇逆差以及外币收付款逆差都有缩小的可能。

外汇局披露的8月份远期市场交易情况显示，约60%的银行与客户的远期交易期限不超过3个月，约40%的交易期限在3个月到1年之间。如果按照3个月内履约3000亿的规模估计，9月份的履约数据中应该已经包含了一部分，10月份的履约数据中还会持续包含而反映在代客结售汇的售汇项中，并使外汇占款持续面临负增长的压力。至于履约拿到外汇后客户是否重新换成人民币，还要看人民币走势以及利率水平的情况了。

After the turbulent month of August, what stories do the September State Administration of Foreign Exchange (SAFE) data tell about the structure of capital inflows and outflows and cross-border remittances?

Let's start by looking at foreign exchange receipts and payments. In September, the deficit amounted to 448.8 billion RMB, which is an expansion from August's 223.8 billion RMB deficit. The process of transitioning from a surplus to a deficit that began in June is still ongoing. However, a closer examination of the currencies reveals that the net outflow of foreign currency in August and September were similar, but there was a significant difference in net inflow of offshore RMB, where August saw a net inflow of 240.4 billion RMB, compared to only 8.2 billion RMB in September.

Typically, RMB depreciation encourages entities to convert foreign currency into RMB, while for foreign currencies, the opposite tends to occur. In the first half of 2011 and the end of 2013, there was a significant net inflow of foreign currency, with the RMB showing net outflows. However, in 2015, the situation was reversed, with the RMB showing net inflows while foreign currency saw fluctuations, tending towards net outflows (negative values in the chart represent outflows).

The peculiarity of September's data lies in the rapid decline in net inflows of RMB. In August, there was a swift net inflow of RMB and relatively stable net outflow levels. In September, however, not only did the net outflows of RMB increase more than in August, but the net inflows also decreased, resulting in a significant reduction in RMB balance.

The decrease in net inflows and increase in net outflows of RMB in September might be attributed to the fact that CNH HIBOR remained high, with HIBOR3M ranging from 4% to 4.5%, while Shibor 3M fluctuated between 3.05% and 3.2% in September. Offshore interest rates were higher than onshore rates, which increased the willingness of offshore entities to hold RMB and reduced their desire to convert RMB into foreign currency, resulting in increased outflows of RMB and decreased inflows.

In general, one shouldn't conclude that cross-border capital flows have intensified solely due to an increased deficit. The State Administration of Foreign Exchange simply aggregates foreign currency receipts and payments with domestic currency receipts and payments for statistical purposes. However, when interpreting the data, it's crucial to recognize that these two types of transactions are very different. Mechanically and operationally, foreign currency held by the People's Bank of China (PBOC) and other domestic entities is limited, and while the scale of outflows relative to foreign exchange reserves seems small, there are indeed limits to the scale of outflows. On the other hand, the PBOC can create RMB.

Whether motivated by the real economy or speculative arbitrage, the outflows of RMB signal the internationalization of the currency, encouraging offshore entities to hold RMB as a base currency. This, in turn, leads to the expansion of RMB deposits and more. While the larger scale of offshore RMB holdings increases the potential pressure of selling RMB and leading to a depreciation of the exchange rate, the scale of tens of trillions of offshore RMB pales in comparison to the approximately 130 trillion RMB onshore deposit market.

Now let's examine the overall situation in the forward market. Banks' net forex sales for customers amounted to 729.6 billion RMB, slightly lower than August's 807.0 billion RMB net forex sales. Both customer purchases and sales of forex have decreased, with bank customer forex sales dropping significantly, indicating that customers' purchases of forex from banks decreased compared to August. However, overall, the situation of net forex purchases and sales by customers is not significantly different from August.

The most dramatic change occurs in the forward market. Pay attention to the outstanding balance of forward forex transactions, which shows a net fluctuation in the balance of outstanding forward forex transactions, similar to cross-border remittances. This net balance has been declining since 2014, primarily due to a drop in outstanding forward forex purchases (negative values in the chart represent banks' forex sales and customers' purchases).

The change in the outstanding balance of forward forex transactions is influenced by two factors: newly signed forward forex contracts and executed forward forex contracts. It's evident that a significant number of new forward forex sales contracts were signed in August.

In September, the deficit in new forward forex sales contracts dropped significantly to 98.1 billion RMB, presumably due to regulatory measures from the People's Bank of China (PBOC). The PBOC believed that banks signing forward forex contracts while simultaneously buying forex in the spot market could affect the spot exchange rate. The reduction in new contracts and the increase in the execution of forward forex sales contracts in September led to a decrease in the outstanding balance of forward forex transactions.

It's important to note that while forward forex sales may have been suppressed, forward forex purchases continue to decrease. A single-month new contract of 14.2 billion RMB in September sets a record low since 2010. This indicates that customers still perceive a downward trend in the RMB's value or do not consider the risk of RMB appreciation to be significant.

Finally, let's look at the overall picture. In last week's analysis of September's central bank data, it was mentioned that the theme of September was entities repaying foreign currency loans to domestic banks. From the perspective of forex purchases and sales, customers had a net purchase equivalent to 72.96 billion RMB in forex. Among this, 45.7 billion RMB worth of forex was net sold, leaving 27.26 billion RMB worth of forex to be formed into forex deposits. However, in reality, financial institutions' forex deposits actually decreased by 1.51 billion USD (approximately 95 billion RMB).

Considering that financial institutions' forex loans decreased by 50.5 billion USD (approximately 320 billion RMB), it can be deduced that the mentioned 27.26 billion RMB and the 9.5 billion RMB worth of forex deposits are used to repay the aforementioned 320 billion RMB worth of forex loans, with some other uses as well. Additionally, the PBOC and banks' foreign assets are expected to decrease by around 450 billion RMB. The balance of forex loans has now fallen back to the levels seen before 2015. The deleveraging operation is quite strong.

Comparing the market conditions in October to September, the most significant difference is the narrowing spread between onshore and offshore RMB. Although there has been a recent trend of expansion, reaching -300 basis points, it sharply contrasts with the situation in September when the spread exceeded -1000 basis points. This suggests the potential for a reduction in the deficit of customer forex purchases and sales, as well as a decrease in the deficit of foreign exchange receipts and payments.

The recent data disclosed by SAFE for the forward market in August showed that around 60% of bank-customer forward transactions had a maturity of no more than 3 months, and around 40% had maturities between 3 months and 1 year. If we extrapolate the size of contracts maturing within 3 months to be around 300 billion RMB, it's likely that part of September's maturing contracts is already reflected in the executed forex sales item and will continue to be reflected in customer forex purchases and sales in October. This will put ongoing downward pressure on forex balances. Whether customers will convert the received forex back into RMB will depend on the RMB's trajectory and the level of interest rates.