周末荐读｜BIS原高级经济学家赫伯特·伯尼什:人民币对冲外汇风险

观点速递

本文作者是IMI学术委员、BIS原高级经济学家赫伯特·伯尼什。

作者提出，中国银行间债券市场的供求端均有提高外资持有比例的空间，在努力阻止资本外流时期，中国当局会欢迎资本流入国内。中国外汇管理局决定允许境外投资者在中国购买在岸债券可以极大促进中国债券市场对国际投资的吸引力。

最后本文作者认为，境外投资者仍然会面临利率风险，在中国面临大量资本外流时，这些措施能吸引多少外资仍有待观察。

中文译文如下：

人民币对冲外汇风险

作者：赫伯特·伯尼什

翻译：李雪菲

审校：肖柏高

中国外汇管理局近期决定允许外国机构投资者获取衍生品，以对冲在岸人民币银行间债券市场的投资。

人民币国际化的弱点在于货币的第三职能——贮藏手段。尽管中央银行和主权财富基金可以进入人民币银行间债券市场，允许以符合QFII协定的机构投资者为主的境外非政府投资者参与其中却是首次。照此逻辑，下一步就会允许这些境外机构投资者对冲在岸人民币投资。

本文首先讨论全球机构投资者的规模，这些机构投资者在全球寻求收益和可投的债务证券。接着探讨外管局最近的决定对这些全球投资者意味着什么，最后谈谈其中涉及的风险。

1. 机构投资者和中国银行间债券市场的规模

经合组织多年来一直收集成员国机构投资者的数据，但直到最近这一举措才得到充分赞赏。2014年，机构投资者可用基金总量接近100万亿美元，而官方外汇储备仅为12万亿美元，全球GDP仅为700亿美元。

这些基金就算发生小幅变动也会导致主要外汇和资产市场的震荡。大多数基金受到严格的投资准则限制，只能产生小幅变动。

如图1所示，2011年，投资基金、保险公司和养老基金占有总资产的最大份额，达到75%，主要投资合格的公开上市股票和债务证券。各机构投资者在不同时间点和时间段的投资和持有期限均有不同。投资基金和养老基金主要投资股票，保险公司偏向于投资债务证券。

相比之下，2016年年中，全球债务市场规模是93万亿美元，包括72万亿美元的国内债券和21万亿美元的国际债券。中国在岸人民币银行间债券市场规模达到56.3万亿人民币，约合8万亿美元，仅次于美国和日本，位列第三（见下表)。

其中境外投资者持有的在岸人民币银行间债券价值仅为8526亿人民币，占总市场的1.5%。这一份额远远小于日本证券的9%和美国已发行证券的38%。中国银行间债券市场的供求端均有提高外资持有的比例的巨大空间。

目前，中国当局正在努力阻止资本外流，因此十分欢迎各方推动资本流入中国。

2. 中国外汇管理局近期关于银行间债券市场对冲行为的决定

中国外汇管理局近期决定允许境外投资者在中国购买在岸债券以对冲其货币风险，这极大促进了中国蓬勃发展的债券市场对国际投资的吸引力。境外投资者可与中国居民（最重要的就是银行）达成这些对冲交易，包括远期合约、掉期交易和期权交易。

这些措施针对的是非中央银行和境外机构投资者，包括养老基金、慈善机构和通过合格境外机构投资者（QFII）协定投资中国债券市场的其他机构投资者。境外投资者必须通过合格的在岸金融机构来交易衍生品，必须根据风险对冲的“真实需要”进行此类交易，因此需要验证，以避免投机性对冲。

许多境外投资者直到现在都在使用人民币离岸市场提供的衍生产品，既耗钱、又耗时。未来中国可能会放宽行政管制，比如优惠税收政策、延长交易时间、缩短结算周期。这对中国国际支付系统将会是一个挑战，它需要建立一个中央证券存管机构（CSD）来纳入债券和衍生产品结算。

3. 境外投资者面临的风险

考虑到人们普遍预期人民币贬值，境外投资者现在可以以一定成本对冲外汇风险。此外，不可忽视境外投资者仍然承担的利率风险，尤其是在目前全球利率普遍上扬、中国也无法置身事外的这一大背景下。在大多数成熟的债券市场，利率掉期率仍充当着基准利率的作用，所以能对冲掉外汇风险这一步也很重要。

“我们还需努力设计和运营中国政府债券市场，使其能提供有效的收益率曲线，从而找出一年到十五年的最优利率。”目前该市场仍属于垄断市场，因为中国的银行大量持有中央政府债券。此外，缺乏机构投资者削弱了创建收益率曲线的紧迫性，也削弱了中国人民银行利用该曲线作为市场操作基础的紧迫性。

最近通过引入利率走廊改善了货币政策操作程序，使用利率衍生品会变得更加便利。中国人民银行应当成为形成中央政府债券收益率曲线“最优”结构的主导机构。央行为履行这一社会责任，应当设计、研发、实行有效且高效的货币政策来管理作为国际货币的人民币。

因此，当中国面临大量资本外流时，这些措施能帮助吸引多少外资仍有待观察。向境外投资者出售更多国内债务证券是一把双刃剑，资本内流会受到欢迎，但资本流动逆转可能会给货币政策带来压力。实行严格的资本管制又回归到行政管理的老路，这是人民币国际化暂时遇到的挫折。外界期望市场能够更多地决定汇率和利率。

英文译文如下：

RMB hedging forex risk

By Herbert Poenisch

In the January issue of the IMI Review I described the financial use of RMB overtaking the use for international trade.

In this issue I take the recent decision by SAFE to allow foreigner institutional investors access to derivatives products for hedging their investment in the onshore interbank RMB bond market.

The weak side of internationalization of RMB was always the third function of money, the storage of value. While central banks and sovereign wealth funds have been allowed into the RMB interbank bond market, allowing non-government foreigners, mostly in form of institutional investors under the QFII scheme to participate is relatively new. The next logical step is to allow these foreign institutional investors to hedge their investments in onshore RMB.

This short article first looks at the size of the global institutional investors, who are searching for yields around the globe and the availability of debt securities. Secondly, what does the recent decision by SAFE mean for these global investors and thirdly what are the risks involved.

1. Size of Institutional Investors and China Interbank Bond Market

The OECD has been collecting data on institutional investors in member countries for many years. It is only recently that this exercise has been fully appreciated as the total funds available to these institutional investors in 2014 were close to USD 100tr, compared with USD 12 tr in official foreign exchange reserves and a global GDP of USD 70bn.

Even a small shift in these funds causes major forex and asset market reverberations. Most of these funds are constrained by strict investment guidelines which allow them to move only marginally.

As shown in figure 1, investments funds, insurance companies and pension funds make up the lion share of the total, some 75% of the total in 2011. They invested mainly in eligible publicly quoted equities and debt securities. The investment and holding periods of different institutional investors vary at any point of time and over time. Investment Funds and Pension Funds allocate a larger share into equity whereas insurance companies have a preference for debt securities.

For comparison, the size of global debt markets in mid-2016 is USD 93 tr, mainly made up USD 72tr of domestic bonds and USD 21 tr of international bonds. The China onshore interbank bond markets amounted to RMB 56.3 tr or USD 8 tr, third in size after the USA and Japan (see table below).

Of this total only RMB 852.6 bn or 1.5% of the onshore interbank bond market are held by overseas investors. This share is much smaller than 9% of Japanese securities and 38% of US issued securities.There is a huge potential from both sides, supply and demand to increase the share of foreign holdings in China’s interbank bond market.

A boost of capital inflows is welcome at present when Chinese authorities are struggling to stem capital outflows.

1.   Recent SAFE decision on hedging in the interbank bond market

The recent decision to allow foreigners buying onshore bonds in China to hedge their currency risk is a major step forward toattracting international investment in its booming debt markets. These hedging transactions can be concluded with Chinese residents (banks foremost) and include forward contracts, swaps and options.

These measures are targeted at non-central banks, foreign institutional investors, including pension funds, charities and other investors who invest in China’s bond market through the Qualified Institutional Investor (QFII) programme. Foreign investors must trade the derivatives through a qualified onshore financial institution and conduct such trading based on ‘real needs’ for risk hedging. This requires verification to avoid speculative hedging.

Until now many foreign investors have been using derivatives available in the RMB offshore market, which is a costly and time consuming practice. In future China might be easing administrative measures, such as favourable tax policies, extended trading hours and shorter settlement periods. This will prove a challenge for the China International Payment System which will have to include settlement of bonds and derivatives with a central securities depository (CSD) set up.

2.     Risks for foreign investors

Foreigners can now hedge their foreign exchange risk at a cost, bearing in mind the widely expected depreciation of RMB. Furthermore foreign investors still carry the interest risk, which in an environment of expected globally rising interest rates from which China cannot exclude itself, is not negligible. This step is also important as in most advanced bond markets the interest rate swap serves as a benchmark.

“Much remains to do with designing and operating a Chinese Government Bond market that will provide an efficient yield curve to find out the optimal interest rates from one year to fifty years”. At present this is a captive market as Chinese banks hold the bulk of CGBs. Furthermore, the absence of institutional investors diminishes the urgency to create a yield curve and for the PBOC to use this as basis for its operations.

Recent improvement in monetary operating procedures by introducing an interest corridor should facilitate the use of interest rate derivatives. The PBOC should be the leading institution to shape an ‘optimal’ structure for the CGBs yield curve. “In order to fulfill this societal responsibility, PBOC should design, develop and operate an effective and efficient monetary policy to manage RMB as an international currency”.

It therefore remains to be seen how much these measures help to attract foreign capital at a time when China is facing massive capital outflows. Selling more domestic debt securities to foreigners is a double edged sword, the inflows are welcome but reversals can cause stress for monetary policy. Enforcing strict capital controls is a return to administrative measures which is a temporary setback for the internationalisation of RMB. The outside world expected more market determined exchange rates and interest rates.

Herbert Poenisch is member of IMI Academic Committee.

观点整理  张晨希

图文编辑  张晨希

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