中國十年期國債期貨爲何跌停

As recently as October, investors could be forgiven for believing that China’s bull market in bonds had further to run.

就在10月份的時候，如果投資者相信中國債券牛市還會持續一段時間，還是情有可原的事。

With economic growth slowing and wholesale prices mired in deflation, the People’s Bank of China flooded the banking system with cash, keeping money-market interest rates at rock bottom levels.

考慮到經濟增長放緩、商品批發價深陷通縮，中國央行(PBoC)向銀行體系注入了大量現金，將貨幣市場的利率保持在最低水平。

Investors were confident the central bank would have little choice but to continue easing,

投資者自信地以爲，央行除了繼續推行貨幣寬鬆以外別無選擇。

both to keep growth humming and to prevent a rise in debt servicing costs on China’s growing pile of corporate debt.

這一方面是爲了保持增長，另一方面則是爲了防止中國日益升高的公司債務償債成本升高。

Now there are signs that the bond market faces a big test after the 10-year government yield soared to an 18-month high of 3.33 per cent late last week.

在上週末十年期國債收益率飆升至3.33%的18個月內高點之後，如今有跡象表明，債市正面臨巨大考驗。

Trading in 10-year government bond futures was briefly suspended after they fell by the maximum 2 per cent daily limit — the first such suspension since futures relaunched in 2013.

十年期國債期貨因跌幅達到2%的每日最大跌幅而曾短暫中止交易——這是2013年國債期貨重新上市以來首次跌停。

The immediate trigger for the market disquiet was an indication from the US Federal Reserve that it might tighten Policy faster next year than previously expected.

直接引發這輪市場動盪的導火索，是有跡象表明美聯儲(Fed)明年可能會比預期更快地收緊貨幣政策。

A rate rise last week from the US central bank, and signal of more to come, places China in a bind by adding to capital outflow pressure that is weighing on the renminbi exchange rate.

美聯儲上週的加息舉措，以及還會進行更多加息的信號，讓已然因資金外流面臨壓力的人民幣匯率進一步承壓，從而令中國陷入了困境。

But the Fed’s action was only a proximate cause.

不過，美聯儲的舉措只是一個直接原因。

Even before last week investors were facing a series of challenges, led by an improved macro outlook, capital outflows and a PBoC move to contain a bond bubble.

即使在上週以前，投資者也面臨着一系列挑戰，主要有：宏觀前景的改善、資金外流和中國央行限制債市泡沫的舉措。

With cheap cash sloshing through the system and attractive investments in the real economy remaining scarce, investors ploughed money into bonds.

考慮到金融體系中流動着大量廉價現金、實體經濟中卻依然缺乏有吸引力的投資，投資者將資金大舉投入了債券。

China’s 10-year government bond yield fell from 4.6 per cent in January 2014 to 2.65 per cent by late October.

中國十年期國債收益率從2014年1月的4.6%，跌至今年10月底的2.65%。

It’s a typical carry trade — borrow overnight and buy longer-dated bonds.

法國巴黎銀行(BNP Paribas)駐上海的單坤錶示：這是典型的套利交易——利用隔夜債券借入資金，購買期限更長的債券。

But the requirement for this trade is stable and low money-market rates.

不過，這種交易需要穩定和處於低位的貨幣市場利率。

That’s what makes financial institutions feel comfortable adding more leverage, says Shan Kun at BNP Paribas in Shanghai.

正是這種局面讓金融機構敢於加大槓桿。

If this leverage continues, it means any volatility in monetary policy will create huge reverberations in the bond market because everyone is trading in the same direction.

這種槓桿如果持續下去，意味着貨幣政策上的任何波動，都會在債市引發巨大反響，因爲所有人的交易方向都是一樣的。

With China’s 10-year government yield still elevated at 3.28 per cent yesterday, the risk of volatility increasing is a clear concern for the market.

考慮到中國十年期國債收益率昨日仍處於3.28%的高位，波動性上升的風險成爲市場明確擔憂的因素。

Concerns over inflation are pressuring bond prices and pushing up yields.

對通脹的擔憂正在壓低債券價格，推升收益率。

The rebound in commodity prices has led to a sudden revival of inflation.

大宗商品價格的反彈，導致了通脹率的突然反彈。

The economy’s producer price index was in negative territory for more than four consecutive years to August.

今年8月，中國生產者出廠價格指數(PPI)已在連續四年多下跌。

By November, PPI had surged to 3.3 per cent, the fastest pace in nearly five years.

而到了11月，PPI卻同比大漲3.3%，爲近五年內的最大漲幅。

I don’t think the PBoC is trying to tighten because of inflation, but that is a concern for markets.

瑞銀(UBS)中國經濟學家汪濤表示：我並不認爲中國央行因爲通脹而正在收緊貨幣政策，不過這卻是市場的顧慮。

It’s a bit like in the US — yields moved up even without the Fed actually raising rates because inflation expectations increased, says Wang Tao, China economist at UBS.

這和美國有點像：由於通脹預期的上升，即使美聯儲實質上沒有加息，收益率也會上升。

In addition, the PBoC has engineered a steady tightening of money market liquidity.

此外，中國央行已策劃了一輪對貨幣市場流動性的穩步收緊。

The overnight bond repurchase rate has averaged 2.26 per cent in December, compared with 2.02 per cent in August.

12月份隔夜債券回購利率平均爲2.26%，相比之下8月份則爲2.02%。

Higher interest rates force bond investors to trim their holdings as the carry trade becomes less attractive.

利率升高令套利交易吸引力下降，從而迫使債券投資者減倉。

Tighter liquidity has been a side effect of the PBoC’s response to capital outflow and the weakening renminbi.

流動性收緊一直是中國央行應對資金外流和人民幣疲軟舉措的副作用。

When the PBoC sells dollars from its reserves to support the exchange rate, the central bank balance sheet shrinks and China’s money supply contracts.

當中國央行拋售其儲備的美元以支撐人民幣匯率時，央行的資產負債表縮水，中國的貨幣供應量也出現收縮。

The PBoC appears to be engaged in a version of Operation Twist — the Fed’s move in 2011 to bring down long-term rates while letting short rates rise.

中國央行似乎進行了某種類似扭曲操作(Operation Twist)的操作——扭曲操作是指2011年美聯儲在壓低長期利率的同時讓短期利率攀升的舉措。

Even as it has pulled back on short-term cash injections, the PBoC provided Rmb394bn in six and 12-month loans to 19 banks through its medium-term lending facility.

即便在中國央行減少短期現金注入的同時，該行還是通過中期放貸機制，向19家銀行提供了3940億元人民幣的半年期和一年期貸款。

Policymakers hope that injecting longer-term cash will help contain lending rates to the real economy while reducing the dangerous maturity mismatch from overnight borrowing used to fund long-dated assets.

政策制定者希望，注入較長期貸款將有助於在壓低對實體經濟的放貸利率的同時，減少由於用隔夜借款爲長期資產提供資金而產生的危險的期限錯配現象。

The PBoC has shown clear intention to deleverage the bond market.

麥格理證券(Macquarie Securities)的胡偉俊(Larry Hu)表示：中國央行展示了明確的債市去槓桿意圖。

But the central bank doesn’t want to see a credit crunch either, according to Larry Hu at Macquarie Securities.

不過該行也同樣不希望看到信貸緊縮。