基本结论：

1、市场关心未来可能的去杠杆政策的可能范围。中国4月份货币状况更加趋紧。目前的货币状况回到2015年状况。

2、金融去杠杆会影响货币状况，而最终会影响经济...

3...通过高利率和低货币供应

The broader recovery in the Chinese economy this year has given policymakers a much-needed window of opportunity to rein in the expansion of the so-called ‘shadow banking’ system.

Financial deleveraging in order to ensure systematic stability is now on the agenda for multiple regulators. On the monetary front, the People’s Bank of China (PBoC) has kept interbank liquidity in a relatively tight balance since late 2016 and raised the interest rates on a range of monetary policy instruments. Since then, market rates have moved even higher.

Beyond the central bank’s liquidity management, regulatory tightening aimed at curbing offbalance sheet lending is also intensifying. In the first quarter of this year, the PBoC included offbalance- sheet wealth management products in its measurement of broad credit growth for the first time, as part of its Macro Prudent Assessment (MPA) to assess risk. There are further hints that interbank CD issuance may be included at a future date.

Additionally, various regulators have issued a series of administrative guidelines pointing to more stringent rules on off-balance sheet credit creation. The CBRC has issued a slew of new guidelines that require banks to undergo ‘self-checks’ on various regulatory arbitrage activity related to wealth management products and inter-bank lending. The CSRC has tightened rules related to ‘channel businesses, IPO information disclosure, market manipulation, merger and acquisitions approvals, shareholder selling etc. The CIRC has issued new rules aimed at reining in structured products, ‘drawer agreements’, fake registered capital and other illegal as well as
irregular activity.

Amidst this so-called ‘regulatory storm’, the market has been caught off-guard by the potential scale and intensity of the new waves of regulations. So what areas of the financial system are regulators looking at and what are the issues of concern? Table 1 is we believe the most comprehensive sets of statistics on the non-bank financial system, which have grown quickly since 2012 as the result of interest rate liberalisation and the regulatory vacuum in the existing‘separate supervision’ structure.

In particular, the amount of wealth management products that banks are involved with, as part of their so-called ‘channel business’ has raised concerns that, as regulators move to raise short-term rates and tighten rules, there will be implications for the real economy. So far there is no official definition of ‘channel business’, which can be loosely interpreted as all funds that banks have played a role in raising and helped outsource to the non-bank financial institutions to manage; or more narrowly defined as banks’ investment in non-standard loans (excluding financial investments). As the regulators continue to collect more information, they will likely be able to better clarify and narrow the focus of their policies. Below, we provide a quick overview of the bank wealth management industries.

Chart 1 shows the stock of wealth management products issued by banks as of end 2016. Chart 2 looks at the breakdown by the source of funding, such as retail, institutional, private bank and

interbank. Chart 3 looks at the issuance by type of bank. Within this, the CBRC has expressed concerns over several irregularities. But in particular, it has highlighted inter-bank CD issuance as a source of funding for wealth management products. As of end April, the stock of CD issuance is close to RMB8trn, of which nearly all could have gone into wealth management products (Chart 4).

As mentioned previously, the exact scope of the new regulations has not yet been clearly determined by the relevant regulators. As these change, and as regulators calibrate and
co-ordinate their policies, the potential impact could change. But how can we monitor the impact? We think a good starting point is to look at how financial deleveraging could affect
monetary conditions. Monetary conditions, in turn, could impact the real economy although the impact on sectors and activity could vary significantly.
The first angle is to look at the transmission of short-term interest rates to long-term rates and lending rates. Charts 5 and Chart 6 show that along with the rise in interbank rates, bond yields and the average lending rate have also been trending higher. To statistically determine the direction of the relationship between short-term rates and long-term rate movements, we ran pairwise granger causality tests between the average lending rate/bond yields with the SHIBOR 7-day rate and the interbank 7-day rate with a 1-year lag. The impact of changes in the 7-day SHIBOR and interbank rate was statistically significant in the case of the average lending rate. Meanwhile, the results are only conclusive across some tenors of bond yields. But on the whole, the test results suggest sufficient causal effect of short-term rate changes on longer-term rate movements to justify sensitivity results.

To further quantify the impact of this relationship, we ran regressions of Chinese government bond yields of varying tenors with interbank rates. We also tested the relationship between the average lending rate with interbank rates. In Table 2 we present the findings of the regression. The results show that a 1ppt rise in the interbank 7-day rate translates into a 0.43-0.52ppt increase across CGB bonds of various tenors. The sensitivity of average lending rates to the interbank rate appears higher, with a 1ppt rise in the interbank rate warranting a 0.89ppt rise in the average lending rate.

Why has interest rate transmission increased so notably over the past decade? Partly, this is because of interest rate liberalisation policies pursued by the PBoC, which have made interest rates less administrative and more flexible (although the benchmark policy rates are still important in terms of referring value). The marked increase in sensitivity of short-term interest rates to bond yields reflects the growth of the bond market which encouraged the building out of the yield curve. It may also reflect increasing financial investment, or even a high amount of leverage. To this extent, the marked increase in the strength of the transmission after 2015 may reflect the popularity of leveraged trades in the bond market by asset managers.

And what does this mean for the economy? Well, not all interest rates matter equally for monetary conditions, which ultimately tries to measure the ease of funding for the real economy.
From this perspective, the higher bond yield may matter less than the lending rates, as economic agents that are able to tap the bond markets are generally governments and stateowned enterprises, which are by nature less sensitive to interest rates. Meanwhile, lending rates matter more equally to the entire economy, although even here one might make the argument that the SOEs which make up most of the borrowing, are not very sensitive to lending rates.

The second angle through which to monitor the impact of ‘financial deleveraging’ policies is to look at the impact on banks’ balance sheet. The balance sheet adjustment of the banking sector can, in turn, have an impact on broad money growth and impact monetary conditions for the real economy. In Chart 7, we start by looking at the relationship between broad money growth and banking sector use of funds. The two track each other quite closely, although in recent years the divergence has increased. From a balance sheet perspective, we believe the divergence is due to the rapid rise in inter-bank exposure (or a bank’s exposure to the non-bank financial institutions). As a result, not every adjustment in a bank’s balance sheet will lead to an adjustment in its exposure to the real economy.

In Chart 8, we show the breakdown of the banking sector’s main types of fund use. The majority is being lent out as loans, but the segments which have grown more quickly over the past years have been portfolio and equity investment. We believe that the former likely contained banks’ own fixed
income investment, but also receivables which are essentially inter-bank assets. Therefore the growth rate in this segment will likely decrease. Meanwhile, banks’ equity investments likely include their investment in other wealth management products, trust products, and should also see slower growth rates in response to tighter regulations.

The ‘regulatory storm’ this year, led by multiple regulators, has caught the financial market off-guard. Regulators have issued a slew of new guidance for banks and non-bank financial institutions, amid tighter inter-bank liquidity as well as a new Macro-Prudential Assessment (MPA) framework. So far, the exact scope of upcoming regulations has not been determined.

Indeed, regulators are still in a ‘fact-finding’ period where they aim to get a fuller picture of the financial system. Recent communication from the central bank and regulators indicates that during and after this ‘fact-finding’ period, policy makers will issue more clarifications to narrow the scope of regulations.

To monitor the situation on an ongoing basis, we look at the impact of financial deleveraging from two angles. One angle is via the transmission process from short-term interest rates to long-term interest rates, the other angle is through banks’ balance sheet adjustment and the impact on broad money growth. From both angles, there appears to be some impact on the economy. However the exact impact will depend on how long the period of liquidity tightness lasts and also how banks will react to new regulatory language and new policies in the coming months.
Compared with previous years, the growth backdrop now looks healthier, as the economy has  out of deflation and private sector business is bottoming. The recovery of the private
sector is less-intensive and therefore stands a higher chance of being more sustainable.

Moreover, the fiscal policy stance is also more expansionary while global demand has slowly improved. From this perspective, we see more legs to the current recovery as well.

Nonetheless, policy makers will need to play a delicate balancing game. Finally, while tighter regulations look like the trend, we believe that there is likely to be better policy co-ordination and calibration over coming months.