鉴于中国政府债券市场的规模，我们预计其在花旗全球政府债券指数(Citi World Government Bond index)中的权重将达6.8%。中国政府债券被纳入之后，该指数规模将达到近21.3万亿美元，那么，投资组合若要维持指数权重，将需要大约1.46万亿美元流入中国政府债券市场。
海登布里斯科(Hayden Briscoe)为联博(AllianceBernstein)亚太固定收益主管，Vincent Tsui为联博亚太经济学家。以上观点不构成研究、投资建议或交易推荐，也未必代表联博所有投资组合管理团队的观点。（中国进出口网）
The move to confer reserve status on China’s currency is part of a process that could lead to nearly $3tn being injected into the country’s bond and equity markets. We’ve taken a close look at where the money could come from.
On its own, the inclusion of the renminbi in the International Monetary Fund’s basket of reserve currencies, known as the Special Drawing Right (SDR), could lead to capital flows of $30bn into China within the next 12 months.
These will come from countries that receive IMF funding. IMF programs use SDR as a unit of account, and countries that benefit from these programs need to hedge their liabilities in the underlying SDR currencies. The SDR basket is equivalent to $280bn, and the IMF has announced that the RMB will account for 10.92 per cent of the basket—hence the $30bn.
This is relatively small in the scheme of things, however. The significance of the renminbi’s inclusion in the SDR is that it’s a measure of the progress China has made to date with key reforms, such as the internationalisation of its currency and the liberalisation of its capital account.
Our research shows that a continuation of these reforms will force a rebalancing of global portfolios that could result in inflows to China of nearly $3tn by 2020.
To put these figures in perspective, and to gain a sense of the overall shape of the portfolio rebalancing, we have carried out an analysis of the likely sources of these flows and how they will be distributed across China’s capital markets.
We have analysed expected flows by asset category based on index weightings, types of investors and what we know of investors’ typical asset-allocation patterns.
$2.5tn for China’s Bonds…
Given the size of China’s government bond market, we expect it to account for 6.8 per cent of the Citi World Government Bond Index. The index will be capitalised at around $21.3tn after the bonds’ inclusion, so flows into the sector will need to be about $1.46tn just for portfolios to maintain index weight.
We see this happening in two phases, the first being an incremental increase from central banks which started this July and a bigger step for private investors when the global index is altered.
Of these flows, we expect $783bn from global central banks, based on our assumption that they allocate about 7 per cent of their $11.18tn in foreign exchange reserve assets into renminbi, and that they invest most of it in government bonds.
Another $90bn will come from other public sector investors, such as sovereign wealth funds and public pensions. Their assets under management, excluding foreign exchange reserves, total $18.24tn. There are no detailed breakdowns of portfolio allocations, however, so we assume that these institutions allocate a total 66 per cent to bonds, of which 25 per cent is allocated overseas and 60 per cent is allocated to government bonds. From this, we estimate that 5 per cent, or $90bn, will be allocated to Chinese government bonds. Private sector investors will account for $584bn ($1.46tn minus $783bn minus $90bn).
China’s corporate and quasi-sovereign bond sectors could receive inflows of $1.07tn. We estimate this on the fact that municipalities, policy banks and corporate bonds currently have about $5.4tn on issue, and on the assumption that overseas investors in these sectors will hold 20 per cent (which is similar to foreign investor holdings in comparable markets elsewhere).
In total, China’s government and corporate bond markets will soak up inflows of $2.53tn ($1.46tn plus $1.07tn).
…and $384bn for Equities
Our research suggests that foreign capital inflows into China’s equity markets will total $384bn in 2016. This figure is based on a statement by index provider MSCI that China A shares will account for 10.2 per cent of the MSCI Emerging Market Index and on our estimate that the index will be capitalized at $3.76tn when China is included.
Of this $384bn, $43bn will come from sovereign wealth funds and public pensions. We arrived at this figure by assuming that these investors allocate 22 per cent of their $18.24tn assets to equities and, of this, 10.6 per cent to emerging markets and then 10.2 per cent of that amount to China A shares. The balance of the $341bn ($384bn minus $43bn) will be held by private investors.
In light of these estimates, we believe that investors should maintain a balanced view of the risks and opportunities in China, weighing the country’s slowing economic growth against the long-term benefits—such as these inflows—which are likely to result from the government’s reforms.
Hayden Briscoe is director, Asia Pacific Fixed Income, and Vincent Tsui is Economist—Asia Pacific, at AllianceBernstein. The views expressed herein do not constitute research, investment advice or trade recommendations and do not necessarily represent the views of all AB portfolio-management teams.