對衝基金唱空人民幣露出破綻

A high-stakes battle between China’s central bank and speculators taking aim at the renminbi escalated last week with US hedge fund manager Kyle Bass’s starkly worded letter to investors predicting a Chinese debt and currency crisis.

中國央行與意圖狙擊人民幣的投機者展開的干係重大的戰鬥在上週進一步升級，原因是美國對衝基金經理凱爾巴斯(Kyle Bass)向投資者發出了一封措辭尖銳的信，預言中國將遭遇債務和貨幣危機。

Zhou Xiaochuan, People’s Bank of China governor, broke Months of silence at the weekend with comments playing down the decline of China’s foreign exchange reserves to a more than three-year low and stressing that Beijing was not seeking to devalue its currency. This came a few weeks after state media warned George Soros against “declaring war” on the renminbi.

而就在上週末，中國央行行長周小川打破了數月來的沉默，發表言論淡化中國外匯儲備規模降至逾三年低點的影響，並強調中國無意讓人民幣貶值。幾周前，中國官方媒體還警告喬治∠坽斯(George Soros)，對人民幣“宣戰”要小心後果。

The war of words is likely to have real-world consequences: Chinese authorities are well aware that perception often equals reality in financial markets, as bearish sentiment becomes self-fulfilling when investors flee en masse.

這場口水戰可能會產生現實影響：中國當局很清楚，在金融市場中，看法往往會變成現實，因爲投資者一旦大規模逃離，看空情緒就會進入自我應驗的狀態。

Mr Bass’s letter found a receptive audience because it played into two popular themes: alarm at capital flight and scepticism over Chinese statistics, which many people presume to be fabricated.

巴斯信中的觀點很容易被人接受，原因是它迎合了兩個流行主題：對資本外逃的擔憂和對中國統計數字的懷疑——許多人認爲中國的數據是編造的。

There is just one problem: one of Mr Bass’s key claims about China’s foreign exchange reserves data — and thus the central bank’s ability to defend the exchange rate against further depreciation — does not hold up to scrutiny.

只有一個問題：巴斯關於中國外匯儲備數據——也就是中國央行防止人民幣進一步貶值的能力——的一個重要論點經不住推敲。

At $3.2tn, China’s stated forex reserves remain the world’s largest. Economists broadly agree China requires about $2tn to meet the International Monetary Fund’s standard for reserve adequacy, based on what a country needs to pay for imports and meet foreign debt obligations.

中國公開宣稱的3.2萬億美元外匯儲備規模依然是全球最大的。經濟學家普遍認爲，中國需要大約2萬億美元，才能滿足國際貨幣基金組織(IMF)有關外匯儲備充足率的標準。這一標準是根據一國用來支付進口和償付外債所需的外匯儲備計算的。

But Mr Bass says China’s true reserves are more than $1tn below the headline total once necessary “adjustments” to official data are made. With less forex ammunition on hand than widely believed, the argument goes, the People’s Bank of China will be forced to scale back its defence of the currency.

然而，巴斯卻表示，一旦對官方數據進行必要的“調整”，中國實際的外匯儲備比對外公佈的數字至少低1萬億美元。因此他認爲，由於手頭的外匯彈藥少於人們普遍認爲的數目，中國央行將不得不降低對人民幣匯率的保衛力度。

Hayman has wagered billions that the renminbi and other Asian currencies will depreciate, joining hedge funds such as David Einhorn’s Greenlight Capital and London-based Omni Partners.

海曼資本(Hayman Capital)已斥資數十億美元押注人民幣和其他亞洲貨幣將會貶值，與其他一些對衝基金站到了一條線上，如戴維縠因霍恩(David Einhorn)的綠光資本(Greenlight Capital)以及總部在倫敦的Omni Partners。

The biggest “adjustment” Mr Bass makes is $700bn in reserves he says is tied up in the sovereign wealth fund, China Investment Corp. Launched in 2007, CIC’s mission was to raise returns on China’s foreign wealth, which was invested in US Treasuries and other low-yielding assets. By definition these assets are less liquid and not intended to be deployed in currency markets.

巴斯所做的最大一項“調整”，是他認爲掌握在主權財富基金中投公司(China Investment Corp)手中的7000億美元外匯儲備。中投公司成立於2007年，任務是提高中國外匯財富的回報，這些外匯財富被投資於美國國債和其他低收益資產。按照定義，這些資產的流動性較差，中國無意將它們配置到外匯市場。

However, China economists say CIC’s assets are not included in the main forex reserves data that investors watch closely. When CIC was set up in 2007, China’s Ministry of Finance issued special bonds to the PBoC in exchange for a tranche of $200bn in foreign-exchange assets. The bonds filled the hole in the PBoC’s balance sheet that would have resulted from a simple transfer of assets. As domestic renminbi bonds, they are not classified among China’s forex reserves.

然而，中國的經濟學家表示，中投公司的資產並沒有被包括在投資者密切關注的主要外匯儲備數據中。2007年中投公司成立時，中國財政部向中國央行發行了特殊債券，換取了2000億美元外匯資產。若是簡單的資產轉移，就會在央行的資產負債表上留下一個空洞，而這些債券就填補了這個空洞。因爲是國內人民幣債券，這些債券不會被劃歸在外匯儲備之中。

“This is pretty clear based on public disclosure and information,” said Tao Wang, China economist at UBS — although she acknowledged that “nothing is 100 per cent”.

“根據公開披露和相關信息，這件事相當清楚，”瑞銀(UBS)中國經濟學家汪濤表示，但她也承認“沒有什麼是百分之百確定的”。

Eswar Prasad, former head of the IMF’s China division, agrees that CIC assets are not counted.

IMF中國部前負責人埃斯瓦爾渠拉薩德(Eswar Prasad)認同中投公司的資產未被計入外匯儲備的觀點。

“If FX reserves were being used directly [in CIC], it’s not clear why MoF would have to issue bonds,” he said.

“如果外匯儲備被直接使用（投入中投公司），就不清楚財政部爲什麼要發行債券了，”他說。

Classifying CIC assets as official reserves would also amount to a clear violation of IMF rules, which China agreed last year, for how reserves must be defined and reported. The IMF says only funds that are “readily available to the monetary authorities” may be counted as reserves. As a subsidiary of the finance ministry, CIC fails that test.

將中投公司的資產劃歸爲官方儲備也會明顯違反IMF的規則。去年中國已同意了IMF有關外匯儲備定義和報告的規則。IMF表示，只有“貨幣當局可輕易獲得”的資金才能被計入儲備。作爲財政部下屬的一家機構，中投公司不符合這一標準。

“If the assets are not on the PBoC’s balance sheet, then in principle FX holdings cannot be counted as part of reserves,” said Mr Prasad.

“如果這些資產不在中國央行資產負債表上，那麼原則上，這些所持的外匯不可以計爲儲備的一部分，”普拉薩德表示。

Jianguang Shen, chief economist at Mizuho Securities Asia, says he has verified with the State Administration of Foreign Exchange, a unit of China’s central bank, that CIC assets are not included in their reserves. Safe did not respond to request for comment.

瑞穗證券(Mizuho Securities)亞洲首席經濟學家沈建光表示，他已向中國央行下屬的國家外匯管理局查證過，中投公司的資產不計入外管局的外匯儲備中。外管局沒有迴應記者的置評請求。

“I think [Mr Bass’s] report is mistaken,” said Mr Shen, who previously worked at the IMF and European Central Bank.

“我認爲（巴斯的）報告弄錯了，”此前曾在IMF和歐洲央行(ECB)工作過的沈建光表示。

Mr Shen also notes that in 2007, Safe was happy to relinquish forex assets, as “twin surpluses” on both the current and financial accounts were flooding the central bank with more foreign assets than they could effectively manage. The US and Europe were also criticising China for fuelling global financial imbalances.

沈建光還指出，2007年時，外管局很樂意拿出外匯資產，因爲經常賬戶和金融賬戶的“雙順差”使大量外匯資產涌入了央行，超出了央行能夠有效管理的規模。另外，當時美國和歐洲也批評中國爲全球金融不平衡推波助瀾。

“At that time, Chinese authorities were actually embarrassed that reserves were rising all the time. They took a lot of blame for having too much reserves,” said Mr Shen.

“當時，中國當局對儲備一直增加其實備感尷尬。他們爲擁有太多儲備承受了很多責難，”沈建光說。

Transfers of forex wealth from the PBoC to CIC after 2007 were not publicly disclosed but were probably handled similarly and in any case never matched the size of the initial tranche. Ms Wang estimates them at less than $100bn.

2007年以後，中國央行又幾度將外匯財富轉移給中投公司，沒有公開披露，但很可能也是通過類似操作完成的，但無論如何，這些轉移在數額上也無法與最初的那次相提並論。汪濤估計這些轉移的總規模不到1000億美元。

Mr Bass does not explain his $700bn figure but he may be extrapolating large undisclosed transfers based on the rapid growth of CIC’s total assets. Yet Ms Wang notes that such an estimate probably fails to account for the large capital appreciation of CIC’s portfolio, notably from its shares in state-owned banks, which have seen their market capitalisation grow enormously since 2007.

巴斯沒有對他所說的7000億美元數據做出詳細解釋，但他可能是根據中投公司總資產的快速增長，推斷出發生過大額非公開轉移的。然而，汪濤指出，這種估測很可能沒把中投公司資產組合的大幅資本增值計算在內，尤其是中投公司所持有的國有銀行股，這些股票自2007年以後市值大幅增長。

Hayman Capital did not respond to a request for comment.

海曼資本沒有迴應置評請求。

“The idea that the People’s Bank (of China) is running out of FX reserves doesn’t stand up to scrutiny,” Mark Williams, China economist at Capital Economics, wrote in a note on Monday. “But the fact that many take it seriously is a sign of how far sentiment has swung against China.”

“中國央行正逐漸耗盡外匯儲備的觀點經不起仔細推敲，”凱投宏觀(Capital Economics)中國經濟學家馬克威廉姆斯(Mark Williams)週一在一份報告中寫道，“但是，許多人都當真了，這表明看淡中國的情緒已變得多麼強烈。”