【报告摘要】香港交易所五年期中国财政部国债期货—全球首只可供离岸投资者交

编者语：

香港交易所首席中国经济学家办公室于2017年4月10日发布“香港交易所五年期中国财政部国债期货——全球首只可供离岸投资者交易的人民币债券衍生产品”专题报告，报告英文标题为“HKEX'S FIVE-YEAR CHINA MINISTRY OF FINANCE TREASURY BOND FUTURES——THE WORLD'S FIRST RMB BOND DERIVA”。报告审查了目前中国国内债券市场的开放程度和外国投资者的参与情况，并揭示了全球投资者对中国主权债券需求激增的状况。在此基础上分析了离岸市场在风险对冲和支持中国国内债券市场的进一步发展方面所具备的优势。最后得出结论：香港交易所的5年期国债期货合约是一个有效率、透明和易于使用的工具，可以帮助投资者应对中国利率风险敞口。下文系该报告的中英文摘要，敬请阅读。

文/香港证券交易所首席中国经济学家办公室、定息及产品发展 摘要

经过数年迅速增长，中国债市已成为全球第三大债券市场，存量规模达人民币56.3万亿元（约8.1万亿美元）。与此同时，中国也在努力推动人民币国际化和内地金融市场开放。其中一个主要方向是鼓励外资参与境内债市，推广债券市场的多元化及多样性，进一步扩展境内金融市场的规模及深度。

目前尽管外资参与中国债市比例仍较低，境外资金已显示出对中国主权债券的强烈兴趣，并在人民币获纳入国际货币基金组织的特别提款权货币篮子后快速增长。2016年，境外参与者所持的人民币国债及政策性银行债券增加了2330亿元人民币，较2015年350亿元飙升六倍。外资在中国主权债券市场上的占比由2015年底的2.62%增至3.93%。如果在不久将来内中国内地与香港推行“债券通”，外资投资中国债券比例将继续上升，并将推动风险管理需求增长。

发展有效的风险管理工具和外汇交易服务对境外投资者增持人民币资产至关重要。如市场推出流通性好的债券期货产品，可有助于中国境外投资者提高对冲利率风险的能力，增强他们增持中国债券资产的意愿。目前，境内市场现有的利率风险管理产品已为人民币利率风险对冲提供了支撑手段，近期随着境内外汇市场进一步开放，一些合格境外投资者也可直接使用境内的衍生品。然而迄今为止，境内的国债期货产品还未对境外机构完全放开用以风险对冲，并且由于缺乏境内的保险公司和银行等主要参与者，境内的国债期货的流动性有限。在离岸市场上，在离岸国债期货发行之前也缺乏有效的中长期人民币利率风险的对冲工具。香港交易所正是在此背景下推出五年期国债期货产品。

根据发达国家经验，引进国债期货在提高债券市场定价功能，促进现货市场流动性，丰富债券投资者利率风险管理手段等方面将起到重要作用。大多数实证研究发现，引入国债期货对现货市场也不会有显著影响或导致波动性下降。

香港交易所的国债期货合约利用离岸市场的产品优势为境外投资者提供差异化服务，并在产品设计中加入多项特性，以令该产品交易不太可能对在岸市场产生不利影响。

(1)香港交易所的国债期货合约是以离岸市场人民币进行现金差额结算。合约到期后，以交易结算为目的的交易量在离岸市场进行，仅占全部合同名义金额的一小部分。因此，与实物交割的期货合约相比，该结算过程对流动性的影响要小得多。

(2)香港交易所的国债期货合约以债券篮中三个成份债券的平均收益率定价。以最终结算价格的设计降低了对任何单个债券的操纵风险。

(3)由于香港交易所的国债期货合约价格在最后交易日必须和最终结算价一致，因此，它与在岸标的债券之间出现较大价格偏差将导致成本高昂。根据历史资料进行回溯测试和类比分析，香港交易所国债期货合约模拟国债篮子的平均收益率与境内五年期国债收益率（2011年至2016年）的相关系数为98.3％，每日参考结算价和境内五年期国债期货价格（2013年9月至2016年12月）的相关系数为92.1％），是高度相关的。因此，想透过持有一定规模的离岸国债期货合约来影响在岸市场的稳定性，在实践中是非常困难的；

(4) 香港交易所的国债期货合约在一个规范、集中和透明的交易平台上进行交易，从而提高市场透明度，并向市场参与者提供价格预期和未平仓合约的实用信息。

(5) 香港交易所在其交易及结算规则及有关证券及证监会规例中加入若干措施，对于持仓限额和错价交易价格参数有明确的规定，可用来阻止国债期货合约大量未平仓头寸的积累，从而尽可能减少市场上不必要的波动。

香港交易所的国债期货作为离岸市场的首只国债期货产品，为境外投资者提供对冲人民币资产利率波动的有效工具，也是推动境外资本流入中国境内债券市场的重要步骤。银行、资产管理公司、经纪公司和保险公司将是本产品的主要目标使用者。

SUMMARY

China’s debt capital market has now become the third largest in the world at RMB56.3 trillion, or about US$8.1 trillion, after the rapid expansion over years. Meanwhile, China also made significant strides to advance RMB internationalisation and the openness of the domestic financial market. One major direction is to invite more foreign participation to tap into the domestic bond market in order to boost the diversity and variety of the bond sector and further increase the scale and depth of the domestic financial market.

Although the current share of foreign holdings of Chinese bonds is still at a low level, foreign capital shows a strong appetite for Chinese sovereign bonds, and foreign holdings in the sovereign bond segment has significantly increased after the inclusion of RMB into the International Monetary Fund’s Special Drawing Right basket. In 2016, the foreign holdings of Chinese government and policy-bank bonds increased by RMB233 billion, a six-fold rise compared with RMB35 billion in 2015. The foreign ownership in China’s sovereign bond market rose to 3.93% from 2.62% at end-2015. If China implements the pilot bond connect scheme between Hong Kong and the Mainland in the near future, the increased foreign investment in Chinese bonds would result in a surging demand for related risk management.

Developing effective hedging support and providing foreign exchange access are important for foreign investors to increase their exposure to RMB assets. The availability of bond futures with better liquidity can help foreign investors improve their ability to hedge against interest rate risks in RMB, and increase their willingness to hold a larger portion of Chinese bond assets. To date, there are a number of interest rate risk management products in the onshore market, which provides supportive tools to hedge RMB interest rate risk. Along with further opening up of the domestic foreign exchange market to foreign investors recently, some eligible foreign investors can directly access mainland derivatives. However, non-eligible foreign institutions are not yet allowed to access the domestic treasury bond futures for risk hedging to date, and the liquidity of the domestic treasury bond futures is limited due to the absence of major participants, such as domestic insurance companies and banks. The offshore market also lacks efficient RMB rates hedging tools for mid- to long-term yield curve before the launch of offshore treasury bond futures. It is on this backdrop that HKEX’s 5-Year China Ministry of Finance Treasury Bond Futures (T-Bond Futures) is designed and introduced.

Based on the experience of developed countries, the introduction of treasury bond futures plays an important role in improving the pricing function of the underlying bond market, promoting the liquidity of spot market and enriching the means of interest rate risk management of bond investors. A majority of empirical studies finds either no significant effect, or else a decrease in volatility, of the spot market following the introduction of treasury bond futures. HKEX’s T-Bond Futures utilises the product strength of offshore market to provide differentiation to foreign investors and is carefully designed with a few distinguishing features to ensure that the trading of this product would unlikely have an adverse impact on the onshore market.

(1) HKEX’s T-Bond Futures contract is cash settled for difference in RMB cash in the offshore market. At each futures contract expiry, the amount of transactions to be exchanged for settlement purpose happens in the offshore market, and only represents a fraction of the full contract notional amount. The impact of settlement process on liquidity is therefore considerably less compared to a physically-delivered futures contract.

(2) HKEX’s T-Bond Futures contract is settled to the price based on the average yield of three constituent bonds in the bond basket. This final settlement price design reduces the risk of manipulation on any individual underlying bond.

(3) As the HKEX’s T-Bond Futures contract will converge to the final settlement price at expiry, any significant price deviation between HKEX’s T-Bond Futures and the similar onshore product would be costly. Based on the pro-forma analysis, the average yield of HKEX’s T-Bond Futures contract dummy bond basket has a high correlation with the onshore 5-year treasury bond yield (98.3% from 2011 to 2016), and the daily reference price of HKEX’s T-Bond futures contract is also highly correlated with CFFEX’s T-bond futures price (92.1% from September 2013 to December 2016). Taking a one-way position in HKEX’s T-Bond Futures contract that is of sufficient magnitude to affect the onshore market stability would be very difficult, if not impossible, in practice.

(4) HKEX’s T-Bond Futures contract is traded in a regulated, centralised and transparent exchange platform, which improves the market transparency and offers useful information to participants on price expectations and open interest levels.

(5) There are several measures in HKEX’s trading and clearing rules and in relevant Securities and Futures Commission regulations, such as position limits and error trade parameters, which can be used to deter the accumulation of large open positions of the T-Bond Futures contract, and thus may minimise the risk of unwanted volatility in the market.

Being first of its kind in the offshore market, HKEX’s T-Bond Futures provide a solid tool to help foreign investors to hedge against interest rate volatility of RMB assets, and could be regarded as a quickening step to facilitate foreign capital flows into China’s domestic bond market. Banks, asset management companies, brokerage firms and insurance companies are the main target users of this product.

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本篇编辑：薛瑶

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