人民日报猛批唱空中国论 大行情将出

查看评论手机免费访问www.cnfol.com2013年04月29日 08:29 中金在线/财经编辑部　

　　导读：

　　外资第二轮唱空大幕拉开 市场恐慌情绪加剧

　　人民日报刊文猛批唱空中国论 债务问题被夸大了

　　人民日报：热钱打压做空市场抄底 较大行情将出

　　新华社:唱空中国经济只是狼来了故事续集

　　林毅夫：中国仍需依靠投资 转投消费将陷入危机

　　外资第二轮唱空大幕拉开 市场恐慌情绪加剧

　　本周，A股市场的过山车行情，让投资者直呼看不懂。不少人将此归咎为境外资金做空A股，然后再伺机抄底。外资机构集中唱空中国经济的背后，究竟是“唱空做空”还是仅仅放了把“烟幕弹”，明处“唱空”，暗地“做多”？

　　外资第二轮“唱空”大幕拉开

　　近几日，多家国际评级机构纷纷发表看空中国的言论。惠誉、穆迪相继下调中国信用评级和展望。与此同时，国际货币基金组织(IMF)也指出，中国地方基础设施项目融资或成为中国财政风险潜在源头。

　　事实上，这一唱空言论并非近期才出现。3月下旬，摩根大通将中国股市的评级降为“减持”，还建议购买做空中国四大银行的金融衍生品。当时野村证券、巴克莱资本也曾发表类似观点。

　　此次第二轮唱空言论与当时观点相似，其背后是对中国经济前景的担忧。

　　结合一季度数据来看，中国经济正显现出弱复苏的迹象，可谓是金融危机以来的最差开局。与此同时，地方债问题可能会拖累中国的资产负债表，使中国经济平衡和增长的进程受阻。

　　汇丰银行最新公布的4月中国制造业PMI初值显示，50.3虽然依然在50点的荣枯分界线之上，但是相较此前3月51.6和2月50.4点却是下降的。

　　汇丰银行大中华区首席经济学家屈宏斌指出，产出及新订单指数均有所回落，新出口订单重回收缩区间并出现7个月低点，显示外需疲弱持续。

　　摩根大通本周更是下调了中国今年经济增长的预期，将全年GDP由过去的8.2%下调至7.8%，预计未来3个季度经济增速将呈现8%、7.9%、7.7%的递减趋势。

　　法兴银行经济学家姚炜也预计，二季度过后，中国经济下滑的可能性较大，2013年全年中国经济增长约为7.6%。

　　市场恐慌情绪加剧

　　外资机构频频唱空中国经济，引发了投资者对于外资做空A股市场的担忧。

　　23日，在整体消息面较为平静的情况下，仅汇丰中国制造业PMI初值低于预期，就引发沪深两市下跌近3%。

　　不仅如此，香港各大指数也出现大跌，尤其是中资银行股价格跌幅明显。港交所披露的信息显示，摩根大通、花旗于4月12日分别减持4236万股和9259万股农业银行H股，17日一美资大型基金又通过场内减持了1亿股农行H股。

　　上述种种迹象似乎表明，外资机构“看空做空”的迹象明显。尤其是作为美国市场上最大的中国交易所交易基金，安硕富时中国25ETF指数基金做空比率超过2007年时的最高水平，令市场恐慌情绪加剧。

　　事实上，资金流失的现象已持续一段时间。国际资金跟踪监测机构EPFR数据显示，中国股票基金已连续八周“失血”，净流出资金达23亿美元。

　　与此同时，海外资金借道香港投资A股的南方A50ETF、华夏沪深300ETF、易方达中证100ETF、嘉实MSCI中国指数ETF4只RQFII－ETF产品，近期不是溢价率收窄就是出现折价。

　　可见，如今的中国资产已不再像从前那样受到海外资金的青睐，这一变化让市场唏嘘不已。

　　摩根大通董事总经理兼中国区全球市场业务主席李晶表示，国际投资者对新兴市场持谨慎态度。全球基金经理把目光主要聚焦于美国和日本，而俄罗斯、巴西、中国等市场的股票欠佳，全球资本流向倾向于欧美。

　　“唱空做空”还是“唱空做多”？

　　从近几年国际资本做空中国的路径图可见，外资直接大规模做空的可操作性并不强，往往瞄准与中国经济密切相关的港股市场，沽空那些受中国经济影响比较大的行业和个股。

　　李晶表示，外国投资者在中国的投资微乎其微，仅占1%－2%左右。中国的股市还是由中国的基金主导。外资机构唱空可以，但是缺乏做空的机制。

　　证监会新闻发言人26日表示，当前中国的资本项目没有完全放开，外资主要是通过战略投资者和QFII等方式投资A股，从目前观察来看，没有大批卖出迹象。且亦没有足够的证据表明，有大量资金通过非常规渠道进出中国市场。

　　从近两日A股和港股的走势来看，已出现分化行情。A股连续下跌，而恒生指数和恒生国企指数却连续反弹。这让市场怀疑外资机构是放出了“烟幕弹”，还是已开始抄底？

　　有市场人士猜测，外资围剿A股市场实为调虎离山之计。从去年民生银行(9.82,-0.11,-1.11%)遭遇的空袭来看，不排除外资机构“唱空做多”的可能性。也有市场人士认为，中国经济的确出现一定问题，但外资机构有夸大的嫌疑。A股出现大跌，更多是因为国内投资者出现恐慌性抛售。

　　种种迹象显示，外资短期唱空A股的力量正在变弱，甚至转为积极。此前看空中国的野村证券和高盛，转变了看法。野村证券中国股票研究主管刘鸣镝指出，以4月初房地产股见底反弹为起点，中国股市正经历一波行业轮动特征的反弹，预计可持续数月。此外，持续的人民币升值和QFII申请数增加，也表明海外资本对中国仍有信心。

Gold Bears Defy Rally as Goldman Closes Short Wager: Commodities

By Tony C. Dreibus - Apr 29, 2013 7:19 AM ET

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Hedge funds accumulated their second-biggest bet against gold on record just as prices rallied the most in 15 months on surging demand for coins and jewelry and Goldman Sachs Group Inc. ended a recommendation to sell.

The funds and other large speculators held 69,726 so-called short contracts on April 23, within 0.6 percent of the all-time high reached six weeks earlier, U.S. Commodity Futures Trading Commission data show. The net-long position dropped 25 percent to 46,168 futures and options. Net-bullish wagers across 18 U.S.-traded raw materials slid 5 percent, the third decline in four weeks, with cuts in silver, corn and gasoline.

Enlarge image

Premiums paid by jewelers in India, the biggest importer, to secure supply surged as much as fivefold in 10 days. Photographer: Dhiraj Singh/Bloomberg

4:35

April 19 (Bloomberg) -- Nigel Moffatt, treasurer at the Perth Mint, talks about the demand outlook for gold. Shoppers in China lined up for gold this week, while in Hong Kong they rushed to buy bracelets and in India sought jewelry for weddings not set until December. The metal’s biggest price drop in three decades provoked the clamor. Moffatt speaks with Zeb Eckert on Bloomberg Television's "First Up." (Source: Bloomberg)

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Bullion rallied 11 percent since reaching a two-year low April 16. The U.S. Mint ran out of its smallest gold coin last week, with sales across its products poised for the best month since December 2009, and the U.K. Mint said purchases tripled. Premiums paid by jewelers in India (XAUINR), the biggest importer, to secure supply surged as much as fivefold in 10 days. Goldman said April 23 it closed a bearish recommendation, while saying further declines are likely.

“It’s bizarre that the price has come back so rapidly,” saidDonald Selkin, who helps manage about $3 billion of assets as the chief market strategist at National Securities Corp. in New York. “After the big decline, demand jumped like crazy. It’s the old rubber-band theory: You stretch too far, and eventually, it snaps back. Banks came in to buy, and there is record demand for coins around the world.”

Gold Rally

Gold futures jumped 4.2 percent to $1,453.60 an ounce on the Comex in New York last week, the most since January 2012. Analysts are the most bullish in a month, with 15 anticipating higher prices this week. Eleven are bearish and three neutral, according to a Bloomberg survey. The contract for June delivery advanced 1.3 percent to $1,472.30 by 7:10 a.m. in New York.

The Standard & Poor’s GSCI Spot Index of 24 commodities climbed 2.4 percent last week and the MSCI All-Country World Index of equities gained 2.3 percent. The dollar slid 0.3 percent against a basket of six currencies, while Treasuries returned 0.2 percent, a Bank of America Corp. index shows.

Bullion tumbled into a bear market April 12 and plunged 9.3 percent in the next session, the biggest drop in 33 years. The retreat underscored how some investors had lost faith in the traditional store of value, even as central banks printed money on an unprecedented scale to boost growth. The slump spurred buyers across the world to increase their physical holdings, and billionaire John Paulson, the biggest investor in the largest exchange-traded product backed by bullion, reiterated his bullish view on prices.

Bullion Association

A surge in demand in Turkey is causing delays in coin deliveries by the Istanbul-based mint, Chief Executive Officer Sadettin Parmaksiz told Haberturk newspaper on April 19. The Perth mint has seen an “enormous number of people” buying gold, with interest from India, Thailandand China, Treasurer Nigel Moffatt said on Bloomberg Television April 19. Jewelers in India are paying premiums of as much as $10 an ounce, from $2 just 10 days earlier, according to the Bombay Bullion Association.

Demand has also come from central banks, owners of about 19 percent of all the metal ever mined. Russia and Kazakhstan boosted official reserves for a sixth month, International Monetary Fund data show. Central banks will buy as much as 550 tons this year after boosting holdings by 534.6 tons last year, the most since 1964, the World Gold Council estimates.

Gold ETPs

Goldman exited its bet on lower prices last week after issuing a sell recommendation April 10. The bank said gold’s decline has been “surprisingly rapid.” Prices may still continue to fall as investors’ conviction in holding the metal wanes, analysts including Samantha Dart and Jeffrey Currie said in the April 23 report.

Holdings in global ETPs (.GLDTONS) slumped 13 percent to 2,283.57 tons this year, the lowest since October 2011. Hedge funds expanded short wagers 17 percent to more than quadruple the average since 2006, when the CFTC data begins.

Prices fell this month as equity markets rallied on improving global growth and weakening expectations for inflation. The Standard & Poor’s 500 Index of equities has more than doubled from its 12-year low in 2009, reaching an all-time high on April 11. Inflation expectations as measured by the break-even rate for five-year Treasury Inflation Protected Securities on April 18 reached the lowest since November.

Net Outflows

“People are finally embracing equities,” said Troy Gayeski, partner and senior portfolio manager at New York-based SkyBridge Capital, which manages $7.4 billion of assets. “Investors woke up and said ‘Why do we own this?’. That’s when the gold selling started.”

Money managers took $2.6 billion from commodity funds in the week ended April 24, according to Cameron Brandt, the director of research for Cambridge, Massachusetts-based EPFR Global, which tracks money flows. Outflows from gold and precious-metals funds totaled $2.15 billion, he said.

Investors cut their silver net-long position by 26 percent to 5,689 contracts, the CFTC data show. Prices in New York jumped 3.4 percent last week, the most since January.

The hedge funds narrowed bets on a decline in copper to a net-short position of 15,727 contracts, from 27,412 a week earlier, the CFTC data show. Bullish oil wagers slid 0.3 percent to 182,408, the third decline. Palladium and platinum holdings also fell for a third week.

Grain Production

A measure of speculative positions across 11 agricultural products gained 1.1 percent to 106,391 contracts, a second consecutive gain. Holdings (.AGLOSH) are rebounding after touching 56,404 on April 9, the lowest in more than six years. The S&P GSCI Agriculture Index of eight components slumped 1.9 percent last week and touched the lowest since June on April 24.

U.S. planting should increase as warm, dry weather firms muddy soils for farm machinery, Global Weather Monitoring said April 26. World grain production will increase 7 percent this season to 1.91 billion metric tons, as wheat output gains 3.8 percent, the London-based International Grains Council said a day earlier. The global corn crop will surge 10 percent.

“Unless we have a really bad summer, it’s tough for me to see a run up in grain prices,” said Rob Haworth, a senior investment strategist in Seattle at U.S. Bank Wealth Management, which oversees about $110 billion of assets. “In gold, we have some anecdotal signs of increased demand in the physical markets from China and India as they tend to bottom fish. We’ve found a temporary pause.”

To contact the reporter on this story: Tony C. Dreibus in Chicago at tdreibus@bloomberg.net

To contact the editor responsible for this story: Steve Stroth at sstroth@bloomberg.net

The Secular Bull Market Continues

Apr 28 2013, 00:52  | 17 comments  |  includes: DIA, IYT, QQQ, SPY

Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours. (More...)

Back in February I mentioned that we're in a secular bull market for a variety of reasons:

*Housing Improvement

*Valuations Still Relatively Cheap

*Potential Rebound in Japan & Europe (latter still pending)

*Excessive negativity

Since that time the market is up about 5% and importantly, we're at all time highs in every major market in the US. In my opinion, the market still has a good deal more upside over the next few years as housing continues to improve and as the more mature overseas economies like Europe and Japan improve. There is still a good deal of skepticism in the markets but people are finally beginning to accept that the S&P isn't going back down to the 600s like so many permabears wanted people to believe.

So far, Q1 2013 earnings reports are showing a 4% increase in earnings for the S&P 500. Earnings are coming in better than forecast as estimates for bottom-line growth were as low as 1.5% on April 1, just 4 weeks ago. So far sixty-nine percent of the companies that have reported have so far beat analysts' earnings targets.

While revenues have been weak with about 50% missing the sales targets, a large chunk of this comes from the energy sector, which has seen a 16.7% decline in revenues due in large part to lower energy prices. Oil prices were on average 10% lower in Q1 2013 than Q1 2012. I would argue that this is a good thing for consumers and companies outside the energy sector. The performance in the iShares Dow Jones Transporation Index (IYT) for one clearly reflects this as companies like United Parcel Service (UPS), Fedex (FDX) (despite its recent fall), and JB Hunt (JBHT) are up 13%, 8%, and 29%, respectively, in the past year. All three of these companies have huge fuel expenses.

Housing Continues to Lead the Way

While home values continue to increase, the volumes were until recently lackluster. This has changed recently, though. Take a look at the chart below of new single family home sales:

(click to enlarge)

The recent uptick looks minimal in the face of the massive downdraft from 2005 to 2010. However, the percentage increases are impressive: the US Department of Commerce reported that March 2013 seasonally adjusted sales of 417,000 single family homes was up 18.5% over March 2012. Inventory at 153,000 units is at a 47 year low. In looking at the chart above, there is still significant upside remaining, especially when you consider household formation over time creating additional demand and how that demand compares to a market with all time lows in supply.

Every segment of the housing market saw improved volumes in 2012 except for homes priced under $150,000. See the chart below from the US Department of Commerce:

(click to enlarge)

What's better is that interest rates still remain near all time lows and the housing affordability is near all time highs. American homeowners are paying significantly less of their monthly income toward mortgage payments than they did in the pre-bubble years of 1985 to 1999,according to a new study by Zillow.com. They are paying a mere 12.6 percent as of Q4 2012, down from 19.9 percent in the pre-bubble time frame.

Housing is no longer a drag on the economy, but rather it is outperforming the overall economy and will be a tailwind for the US for years to come. Take a look at the chart below comparing housing with GDP:

UBS (UBS) recently released a report detailing how new household formation and the gap between that and the supply of houses could unleash pent up demand for everything from homes to weddings. I completely agree with this report and think it is a major tailwind for the economy and the markets over the next several years.

Sentiment Still Not Great

The number of "gurus" and analysts looking for a correction is still quite high. I don't have the figures on this but you can tell by the general skepticism every time there is a down day in the markets. People generally believe the rally is over and the doomsayers come storming out on CNBC.

What I can look at, though, is the University of Michigan Consumer Sentiment reports to get a gauge for how the average person feels about our economy (and therefore markets). Take a look at the longer term chart of consumer sentiment:

(click to enlarge)

This chart was actually as of late 2012 and consumer sentiment has since retreated a little bit as you can see below:

(click to enlarge)

The current reading of 76 is still far away from 90 to 100 levels reached in the 1980's, 90's, and 2000's before the markets peaked. I still think there is a long way to go until people start feeling euphoric about things and this is a good thing for the general direction of the markets.

Valuations are Reasonable

Valuations are still ok, with the current p/e of around 14.8 some 8% below historical averages over the past 50 years. Below is a chart of the p/e's, from low to high, over the past 50 years, excluding the top and bottom 3 years to give you a sense of where we currently stand:

I still believe we are in the midst of a secular bull market. I think housing will help fuel bottom line earnings to 120+ for the S&P 500 by 2016 and the market will trade at 16 to 17 times earnings. That yields an S&P 500 of 2,000 by then. I think it's wise to continue considering stocks that are reliant upon a stronger domestic US economy.

证监会再规范代持养券 复杂利益输送仍处监管盲区

2013年04月27日 08:41  第一财经日报  我有话说

　　蒋飞

　　“代持”、“养券”等非标准化交易行为将受到更严厉的监管。证监会新闻发言人周五说。

　　这是在本周央行方面连续采取监管升级措施以来，证券监管部门的进一步表态。从银行、信托到证券、基金，各类型机构过去在债市的一些通行交易方式已经无人敢再尝试。

　　然而，有监管层人士周五对记者表示，目前日常监管仍然存在盲区。比如在公平交易方面，证监会可以监控到基金公司与交易对手的第一次交易，但是在这些交易背后的一系列“倒券”和“过券”仍然不在监管视野之内。

　　监管升级

　　新闻发言人介绍，“代持”、“养券”是市场或者媒体的通俗说法，在银行间市场上，主要指债券交易过程中，经双方约定，一方债券交由另一方代为持有的行为，实质是一种非标准化的场外交易行为。

　　代持是由双方私下约定的交易，不是按照市场规则进行的交易行为。由于代持采取的是不透明的约定交易，容易滋生利益输送等违法违规问题。

　　对于持有证券的透明度和公平性，证监会2005年已发布相应规范。“在不同账户之间不能有利益输送，比如不能特别照顾社保账户。所有的交易都要由交易室统一安排，杜绝私相授受。”证监会一位相关负责人昨天表示。

　　不过，代持本身如果不涉及利益输送，它就仅仅是一个放大杠杆的场外交易行为。但目前债基的杠杆率已经处于比较高的水平。

　　上述负责人介绍说，近年来，基金杠杆突破40%的情况越来越多。据统计，债券型基金中大概有50%的杠杆在40%~100%之间，5%的基金杠杆超过150%。

　　现行的法规中没有对杠杆上限作出规定，是因为基金运作之初缺乏融资渠道，主要是通过银行间债券市场回购融资，央行方面对债券回购规定不得超过40%的投资杠杆比例。

　　目前，证监会已经决定对《证券投资基金运作管理办法》进行修订，首次明确基金的杠杆率不能超过40%，即基金总资产不得超过净资产的140%。

　　盲区犹存

　　对基金公司、证券公司中个别从业人员在债市中可能存在的代持养券行为，证监会历来严格禁止，并作为日常信息披露和合规性监管的重要内容。

　　证监会相关部门负责人介绍，证券经营机构的债券交易，应严格遵循中债登公布的收益率曲线计算出的公允价值。一年期债券超过中债登公允价值30个bp、一年以上超过50个bp的交易将被视为异常交易，必须进行报备。

　　但是，债市黑幕中也暴露出一些多账户多次交易中存在复杂的“过券”和“倒券”链条，虽然证券机构的直接交易对手方并无违规，但一系列交易之后，最终却向个人控制的丙类账户输送了利益。目前，此类违法犯罪行为尚无法监控，证监会将会同有关部门加强制度体系的完善。

债市整顿风波：市场紧张情绪加重

2013年04月22日 09:22  财经杂志  我有话说

　　经历这次“运动式”稽查风暴后，中国债券市场距离建立更加规范透明的监管体系仍有很长的路要走

　　4月15日，一只在场内交易的封闭式债券基金——万家添利分级B (150038.SZ)遭砸盘放量下跌，跌幅达2.84%。

　　随后消息传出，其基金经理邹昱被公安机关调查，涉嫌债券违规交易和利益输送。离职前，出生于1982年的邹昱任职万家基金总经理助理、固定收益部总监，以及旗下三只债券基金的基金经理，在其管理下，万家基金固定收益管理资产自2011年底的84.84亿元迅速增至2012年的151.63亿元。

　　万家基金回应称，邹昱因个人原因暂时无法履行职务，截至目前公司并未受到任何监管机构调查，邹昱本人目前是否存在违法违规行为还有待进一步核实。

　　接近万家基金的人士称，邹昱案或与万家基金并无关联，而是其以前从事的交易涉嫌违规。

　　记者了解到，一个多月前中信证券(12.42,-0.09,-0.72%)固定收益部执行总经理杨辉，应公安机关要求协助调查。与此同时，齐鲁银行金融部徐大祝、易方达基金[微博]固定收益部 投资经理马喜德、前西南证券(8.31,-0.07,-0.84%)固定收益部副总经理薛晨等亦被公安机关调查。

　　杨辉妻子管理的公司，因涉嫌向辽宁某农信社进行商业贿赂，被公安机关调查，不过公安机关未能在第一时间控制其妻，要求杨辉协助调查，目前此案尚无结果。

　　知情人士称，中信证券向来“封杀”丙类户交易，杨辉在中信证券负责研究工作，并无交易权限，案发后，公安机关要求中信证券出具杨辉的任职证明。隶属于证监会的专员办亦已从中信证券调取相关交易记录和交易人员的聊天记录，暂时没有发现问题。中信证券相关负责人也已向中国证监会说明情况。

　　至此，由公安机关出马，金融监管部门协调，对债券市场进行整顿肃清的行动终于公开。近一年来，辽宁、长沙等地的农信社以及东北、云南等部分城商行因涉及“丙类户”利益输送等，不断遭到公安机关的调查。不过，对债券市场的整顿远未结束。

　　据接近央行人士介绍，央行原定4月17日下午召开会议，要求商业银行暂停丙类账户垫资、无实际资金往来的撮合及代持。但该会议因故推迟到下周召开。不过，该人士称，此次会议精神已经传达。4月17日当天，伴随着恐慌情绪逐步蔓延，银行间债券市场的抛盘开始加重。

　　一位长期浸淫债券市场的人士称，近期债券市场暴露出的问题由来已久，监管机构及市场参与各方对潜在的违规行为“熟视无睹”，经历这次“运动式”的稽查风暴后，中国债券市场距离建立更加规范透明的监管体系仍有很长的路要走。

　　邹昱触雷

　　万家基金以管理规模243.50亿元而在业内排名第33位，在2012年内，该基金规模增长了45.82%。

　　号称“最年轻的投资总监”的邹昱，其领军的固定收益部是万家基金的招牌。出事前，邹昱在业内风生水起，其掌管的基金业绩蹿升极快，名列前茅，“明星基金经理”“金牛奖”等荣誉捧得满怀。

　　明星基金经理走下神坛，隐藏在固定收益基金背后的风险被揭开，通过代持放大杠杆来提高收益率，甚至有可能是非公平交易等行为，最终解释了高收益的由来。

　　接近监管部门的人士称，收益率明显高于整个市场的收益曲线的，肯定是加杠杆的，很容易被发现，只是公司不作为，监管也不到位，这是行业问题。

　　“大家都是为了拼收益，小基金更容易拼出收益。”某债券基金经理对《财经》记者表示，例如3亿元规模的小基金，放大5倍杠杆，很容易把收益做高；但大基金要拼收益，若以20亿元的规模，要放大到100亿元，很难做到。

　　另一位基金人士表示，在债券市场大涨的情势下并无风险，代持方还回来的债券都是有浮盈的，万家基金可按照市场价卖出，实现收益，甚至会导致基金净值上升。遭到挤兑时，可以选择有序的接券，接一点卖掉一点，实现浮盈，对基金本身并无风险。不过，代持杠杆过大可能导致崩盘风险，犹如银行被挤兑，在外代持的机构不再帮忙代持，从而遭到流动性风险。

　　过于强调收益排名，而忽略风险，造成固定收益领域的扭曲竞争。由于公司给基金经理定下过高的业绩指标，导致基金经理选择持有风险较高、评级较低的高收益债，于是业绩超前，但隐含了巨大的风险。

　　一直以来，万家基金的投资风格较为激进。

　　“货币基金在海外都追求流动性，但在国内是追求收益率。”某货币基金经理表示，一些规模小的基金公司尤其注重业绩排名，导致基金经理不得不私下操作，从而过度暴露风险。

　　由万家基金邹昱引发的、波及到券商和银行高管的这场风波，最终影响到整个债券市场。

　　多家银行和金融机构表示，目前已经暂停了债券业务。证监部门已要求证券公司上报各家债券代持的情况。

　　债券市场紧张情绪加重，市场开始无人做代持。4月18日，七天质押式回购放巨量达1109亿元，比前日增463亿元，金融机构纷纷将表外资产表内化，拿回代持的债券，且到期不再续。某银行间人士表示，现券成交量可能大幅度萎缩，其中的非真实需求的交易会大幅下降。

　　某券商人士则表示，整个债券市场冻结，没有这么多流动性的情况下，机构纷纷甩卖债券，此时坐拥资金的机构，反而可以轻松以地板价接手。

　　祸起“丙类户”

　　债券一级托管账户分甲类、乙类、丙类三种，其中甲类为商业银行；乙类为信用社、基金、保险、券商和非银行金融机构；丙类为参与银行间市场的非金融机构法人。

　　丙类账户占比较大，交易活跃。据不完全统计，通过结算代理人进入银行间债券市场投资的债券托管类账户共7899个，占银行间债券市场全部投资者的71%；而非金融机构投资者为6549个，占债券托管丙类账户的83%。

　　丙类户因不得直接交易，需通过结算代理人来进行，很多丙类户冠名为投资咨询公司，注册门槛较低。

　　丙类户想要某债券，但无资格持有，因此通过别人来拿券，或者通过承销商先拿，再转手出去。“丙类户并不是非法账户，只是在银行间市场不停地找钱，一圈一圈地养券，它们也给予了代持方足够的质押券。违规是必然，但是否违法，见仁见智。”某基金人士表示。

　　丙类户游走在灰色地带，活跃于一级半市场。

　　如某大行的资深交易员，通过亲属开设丙类户，此后通过自己在银行间市场的关系，找一家小银行的交易员帮忙代持，价格则私下约定，且不签合同，到期后可能再转到另外一家农信社来帮忙代持，通过借短投长，债券可以长期养在外，俗称“养券”，待价差实现时，债券最终回到丙类账户，利润完成。

　　代持的利率通常为银行的资金成本，而债券利率则要高于此。利用收付款和收付券之间的时间差，丙类户投入很少的金额，便可“空手套白狼”。

　　但是，若交易人员通过成立丙类户，将自己银行的债券倒手，通过低买高卖进行利益输送，则涉嫌刑事犯罪。辽宁、长沙等地的农信社和城商行纷纷爆出丙类户利益输送，牵涉到不少代持机构和人员。

　　2011年富滇银行倒券案中，该行金融市场部原总经理李坤等人通过朋友的公司申请丙类户，由富滇银行为其代理债券结算业务，前中后台与外部相勾结实施内幕交易和利益输送。

　　市场人士推断，事情多发生于2008年底至2009年初的债券大牛市，当时丙类户盛行，代持浮盈巨大，随着2009年逐渐进入熊市，丙类户逐渐沉寂。

　　该人士表示，丙类户查抄极为容易，资金往来记录明显，情节证据充分。丙类户在海外极为普遍，但在国内的管制环境下，难以明确定性，并存在巨大的利益输送空间。

　　有业内人士告诉《财经》记者，部分涉案的城商行的确帮助客户开设了较多的丙类账户，并收取一定的手续费。

　　此次债市整顿波及银行、券商、基金等几乎所有市场参与方。知情人士称，央行近期要求商业银行暂停丙类账户垫资、无实际资金往来的撮合及代持。监管部门发现私募债券基金成为债券市场利益输送的重灾区。

　　“代持”乱象

　　所谓“代持”和“养券”，是指交易员以现券方式卖出债券，但是与交易对手在私下签订协议，将来在某一时点以接近当初成本价重新买回该债券。其中，期限较短的称为“代持”，不断滚动续做、期限长达数月甚至数年的称为“养券”。

　　代持有两种，一种是有合同约定回购的，只要对手风险不大，相当于质押券借款；第二种是基于信用，对方有不回购的可能。后一种表面看起来就是购买，回购协议为口头商议，只有投资人员清楚，表面是买卖，实际上有隐含的回购协议，风控无法判断。这一种代持，在公募基金是被禁止的，但实际操作中，仍不乏私下交易者。

　　银行间市场内，代持是很普遍的现象，代持成本通常依据市场价格而定。

　　某券商固定收益部人士对《财经》记者表示，代持是交易行为，签协议、约定时间和回购价格，本身并无问题。出现问题在于没签协议或者越权交易，从而产生风险管理问题。如果此类行为发生将导致投资机构并不清楚自身有多少债券在外代持，也不清楚自己持有多少交易对手的债券。若市场上涨，则机构需要原价将代持债券卖回给交易对手；若市场下跌，交易对手可能因无书面协议，不愿回购已经下跌的债券，造成损失。

　　中国的债券市场大部分存在于银行间市场，为场外交易市场，一对一商议价格，进行交易，因此，“关系”“背景”“股东”等在银行间市场内显得尤为重要。

　　“债券这个圈子小，常常相互支持流动性。”某银行间市场人士称。如果代持涉嫌利益输送，则性质便大不同。债券的成交价格可以有偏离度。有的公司为了方便，把偏离度放得很大，投资人员可以利用这一点低卖、高买，转出收益。债券成交量少的品种，无法确定中间价，同时交易又要允许有一定浮动价格，加大了稽核的难度。

　　债券成交量大、价格不透明，给风控带来了巨大挑战。“银行间市场之间频繁的反向的操作，从账面上看虽然异常，但是又说不出所以然。”

　　某稽核人士对《财经》记者表示，在前文所述的第二种代持中，审计人员虽可以看出倒券等异常交易，但并不清楚背后的意图。若投资经理不告诉后台部门，后台基本无从得知。稽核部门只会看买卖与当时的收益率相比，偏差是否在一定范围之内。

　　大量“代持”“养券”交易也虚增了债券市场的交易规模，增加了金融市场的系统性风险。前述接近央行的人士称，监管部门加大对债券市场违规行为的打击，有利于债券场外市场的规范透明，但目前仍缺乏系统性的监管制度，也缺少对市场参与主体进行日常监管的抓手，希望能够通过此次稽查改变这一现状。

S&P 500's P/E Down To 16.1x: A Tale Of Two Markets

Apr 21 2013, 06:19  |  about: SPY, includes: AAPL, C, CAT, EBAY, GS, HAL, IBM, JPM, KMB, KO, MDLZ, WFC, XOM

The S&P 500 (SPY) was down 2.1% last week as more companies reported Q1 earnings. So far, 104 companies in the S&P 500 reported and 70 beat estimates. Looking under the surface, consumer staples companies continue to perform well and lead the index. The decline last week brings the S&P 500's P/E multiple down to 16.1x (based on LTM operating earnings). The multiple is high compared to the last few years, but low on a multi-decade timeframe. The key question remains: will earnings accelerate in Q1?

In this article, I will examine the earnings results and estimates for the S&P 500 as well as its P/E multiple. I will also focus on the top 100 companies and highlight sector trends. Under the surface, it looks like a tale of two markets with a clear distinction between the winners and the losers.

S&P 500 Price Action

The S&P 500 ended the week just below a key trend line that I have been watching, but bounced off the 50 day moving average.

(click to enlarge)

(Source: FreeStockCharts.com)

S&P 500's Q1 2013 Results So Far

As of April 18, 104 of the companies in the S&P 500 reported earnings and 70 beat estimates. The financials sector had the largest amount of companies reporting. Most of the big banks delivered Q1 results that were good, but not great. Their stocks subsequently drifted lower, but the reaction has been muted.

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S&P 500 P/E Multiple & Earnings Estimates

There are several ways to look at the P/E of the S&P 500, including trailing/forward earnings or operating/reported earnings. Here is a look from different angles.

(click to enlarge)

Estimates for Q1 operating earnings were down slightly last week to $25.40 from $25.49 the previous week. This probably reflects a combination of reported results and last minute changes to estimates.

(click to enlarge)

Looking at the S&P 500's multiple on various time frames gives a mixed impression. On a long-term timeframe (first graph) it looks low, but on a short-term timeframe (second graph) it looks high. The current multiple could be used by both the bulls and the bears in their arguments about the market's next move.

Earnings momentum is probably more important now than the valuation level. The current multiple could be justified if Q1 earnings show an acceleration in earnings growth after a few lackluster quarters. However, if earnings disappoint again, the market will likely sell off and only find buyers at a lower valuation level.

Please note that the last data points in the third and fourth graphs are estimates and will change as the numbers come in. The graphs show the expectations for growth, but it is too early to tell what the actual results will be.

(click to enlarge)

(Source: Standard & Poor's)

Focus On The Top 100 In The S&P 500

Every week I like to drill down on the top 100 companies and see what is driving the S&P 500. These companies represent 64.6% of the value of the S&P 500 and matter the most on an individual basis.

Below are four charts about the top 100 companies in the S&P 500: (1) 5-day price change, (2) forward P/E multiples, (3) analysis of companies with FY1 P/E multiples lower or higher than the median for the group and (4) changes in analyst estimates for FY1 over the last 7 and 30 days. The following are key takeaways from this data.

The relative price action over the last 5 days clearly shows the leadership of the defensive stocks. Among the big winners for the week were Coca-Cola (KO), Mondelez (MDLZ) and Kimberly Clark (KMB). Healthcare stocks also continue to lead the market.

The technology and commodities sectors produced a lot of laggards. Key underperformers for the week were Apple (AAPL), IBM (IBM), EBAY (EBAY) and Halliburton (HAL).

Earnings results were the main catalyst for the price action last week and will likely continue to be for the next few weeks.

Next week a number of important companies will report results, including Apple, Exxon (XOM) and Caterpillar (CAT). As the second largest component in the S&P 500, and a big underperformer over the last few months, Apple's results will likely have a big impact on the price action of the overall index. Exxon and Caterpillar will give investors more insight into the energy and commodities sectors, which have also been lagging.

The consumer staples stocks have P/E multiples that are on the high side compared to the other top 100 companies in the S&P 500. Coca-Cola, Mondelez, Kimberly Clark and many other defensive stocks stand out on the third chart, which compares the P/E multiples for the group. The solid performance of these companies should continue to support high multiples, but it is hard to argue that there should be a lot more multiple expansion for these companies.

This week I presented the earnings estimates for the current fiscal year (see fourth chart), instead of the current fiscal quarter. The financial sector stands out with several key companies experiencing positive revisions to earnings expectations recently, including: JPMorgan (JPM), Wells Fargo (WFC), Citigroup (C) and Goldman Sachs (GS). These companies already reported Q1 earnings, which seem good, but not great. However, expectations for the big banks have been low.

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(Source: Yahoo Finance, see further notes below)

Conclusions

The S&P 500 saw declines and increased volatility last week. However, the 104 companies that reported so far came in with good results and the overall P/E multiple is not high on a long-term timeframe.

Under the surface, it is a tale of two markets. The defensive, consumer staples stocks are clear leaders and delivered good earnings results. Technology and cyclical companies continue to lag.

Several key tech companies disappointed already, including IBM, but we will get more earnings results next week from this sector, especially the widely anticipated results from Apple.

It will be interesting to see how the financials perform going forward. JPMorgan, Goldman Sachs and some of the other big banks had decent earnings results and expectations for the fiscal year have been rising. We'll see if they can again lead the market like in the second half of 2012.

Notes

The tables exclude the following: P/E multiples greater than 100 and P/E less Median values greater than 50. Additionally, some information about Amazon, Berkshire Hathaway, AbbVie, Mondelez and Abbott Laboratories was not available.

The mean and median figures presented in this article represent the unweighted mean and median of the metrics for the 100 components in the SPDR S&P 500 ETF Trust and are not capitalization-weighted like the index itself.

Earnings Estimates are based on data from Yahoo Finance as of April 20, 2013.

Disclosure: I am long F, WMT, GOOG, BAC, AIG, SBUX, C. I wrote this article myself, and it expresses my own opinions. I am not receiving compensation for it (other than from Seeking Alpha). I have no business relationship with any company whose stock is mentioned in this article.

Additional disclosure: I may trade and of the securities mentioned in this article at any time, including in the next 72 hours.

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