UN POR QUÉ A LA CRISIS DEL INTERBANCARIO EN CHINA
Un informe de JP Morgan revela una interesante explicación sobre la crisis del interbancario sufrida la semana pasada en China: JPMorgan… there is an additional reason for the tight liquidity, in the form of a crackdown on illegal bond trading by regulators. In recent years, wealth management products (WMP) have become an important channel for Chinese banks to attract deposits. Most wealth management products are short-maturity (65% are below 3 months, and 20% range from 3-6 months). The maturity dates of such products are usually at the quarter-end, to meet regulatory requirements on loan-to-deposit ratios. Due to competition in providing high returns for WMP, banks were forced to buy high-yielding bonds with 1-5-year maturities to serve as underlying of the WMP. Examples of such bonds are lowly rated credit papers with poor liquidity, or non-standard securities such as discounted bills and bank loans. This resulted in a term mismatch between the maturity of WMP and their underlying asset. To avoid any squeeze from this mismatch upon maturity of the WMP, small banks started to engage in a kind of sale-and-buyback operation of the underlying bonds, consisting of two steps. In step 1, bonds were sold before quarter-end in a “fake”
