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投资限额一降再降背后 天弘基金正在经历成长的烦恼

2017-08-24 07:01:47   中国经济网

这也就意味着,以目前余额宝1.43万亿的体量,已经超过招商银行2016年年底的个人活期和定期存款1.3万亿的总额,并直追2016年中国银行的个人活期存款平均余额1.63万亿元。如果按照以往的增长速度测算,余额宝在2017年9月底规模有望超过中国银行2016年全年的个人平均存款余额。

华南某理财师认为,“余额宝这种理财端每天24小时买入,每天24小时也可赎回。但货币基金的底层资产,是‘国债、央行票据、商业票据、银行定期存单、政府短期债券、高信用企业债券、同业存款等短期有价证券’等,到期日一年以内的金融资产,这些资产仅在工作日的交易时间可以交易,而且到期日前提前卖出,可能还会有损失。这就意味着,极端情况下,万一某个周末,余额宝账上的现金被取光了,就会出现兑付困难,并进而引发挤兑。”

一家中型公募公司基金人士也表示,“只能不断提高备付金比例,另外把存款分散到各个银行,分散投资。不过说实话,即便如此,也挺难应对它的流动性风险,毕竟体量太大了,这就是货基的规模陷阱。”

对于上述业内人士担忧的风险,天弘方面表示,关于货基的风险管控,天弘基金有考虑周全的风控措施。针对货币基金潜在的流动性风险,天弘基金构建了一套涵盖资产端和负债端的流动性风险管理体系,资产端方面,将协议存款到期、正回购到期、逆回购到期、管理费、利息、清算备付金等变量纳入,计算T0的资金缺口及未来的资金流入流出分布;负债端方面,引入大数据与用户分层刻画等技术,构建投资者申赎预测模型,可实现涵盖T+0、T+1、T+30的预测,准确率高达95%以上,误差小至1%,有效提高了对基金申购赎回的预测能力。

针对货币基金的偏离度风险,天弘基金对引发货币基金偏离度的资产进行归因分解和排序,以便基金经理决策。公司还构建收益率曲线,对偏离度进行实时分析。通过试算功能,基金经理可掌握每一单交易对偏离度产生的影响,并根据偏离度控制目标进行调整。

在信用风险管理方面,天弘基金组建了信用分析团队,利用“鹰眼系统”和“财务稳健模型”,根据企业信用资质,严格筛选投资备选标的,剔除产能过剩的行业债券、负面展望债券、负面报道债券,同时对持仓债券进行跟踪监控;定期进行深度分析及梳理,对信用资质有可能恶化的债券,限期进行卖出处理,严格控制信用风险。

而在此前媒体采访中,天弘基金副总经理周晓明表示,余额宝的规模确实已经达到一定体量,系统重要性提高了,一旦发生风险有可能会对金融体系产生影响。但从余额宝的发展状况来看,其风险管控体系尤其是流动性风险管理能力是强大而有效的。

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