Japan’s ¥193.3tn ($1.7tn) Government Pension Investment Fund has blamed poor liquidity and futures trading options, and lack of international settlement for last month’s decision to exclude renminbi-denominated Chinese sovereign bonds from its portfolio.
The GPIF was forced into making a decision after FTSE Russell announced in March that it would begin phasing Chinese debt into its flagship World Government Bond Index.
The gradual inclusion process, which kicked off on October 29, will last a period of three years before Chinese government bonds comprise a total of 5.25 per cent of the index, which is tracked by up to $3tn in assets.
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