银行跨境流动性跟踪：跨境流动性跟踪框架介绍

Investment Rating - The industry investment rating is "Buy" [1][2]. Core Insights - Cross-border liquidity has increasingly impacted China's liquidity, with cross-border capital outflows affecting incremental social financing by approximately 10% and asset liquidity by about 30% from June 2023 to June 2024 [1][9]. - The effects of loose monetary policy have been offset by cross-border capital outflows, indicating the necessity to monitor cross-border liquidity closely, especially at turning points [1][9]. - The report highlights a shift in cross-border capital flows, with September 2023 showing a net inflow of 442 billion CNY in goods trade, marking a significant change from previous trends [1][9]. Summary by Sections Introduction - The report discusses how cross-border liquidity impacts are more significant than changes in social financing growth, particularly at turning points [9]. Cross-Border Liquidity Tracking - In September, the net inflow of goods trade funds was 442 billion CNY, a notable increase compared to previous months [1][9]. - Financial account net outflows have narrowed, indicating a potential shift in capital flows [1][9]. - The net settlement of foreign exchange saw a significant increase in September, reflecting changes in cross-border liquidity dynamics [1][9]. Arbitrage Trading Returns - The report notes a significant decline in the 10-year China-US interest rate differential, which influences arbitrage trading returns [1][9]. SDR Major Economies Tracking - The report includes economic indicators such as China's PMI returning above the growth line, indicating a recovery in economic activity [1][9]. - Weak non-farm employment data from the US and stable unemployment rates in Europe and Japan are also discussed [1][9]. Conclusion - The report emphasizes the importance of tracking cross-border liquidity and its implications for broader economic conditions and investment strategies [1][9].