银行跨境流动性跟踪：中美利差收窄

Investment Rating - The industry investment rating is "Buy" as of November 10, 2024 [2]. Core Insights - The report highlights a narrowing of the China-US interest rate spread, with the 10-year US Treasury yield spread (China - US) at -2.19%, an increase of 3.61 basis points from the previous period. The actual annual yield from RMB arbitrage trading on 10-year US Treasuries is estimated at 0.73%, an increase of 1.28 percentage points [2][17]. - The report notes a slight appreciation of the RMB, with the SDR to RMB exchange rate increasing by 0.13% during the observation period [2][17]. - Chinese assets are underperforming globally, with the Hang Seng Index rising by 1.08% and the Nasdaq China Golden Dragon Index declining by 0.55% [2][18]. Summary by Sections 1. Interest Rate Arbitrage Returns - The report indicates that the 6M, 1Y, 5Y, 10Y, and 30Y China-US Treasury yield spreads are -3.04%, -2.91%, -2.46%, -2.19%, and -2.19%, respectively, with changes of -3.03bp, -4.03bp, -0.47bp, +3.61bp, and +6.00bp [17]. - The estimated annual yields for 1Y, 5Y, 10Y, and 30Y US Treasury RMB arbitrage trading are 1.98%, 0.88%, 0.73%, and 0.57%, reflecting increases of 1.38 percentage points, 1.29 percentage points, 1.28 percentage points, and 1.28 percentage points, respectively [17]. 2. SDR Major Economies Tracking - In China, the October CPI year-on-year growth is 0.3%, with a month-on-month decrease of 0.1 percentage points. The core CPI (excluding food and energy) increased by 0.2% year-on-year, while the PPI decreased by 2.9% year-on-year [32]. - The US service sector PMI for October is reported at 56.0, an increase of 1.1 from September [32]. - In Europe, the September PPI decreased by 3.4% year-on-year and 1.1 percentage points month-on-month [32].