银行跨境流动性跟踪：人民币贬值，中美利差小幅走扩

Investment Rating - The industry investment rating is "Buy" [2]. Core Insights - The report highlights a depreciation of the RMB and a slight widening of the China-US interest rate spread. The end of the observation period shows the SDR to RMB exchange rate at 9.57, with the RMB depreciating by 0.39% compared to the previous period. The 10-year China-US bond yield spread is -2.20%, a decrease of 3.67 basis points from the last period [2][18]. Summary by Sections 1. Arbitrage Trading Returns - The RMB has depreciated, with the SDR to RMB exchange rate at 9.57, reflecting a 0.39% depreciation. The exchange rates for USD, EUR, JPY, and GBP against the offshore RMB changed by +0.36%, +0.53%, +0.78%, and +0.73% respectively [18]. - The 10-year China-US interest rate spread has slightly widened, with the current spreads for 6M, 1Y, 5Y, 10Y, and 30Y US bonds at -2.98%, -2.84%, -2.42%, -2.20%, and -2.18% respectively. The actual annual returns for RMB arbitrage trading over the past year are 4.16%, 3.01%, 2.94%, and 2.76% for 1Y, 5Y, 10Y, and 30Y bonds respectively [18][20]. 2. SDR Major Economies Tracking - The report notes that the 10-year government bond yield in China has significantly decreased, while the RMB has depreciated. In the US, the unemployment rate slightly increased, with November non-farm payrolls showing an addition of 227,000 jobs, and the unemployment rate at 4.2% [9][19]. - In Europe, the nominal GDP growth rate for the Eurozone in Q3 2024 has slightly rebounded, showing a year-on-year increase of 3.71% [9]. 3. Market Performance - In the Hong Kong market, the Hang Seng Index rose by 2.28%, and the Hang Seng China Enterprises Index increased by 3.15%, outperforming the Hang Seng Index. In the US, the Nasdaq Index rose by 3.34%, while the Nasdaq Golden Dragon China Index increased by 2.15%, underperforming the Nasdaq Index [19][20]. - The report indicates that the overall performance of A-shares was moderate, with the Wind All A Index rising by 2.30%. Major global indices such as Germany's DAX, France's CAC40, and Japan's Nikkei 225 showed increases of 3.86%, 2.65%, and 2.30% respectively [19].