银行跨境流动性跟踪：人民币小幅升值，中美利差大幅走扩

Investment Rating - The industry investment rating is "Buy" [2][3]. Core Insights - The report highlights a slight appreciation of the RMB and a significant widening of the China-US interest rate spread [2][3]. - The RMB appreciated by 0.25% against the SDR, with notable depreciation of non-USD currencies, particularly the Euro and Yen, influenced by economic conditions and monetary policy adjustments [18][19]. - The 10-year China-US bond yield spread has widened significantly, with the 10-year US Treasury yield rising by 25 basis points while the Chinese bond yield fell by 15 basis points [19]. Summary by Sections 1. Arbitrage Trading Returns - The RMB appreciated slightly, with the SDR to RMB exchange rate at 9.54, reflecting a 0.25% increase [18]. - The interest rate spread between China and the US has widened, with the 10-year spread at -2.62%, a decrease of 43 basis points from the previous period [19]. - The actual annual returns from RMB arbitrage trading against US Treasuries have decreased, with the 10-year return at 2.75%, down by 0.19 percentage points [19]. 2. SDR Major Economies Tracking - In China, the 10-year government bond yield has significantly decreased, and the CPI has shown signs of stabilization [19]. - In the US, the November inflation data met expectations, with the CPI rising by 2.7% year-on-year [19]. - The Euro has depreciated significantly due to interest rate cuts and economic weakness, while the Yen's depreciation is linked to reduced expectations for a December rate hike [18][19]. 3. Performance of Chinese Assets Globally - Chinese stocks have outperformed major indices, with the Hang Seng Index rising by 0.53% and the Nasdaq China Golden Dragon Index increasing by 2.07% [20]. - The A-share market has shown volatility but performed relatively well compared to other major economies [20].