银行跨境流动性跟踪：套利交易回报率上升，跨境资金回流减缓

Investment Rating - The industry investment rating is "Buy" [12] Core Insights - The report indicates that the arbitrage trading return rate has increased, while cross-border capital inflow has slowed down. In November 2024, the net settlement of foreign exchange by banks was 29.7 billion yuan, a year-on-year increase of 196.1 billion yuan, showing significant improvement compared to the same period in 2022 and 2023, but a noticeable decrease compared to September and October [12][22] - The report highlights that the exchange rate of the RMB has slightly appreciated, with the SDR to RMB exchange rate at 9.52, reflecting a 0.25% appreciation from the previous period. The USD, EUR, JPY, and GBP against the offshore RMB have changed by +0.29%, -0.36%, -1.23%, and -0.02% respectively [12][22] - The 10-year US Treasury yield has increased by 12 basis points, while the 10-year Chinese government bond yield has decreased by 8 basis points, leading to a significant widening of the China-US interest rate spread [12][55] Summary by Sections Foreign Exchange Settlement Tracking - In November 2024, the bank's customer foreign exchange settlement rate was 33.39%, a decrease of 0.7 percentage points from October. The rates for goods trade, services trade, and capital and financial projects were 50.32%, 42.97%, and 10.80% respectively, with changes of -2.4%, -0.4%, and -0.1% from October [43] Arbitrage Trading Returns - The report notes a significant widening of the China-US interest rate spread, with the 10-year China-US Treasury yield spread at -2.82%. The actual annual returns from arbitrage trading of US Treasuries in RMB for the past year were 4.72%, 3.49%, 3.39%, and 3.24% for 1Y, 5Y, 10Y, and 30Y respectively, showing increases of +0.81 percentage points, +0.67 percentage points, +0.64 percentage points, and +0.64 percentage points [55] Major Economic Indicators - The report provides insights into major economic indicators, noting that the unemployment rate in China for November was 5.00%, remaining stable month-on-month, while the youth unemployment rate (ages 16-24) decreased by 1.0 percentage points to 16.10% [12][64]