策略专题报告：套息交易分化与逆周期调控下的资本流动新格局

Core Insights - Companies are utilizing "high export reporting/low import reporting" to retain USD deposits, combined with expectations of RMB depreciation, creating a dual drive of interest rate spread and exchange rate gains [3] - The inversion of the China-US interest rate spread intensifies capital outflow pressure, leading to a negative feedback loop between short-term capital flows and currency depreciation [3] - The counter-cyclical factor aims to stabilize unilateral depreciation or appreciation expectations, with targeted and flexible implementation of tools [3] - The counter-cyclical factor compresses traditional interest arbitrage space, promoting capital inflow into China's risk-free assets [3] - The convergence of the counter-cyclical factor reflects a weakening of depreciation expectations, slowing the momentum of foreign capital inflow into short-term bonds, with marginal liquidity easing [3] - Under the capital control framework, companies engage in interest arbitrage through trade channels, essentially constituting "institutional arbitrage," necessitating ongoing regulatory balance between openness and risk [3] - The cognitive-behavioral-outcome cycle includes cognitive biases, with cognitive correction potentially initiating a positive cycle [3] - Expectations of RMB appreciation may trigger foreign capital to increase allocation to Chinese equity assets, forming a positive feedback loop of "asset prices ↑ → exchange rate ↑ → capital inflow ↑" [3] - Risks associated with USD assets may drive international capital towards RMB assets, with attention on the narrowing of the China-US interest rate spread and the slope of domestic economic recovery [3] Traditional Interest Arbitrage Logic - Companies utilize trade channels: Export revenues in USD lead companies to retain foreign exchange domestically rather than converting to RMB when the China-US interest rate spread widens [6] - Matching RMB debt with USD assets: Companies increase RMB loans for daily funding needs while holding USD revenues as deposits to earn interest rate spreads [6] - The role of exchange rate expectations: If companies anticipate RMB depreciation against USD, holding USD deposits allows them to earn both interest rate spreads and exchange rate gains [6] Reverse Interest Arbitrage: Policy-Driven Capital Inflow - The negative swap points indicate appreciation expectations, with the current 1Y USDCNY swap points at -2224 points, suggesting an annualized arbitrage yield of approximately 3.06% [20] - USD holders can lock in exchange rate gains through buy/sell CNY swaps, making the actual yield of RMB assets (interest rate + appreciation gains) surpass US Treasury yields, creating a localized capital inflow loop [20] Counter-Cyclical Tool Impact - The reduction of positive interest arbitrage and the promotion of reverse interest arbitrage are conducted through two main lines: increasing liability costs and enhancing reverse interest arbitrage returns [23] - Short-term coordination of interest rate and exchange rate policies is necessary to adjust the midpoint and tighten offshore RMB liquidity, impacting offshore exchange rates to compress arbitrage space [25] - The counter-cyclical factor's use reflects a dynamic adjustment to manage exchange rate expectations, with intervention intensifying when the RMB shows weakness against a basket of currencies [28] Market Dynamics and Feedback Loops - The reversal of interest arbitrage will drive RMB appreciation, aligning with the "cognitive-behavioral-outcome" positive feedback mechanism [44] - The narrowing of interest spreads and the resulting cognitive corrections may lead to increased foreign capital inflow into Chinese assets, reinforcing the cycle of asset price increases and currency appreciation [44][47]