银行跨境流动性跟踪：人民币兑美元大幅升值，中美利差稳定

Investment Rating - The industry investment rating is "Buy" [4] Core Insights - The report highlights a significant appreciation of the Renminbi against the US dollar, with the SDR to Renminbi exchange rate increasing by 1.13% during the observation period [4][10] - The report notes that the China-US interest rate differential remains stable, with the 10-year US Treasury yield rising by 8 basis points, while the 10-year Chinese government bond yield increased by 9 basis points [4][11] - The performance of Chinese assets in the US market has been strong, with the Nasdaq China Golden Dragon Index rising by 4.93%, outperforming the Nasdaq Index, which fell by 3.45% [4][11] Summary by Sections 1. Arbitrage Trading Returns - The report indicates that the Renminbi has depreciated primarily due to the strengthening of non-US currencies, with the SDR to Renminbi exchange rate at 9.64 at the end of the observation period [10] - The interest rate differential between China and the US is stable, with the 6M, 1Y, 5Y, 10Y, and 30Y differentials at -2.67%, -2.50%, -2.42%, -2.52%, and -2.65% respectively [11] - The actual annual yield from arbitrage trading on US Treasuries in Renminbi terms is calculated at 2.33% for the 10-year bonds, reflecting a decrease of 0.79 percentage points from the previous period [11] 2. SDR Major Economies Tracking - The report tracks the performance of major economies, noting that the US unemployment rate rose to 4.1% in February, higher than expected, while the manufacturing PMI fell to 50.3 [4][11] - In Europe, the ECB's hawkish stance led to a significant appreciation of the Euro, with the ECB lowering key rates by 25 basis points [10][11] - The report also highlights the performance of the A-share market, which rose by 2.43% during the observation period, indicating a strong performance compared to other major economies [11]