固定收益点评：存单与汇率

Fixed Income Commentary - The recent decline in funding prices has not led to a decrease in certificate of deposit (CD) rates, resulting in a widening spread between the two. As of September 5, the R007 (20DMA) rate was 1.50%, down 15 basis points from the end of Q2, while the 1-year AAA CD rate rose slightly to 1.665%, an increase of 3.5 basis points from the end of Q2. The spread between the 1-year CD and R007 has expanded significantly to 16.4 basis points, compared to a June average of 4.9 basis points, indicating a high level not seen in nearly two years [1][8][9]. Currency and Foreign Capital Flow - During the period of anticipated RMB depreciation, a high forward exchange rate premium attracted foreign capital inflow, leading to significant accumulation of CDs. From September 2023 to August 2024, the RMB is expected to face depreciation pressure, with the forward exchange rate premium remaining high at around 3%-4%. Foreign investors have been purchasing domestic 1-year CDs and locking in forward exchange rates, achieving a combined yield of 5%-7%, which is higher than the yield on 1-year US Treasury bonds. The difference between the forward exchange rate premium and the 1-year AAA CD yield compared to the 1-year US Treasury yield has remained positive, mostly around 1 percentage point [2][11][13]. Impact of RMB Appreciation - As the RMB shifts from depreciation pressure to appreciation pressure, the forward premium has decreased, leading to capital outflows from the bond market, particularly in CDs. Since May, the RMB has appreciated against the USD, with the 1-year forward exchange rate premium dropping to around 2%. This decline means that even with investments in domestic bonds, the overall yield is approximately 4%, comparable to the yield on 1-year US Treasury bonds. From May to July, foreign investors reduced their holdings in domestic bonds by 515.5 billion RMB, with 313.8 billion RMB attributed to CDs [3][16][21]. Foreign Capital Reduction and CD Rates - The reduction in foreign holdings of CDs has contributed to the slower decline in CD rates, resulting in a widening spread between CDs and funding rates. From April to July, foreign investors reduced their monthly holdings of CDs by an average of 104.6 billion RMB. Given that the average net financing for CDs this year has only been 1.885 billion RMB per month, the reduction in foreign holdings has had a notable impact on CD rates, potentially leading to a slower decline in rates during periods of falling funding prices [17][22].