热点思考 | 人民币升值，“结汇潮”的助推？（申万宏观·赵伟团队）

Core Viewpoint - The recent appreciation of the RMB is not primarily driven by "settlement" but rather influenced by a weaker USD and central bank interventions, with settlement rates showing a decline rather than an increase [2][3][4]. Group 1: RMB Appreciation and Settlement - Since mid-October, the RMB has appreciated significantly by 1.42% against the USD, while the USD index has only weakened by 0.34%. This has sparked discussions about a potential "year-end settlement" [3][8]. - Despite the RMB's appreciation, the settlement rate has decreased from 63.1% in September to 54.1% in October and further to 52.0% in November, indicating that the expected settlement surge has not materialized [3][8]. - Various indicators suggest that a settlement surge typically leads to higher swap points, increased RMB transaction volumes, and reduced foreign exchange deposits. However, since November, swap point spreads have decreased from 97 pips to 36 pips, and foreign exchange deposits have continued to grow [3][19]. Group 2: Year-End Settlement Patterns - Historically, "year-end settlement" tends to occur in December due to increased current account income, but improvements in settlement rates are not significant. The growth in settlement amounts is attributed to concentrated export receipts, increased primary and secondary income, and a slight rise in settlement rates [4][43]. - The changes in year-end settlement rates are influenced by prior RMB performance and the timing of the Chinese New Year. Typically, when the RMB strengthens, the selling rate declines, while improvements in settlement rates lag by 1-2 quarters [4][55]. Group 3: Potential for RMB to Break "7" - A delayed settlement surge may provide some short-term support for the RMB, with historical data indicating that after two consecutive quarters of appreciation, settlement rates often improve. The upcoming Chinese New Year may also extend this improvement into January [5][112]. - However, risks of a USD rebound and central bank interventions may affect the pace at which the RMB breaks the "7" level. Current non-commercial short positions in the USD are at a record high, indicating potential reversal risks [5][88].