Core Viewpoint - The report emphasizes the synchronized movement of the RMB exchange rate and domestic asset trends, attributing the RMB appreciation since mid-April primarily to changes in risk premiums, and proposes a methodology to monitor exchange rate expectations in real-time [1][11]. Exchange Rate Expectations and Asset Class Uniqueness - The reflexivity of exchange rate expectations can lead to self-fulfilling prophecies and potential overshooting risks, necessitating policy attention [2][15]. - The heterogeneity of expectations arises from different interpretations of domestic fundamentals by various market participants, influenced by information transmission delays [2][17]. Indicator Summaries Indicator 1: NDF and CIP Swap Differential - The NDF market reflects high-risk expectations from foreign institutions, with implied appreciation expectations decreasing from 2.13% to 1.50% between June and mid-August [3][19]. - The predictive power of the NDF-CIP differential shows a probability of actual appreciation at 71.2%, 71.0%, and 69.2% after one week, two weeks, and one month, respectively [3][22]. Indicator 2: Offshore and Onshore Price Differential - A positive offshore-onshore price differential typically indicates a depreciation trend for the RMB, with a 75.6% probability of actual depreciation following a positive signal [4][24]. - The CNH-CNY differential reached -432 pips in mid-April, signaling short-term appreciation expectations, while the current average is 57.9 pips, indicating a neutral signal [4][27]. Indicator 3: Settlement and Foreign Exchange Indicators - The settlement surplus in July 2025 exceeded seasonal highs, indicating increased willingness among enterprises to settle in RMB, with a net settlement rate turning positive for the first time in 26 months [5][30]. - The effectiveness of the combined signals for appreciation expectations is higher than for depreciation, with probabilities of actual appreciation at 64.4%, 63.6%, and 61.8% over one, two, and three months, respectively [5][32]. Indicator 4: Shanghai Gold Premium - The Shanghai gold premium reflects domestic expectations, with a historical average of 1.67 CNY per gram, indicating continued appreciation expectations for the RMB [6][34]. - The demand for gold as a hedge against RMB depreciation has decreased from May to August, with net outflows from domestic gold ETFs [6][34]. Indicator 5: USDCNY Risk Reversal Options - The risk reversal options indicate a market expectation of depreciation for the RMB in the short term, with a 71.6% probability of actual depreciation following a signal [7][19]. - The implied volatility curve has shifted, suggesting a bearish outlook for the RMB in the longer term [7][19]. Indicator 6: Risk-Neutral Probability Density Function (RND) - The RND analysis shows a fluctuating expectation for the USDCNH, with a tendency for appreciation expectations to rise and fall in phases [8][19]. - The effectiveness of the RND in predicting actual depreciation is lower compared to other indicators, with probabilities of 55.4%, 59.3%, and 51.6% for actual depreciation following appreciation signals [8][19]. Indicator 7: Bloomberg Consensus Forecasts - The Bloomberg survey indicates a shift in market expectations for the USDCNH, with a notable increase in the forecast from April to August [9][19]. - The predictive accuracy of the Bloomberg survey has been relatively low, with success rates around 43.5% to 51.6% for various time horizons [9][19]. Conclusion - The long-term trend of the exchange rate is influenced by purchasing power parity and general interest rate differentials, while short-term fluctuations are significantly affected by risk premiums [10].

Core Viewpoint - The relationship between U.S. interest rate changes and China's monetary policy is complex, and the assumption that China should simply "loosen" its monetary policy when the U.S. lowers rates is overly simplistic [1][3][12]. Group 1: Impact of U.S. Interest Rate Changes - When the U.S. Federal Reserve lowers interest rates, it increases global dollar liquidity, but this does not automatically lead to capital flowing into China [3][5]. - Conversely, when the U.S. raises interest rates, it attracts capital back to the U.S., putting pressure on China and potentially leading to significant capital outflows [5][10]. - In 2016, the capital outflow from China reached approximately $485.3 billion due to U.S. interest rate hikes, highlighting the impact of U.S. monetary policy on China's financial stability [5][10]. Group 2: China's Monetary Policy Response - China's monetary policy is not simply reactive; it requires careful consideration of various factors such as the China-U.S. interest rate differential, expectations for the yuan's exchange rate, and capital control policies [9][10]. - In 2022, during a period of U.S. monetary easing, China adopted a strategy of increasing exchange rate flexibility and controlling capital inflows while encouraging moderate capital outflows, rather than blindly loosening monetary policy [7][10]. - The complexity of capital flows means that a simplistic view of U.S. interest rate changes leading to immediate policy shifts in China is misleading [12][14].

Group 1: Hot News - A so - called "resignation letter of Federal Reserve Chairman Powell" circulated on social media "X", but it was fake. Federal Housing Finance Agency Director Pulte believes Powell will resign soon, while the US Treasury Secretary and Trump have different views on his resignation and interest rate cuts [2][3] - In Q2 2025, financial institutions' RMB loans reached 268.56 trillion yuan, up 7.1% year - on - year. RMB real estate loans were 53.33 trillion yuan, up 0.4%. Real estate development loans were 13.81 trillion yuan, up 0.3%, and personal housing loans were 37.74 trillion yuan, down 0.1% [2] - The State Administration of Foreign Exchange said the market has no obvious unilateral expectation of RMB appreciation or depreciation, and trading is rational [3] Group 2: Key Focus - Key commodities to focus on are coking coal, soda ash, coke, industrial silicon, and glass [4] - Night - session performance: Non - metallic building materials rose 2.57%, precious metals 29.35%, oilseeds 12.26%, soft commodities 2.90%, non - ferrous metals 19.19%, coal - coking - steel - ore 14.73%, energy 3.13%, chemicals 11.92%, grains 1.19%, and agricultural and sideline products 2.75% [4] Group 3: Commodity Futures Positions - The chart shows the changes in commodity futures positions in the past five days for different sectors [5] Group 4: Performance of Major Asset Classes - In the equity category, the Shanghai Composite Index rose 0.62% daily, 3.99% monthly, and 6.86% annually. Other indices like S&P 500, Hang Seng Index also have different performance [6] - In the fixed - income category, 10 - year, 5 - year, and 2 - year treasury bond futures all had negative changes [6] - In the commodity category, CRB commodity index, WTI crude oil, London spot gold, LME copper, and Wind commodity index had different price movements [6] - In other categories, the US dollar index and CBOE volatility also showed specific changes [6] Group 5: Major Commodity Trends - The report presents the trends of various commodities such as the Baltic Dry Index, CRB spot index, WTI crude oil, London spot gold, LME copper, etc., and also shows the risk premium of some equity indices [7]

Core Viewpoint - The current market does not have a clear expectation for the appreciation or depreciation of the Renminbi, with rational and orderly trading observed in the foreign exchange market [1] Summary by Relevant Categories Market Expectations - The foreign exchange market indicators, including forward and options markets, show no significant expectation for the Renminbi to appreciate or depreciate [1] Market Behavior - Overall, there are no irrational trading behaviors such as panic buying or selling, indicating a stable trading environment [1]