President Of China Macro Hedge Research Institute: Exchange Arbitrage Hit

The background of RMB depreciation is not long ago. The central bank's central price has maintained a large discount in the past two months. This reflects the central bank's attitude towards the appreciation of the renminbi. Even in the process of devaluation of the spot price of RMB, the central bank's CNYMUSD INDEX is still stable. At the same time, it does not trigger the tension of the market liquidity. The interest rate level of the mainland's capital market is still falling substantially. Even the central bank is still using the open market operation to return liquidity. This reflects more or less the central bank's wishes. The overheated RMB appreciation is expected to be guided in a timely and appropriate manner.

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< p > therefore, this stage of RMB fluctuation can be divided into two stages: the first stage is the price difference between the central bank's central price, the spot spot and the offshore RMB, and the difference between the three points is widened by layers, showing a rising level of water level. This is the expectation of the excessive appreciation of RMB in the market. At the same stage, the RMB long-term non deliverable market, the 1 year RMB NDF even started to appear in the middle price of the central bank, reflecting the appreciation expectation of overheated RMB.

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< p > then, the central bank's moderate price devaluation is expected to be released, especially after the substantial increase in foreign exchange holdings (the Foreign Exchange Inflow in January is expected to exceed 400 billion).

At this time, the liquidity in the market is not short. The purpose of this active exchange rate adjustment is more obvious in subsequent statements by central bank officials, that is, in order to enhance the two-way fluctuation of RMB, the key point is to slow down the inflow pressure of hot money.

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< p > no matter from the second half of 2009 to the first half of 2011, the rapid progress of RMB internationalization, or the stagnation of RMB internationalization process in the second half of 2011, is closely related to arbitrage and arbitrage activities between the offshore market in Hongkong and the mainland's onshore market.

The arbitrage activities between the two markets include the arbitrage of RMB exchange rate in the two places and the arbitrage of RMB appreciation or depreciation expectations. The arbitrage activities between the two markets include the internal credit guarantee based on the renminbi letter of credit and the issuance of RMB bonds in mainland China by the mainland enterprises in Hongkong.

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< p > through the letter of credit, protect a href= "http://www.91se91.com/news/index_c.asp" > external loan financing < /a > most of the ways do not take the risk of lock in exchange rate. The low cost of offshore RMB financing is the result of a large number of RMB loans to Hongkong Bank of China applying for low interest rates through the letter of credit. At this time, the demand for offshore renminbi will rapidly rise, the demand for offshore renminbi will increase sharply, and a large number of offshore renminbi will be "turned" into the shore, and the reduction of supply will rapidly push up the price of offshore RMB in Hongkong market.

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< p > therefore, in the past few years, there is a particularly obvious feature, that is, the handover time at the beginning of each year is often the time when the mainland funds are very tense. At this stage, there will always be a rise in offshore CNH. The demand for large amounts of financing will push up the exchange rate of Hongkong's offshore currency, causing the difference between the two places.

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< p > if it is financing through the US dollar or the US dollar letter of credit, we can choose to buy US dollars to sell RMB in the forward foreign exchange market to eliminate exchange rate risk. But since the mainland launched the second round of RMB exchange rate reform in 2010 and the self strengthening of RMB's unilateral appreciation is expected, most people are becoming less sensitive to the aversion of exchange rate risk.

After all, in such a strong trend of RMB appreciation, the spread of RMB assets and US dollar liabilities, as well as the exchange rate gains brought by the appreciation of the renminbi, are relatively stable.

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< p > plus after 2012, as China's economy has really entered the key node of pformation, economic growth has begun to slow down. RMB forward NDF market has started to change from premium to premium. This means that once the US dollar is sold in the forward foreign exchange market to sell the risk of lock in exchange rate, it will not only get the exchange rate gains, but also pay higher locking costs for the premium.

In this case, more and more financing arbitrage behavior is generally chosen to set itself in the RMB exchange rate exposure mode.

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After the introduction of trade data in January this year, there are a lot of financing arbitrage activities for the surge of foreign exchange and unread trade data. P

Since May 2013, although Arbitrage Behavior under trade items has been subject to multiple controls, such behavior has not correspondingly converged, and it has again reflected a new upsurge at the end of the year.

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< p > if the time window is set, the current period of RMB forward L / C LC is 3 months.

At the end of last year, the last time for us dollar debt to buy foreign currency was concentrated at the end of February.

Therefore, once the market begins to spread the devaluation of the RMB, in the last few days, the position will carry out a centralized risk hedging, and buy the US dollar to sell RMB in the forward foreign exchange market to eliminate the exchange rate risk, which will lead to a more significant depreciation of the RMB non deliverable deliveries in the long run.

In fact, there was only a sharp depreciation in the near future without NDF. In the period from the end of January to the middle of February, the NDF1 period even went up slightly (the spot exchange rate has depreciated slightly in the same period).

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< p > > this a href= "http://www.91se91.com/news/index_c.asp" > RMB > /a > the adjustment of the active rhythm is indeed a great impact on a large number of arbitrage arbitrage positions, and at the same time, it achieves the preparation and drills of the RMB market to expand the volatility of two-way volatility for the future market.

However, since the second RMB exchange rate reform in 2010, the size of the offshore offshore market has been growing. This also provides a more adequate liquidity scale and derivatives for the offshore renminbi market.

Therefore, in recent years, CNH offshore renminbi has developed rapidly, and the development of offshore RMB market itself is a key link in the process of RMB exchange rate marketization. Therefore, offshore RMB market can be seen as the strength of the market.

But from the present point of view, the total size of the offshore RMB market and the scale of derivatives can not be overlooked.

Many offshore RMB derivatives have gone up because of the volatility of offshore renminbi. A large number of stop losses have formed a rapid chain reaction, which has begun to lead to more self overreaction in the RMB market.

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< p > the large number of arbitrage arbitrage in RMB has been thriving in the past few years, which has led to the fact that the RMB exchange rate has become an important risk and profit source for arbitrage arbitrage.

Therefore, in order to meet the growing and huge demand, major investment banks have designed a large number of risk management products based on RMB positions in the past few years.

These products, as a tool for hedging risk, accumulated a lot of tools to speculation offshore RMB appreciation position under the habitual thought of long-term unilateral appreciation of the renminbi. A large number of offshore RMB options, or even CNH target redemption forward, have a large scale.

Once the RMB fluctuation rate increases, and even the RMB begins to fall through some CNH derivatives' performance price, the buyer will have to hedge hedging against their parts by buying spot CNH or NDF, which will bring more spiral pmission risk to the market.

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< p > < a href= > http://www.91se91.com/news/index_c.asp > Central Bank < /a > still has strong guiding ability for the RMB market. Since we must crack down on excessive inflow of hot money, its fundamental way is not to regulate but to regulate through market oriented behavior.

On the one hand, financial marketization should be further deepened, and interest rates and exchange rates need to be more market-oriented, so that the functions of the market can be brought into full play.

On the other hand, before the market can be fully marketed, it is necessary to avoid the formation of market expectations for the devaluation of the renminbi.

Although China's economic growth is still relatively advantageous, it still maintains a double surplus, but these do not support the real depreciation of the RMB.

If the central bank does not conduct a moderate statement, there may be signs of acceleration of devaluation, and the characteristics of the market's self value realization may be out of potential control.

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"P >, therefore, on Friday, the central bank's central price is the turning point of a mark.

The PBOC intermediate price on Friday is a slight appreciation relative to Thursday. Although the CNY market price has hit the limit, and the RMB spot rate has already been relative to the central bank's intermediate price, it all reflects that the central bank's goal of self depreciation of the RMB should have been reached, and the market is still overreacting. In order to maintain the relative stability, the central bank's intermediate price can restrain the excessive devaluation expectation through the way of premium, which is consistent with that in the first half of 2012.

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