Capital Markets Trading and Investment Strategies in China A Practitioner's Guide 336页) T7 ?) ~2 {+ p! T
$ U8 B9 J3 c. Z2 T) `* U, s. h9 W2 X: {Contents$ l- Z+ X7 }5 O/ x9 p
1 Building Blocks of an Investment Portfolio . . . . . . . . . . . . . . . . . . . . 1
0 G- _* X2 h* H+ I) f4 J+ l1.1 Foreign Exchange Instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . 1) M: H9 x: \8 H2 l9 m) S1 n; ]
1.1.1 Onshore CNY FX Instruments . . . . . . . . . . . . . . . . . . . . 1
- J5 M5 U ?! R0 \6 U% N# m1 a1.1.2 Offshore CNY/CNH FX Instruments . . . . . . . . . . . . . . . . 19/ s. d; g: k4 b' k9 C5 Z( s
1.2 Traded Money Market Instruments . . . . . . . . . . . . . . . . . . . . . . . 205 i) P7 S1 F1 s/ ^! n. D9 q' v
1.2.1 Onshore CNY Market . . . . . . . . . . . . . . . . . . . . . . . . . . 20
. t- o- | s5 w# `& X( ~1.2.2 Offshore Money Market Management . . . . . . . . . . . . . . . 36. r9 z2 [4 N: F5 T0 H- s- M* ~
1.3 Fixed Income Instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38+ X0 S7 _; N# Y
1.3.1 Instruments Types . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39) T0 i( a# V, i+ V, }
1.3.2 Instruments by Cashflow Structures . . . . . . . . . . . . . . . . . 62
$ C$ y/ A$ }# H* `1.3.3 The Market Place . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
8 E& z0 Q3 |8 x6 [" x$ i1.4 Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
. `) v% E2 B) N, S% n+ I8 c( H1.4.1 Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
( u/ V( }, K( M7 e6 x; W1.4.2 Bond Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87$ P; [) V% E) W# ?( p, F
1.5 Gold Contract on Shanghai Gold Exchange . . . . . . . . . . . . . . . . . 89
@3 ~% A; S4 `* M) e% t1.5.1 Physical Gold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89, y8 K Q; m1 h
1.5.2 Deferred Delivery Gold . . . . . . . . . . . . . . . . . . . . . . . . . 90: Z1 D, i& B/ z' {4 j2 C' p2 k
2 Macro Economics, Monetary Cycle, Industry Cycle, Monetary; R6 P: `; M" V! }9 q
Condition, Supply and Demand . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93
; w' Z3 y6 N! f, |( T# T4 G2.1 Traditional Macro Cycle Indicators . . . . . . . . . . . . . . . . . . . . . . . 938 L- k7 D; V" ~( X5 r6 Q& d
2.1.1 GDP and Growth Contribution . . . . . . . . . . . . . . . . . . . . 93
6 q, E8 T& r' N8 @$ s5 q* X0 p2.1.2 Electricity Generation and Industrial Growth . . . . . . . . . . 94
1 m" m# }( Y& Z2.1.3 Pork and Copper Price as Growth Indicators . . . . . . . . . . 94/ K: k& d" j! F2 O$ F7 a/ ^
2.1.4 Export Dependency and Market Distribution . . . . . . . . . . 96
f* B4 a( w- c# W" I2.2 Real Estate Cycle Specificities . . . . . . . . . . . . . . . . . . . . . . . . . . . 99
) V( ?9 A* t. E h9 @2 S" ?2.2.1 New Construction, Sales and Existing Inventory . . . . . . . 99
; b8 ^8 Q7 y* q F( a% j2.2.2 Real Estate Dependency . . . . . . . . . . . . . . . . . . . . . . . . . 101" H2 j" [5 v) w( T
* v: Z* c. L" O: F- L' @
2.3 Government-Driven Investment . . . . . . . . . . . . . . . . . . . . . . . . . . 103; `/ o S) b7 L
2.3.1 Government Spending and Its History . . . . . . . . . . . . . . . 103
0 b9 g) u2 {+ G# S- ?% ]6 S2.3.2 Budgetary Deficit Constraint . . . . . . . . . . . . . . . . . . . . . . 1055 _/ |* g/ f- \% m. {6 p
2.4 USD Cycle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107
: z$ B1 z9 k! j( w( E: ~2.4.1 Global Monetary Condition and Funding Cost . . . . . . . . . 1078 |" z) @ a! \9 |' [ t
2.4.2 Exchange Rate Fluctuation and Its Impact0 r9 d4 E" N) V- ?$ u1 {$ w
on Commerce . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
- G9 ]. I; b' L5 r- C8 g; H2.5 Industrial Cyclical Specificities . . . . . . . . . . . . . . . . . . . . . . . . . . 110
; L& G8 l6 u7 k: c+ O# H; m- w2.5.1 Industry Classification . . . . . . . . . . . . . . . . . . . . . . . . . . 1106 [+ A7 c& Z8 q' @
2.5.2 State-Owned Versus Private-Owned . . . . . . . . . . . . . . . . 121
- @" h! q% i( d( S0 ]2.5.3 Cycle and Seasonal Patterns . . . . . . . . . . . . . . . . . . . . . . 123
! Z+ k5 Y6 m6 f. H0 u$ g2.6 Monetary Cycle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1251 G! [# B1 X2 o8 h7 |
2.6.1 Quantity Versus Price Target . . . . . . . . . . . . . . . . . . . . . 125
" O8 V4 p( P( f2.6.2 Quantity Target, M1, M2, and Total Social: \) T- G1 e/ B
Financing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126
9 P ~* _* B5 d0 r; [: w- ]* S2.6.3 Regional Distribution of Aggregated Social+ ]6 J8 E6 \: A, i [+ l# m
Financing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1319 _2 Q( ?* h: Y0 Y9 [6 N) q3 G6 h( d
2.6.4 A Distribution Perspective from Financial
9 E% Q- o) D5 N: ?: e; pIntermediary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136
4 t- ~0 x, u$ p4 ^( ~2.6.5 Price Target, 10 Year Bond Yield and 7D' Q* O# @1 g5 i V( M3 G* S. i6 J* s
Repo Rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 139
. S1 f, ~. w* e2 Z3 Applied Pricing Curve in the Market and Term Structures . . . . . . . 141
: b4 j3 a+ A- d, T. n3.1 Curves and Term Structures . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1413 @& w9 e' W9 W) }
3.1.1 FX Curve and FX Swap Points . . . . . . . . . . . . . . . . . . . . 141
# H' b" r7 R9 \' K2 z3.1.2 Money Market Curves Across Different MM' ?' ?; W9 Q, ^: `6 I
Segments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 142
5 u3 F" _( ?3 ^( j) ] O3.1.3 Government Bonds and Interest Rate Term
2 M9 Q E6 \8 m! LStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 146, j# U% y9 L3 \$ c; Z
3.1.4 Central Bank Bill Curve . . . . . . . . . . . . . . . . . . . . . . . . . 1473 ]: U: j s/ s- k' l$ Q
3.1.5 Tax Spread Curve and Policy Bank Bonds . . . . . . . . . . . 148( V7 A8 t. o3 \2 C! a& \! d* g
3.1.6 Credit Curve by Rating and Industry . . . . . . . . . . . . . . . . 148) M, |* S8 }6 p" ~/ G8 W
3.1.7 Bond Future IRR, Contract Spread and Roll-Over . . . . . . 150/ {/ x) d( R7 t$ j. z, u
3.2 In-depth Factors Driving Onshore FX and Money Market
. `2 Z& F c4 q0 e# i. U2 @Curves . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 151
9 y! T" ?# h+ q* H6 K. @. v+ T3.3 Monetary Policy-Driven Supply Policy Factors . . . . . . . . . . . . . . 153
* k) ^* S* ~' b5 j" Q3.3.1 Deposit Reserve Ratio . . . . . . . . . . . . . . . . . . . . . . . . . . 153
2 c9 L/ Z6 X ~3.3.2 Open Market Operation . . . . . . . . . . . . . . . . . . . . . . . . . 1538 B( p' e3 d a, o
3.3.3 Discount Window . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 154' E& `9 ?, L, [9 O
3.3.4 Short-Term Liquidity Operations . . . . . . . . . . . . . . . . . . . 154
9 w6 E5 `* d+ ?8 B. R" K& Z6 w9 B, Q/ V3.3.5 Standing Lending Facility . . . . . . . . . . . . . . . . . . . . . . . . 1547 \, S/ t9 [) B! x! K
3.3.6 Mid-term Lending Facility . . . . . . . . . . . . . . . . . . . . . . . 155
/ G! Q/ ]& F& ^+ ?; `3.3.7 Pledged Supplementary Lending . . . . . . . . . . . . . . . . . . . 155* J) G3 [8 F# g. n' @# v, b
3 r3 e$ s0 @' ~* s$ v, Z$ a
3.3.8 Non-monetary Policy-Driven Supply Factors . . . . . . . . . . 155
0 g$ W" C& H+ S; [4 M% m3.3.9 Structural Factors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157# }$ {6 m9 \; N& O
3.3.10 Seasonal Issues and Market Expectation . . . . . . . . . . . . . 159: k' X; Y1 g* I; Y( [0 v. r/ j
3.4 In-depth Factors Driving Fixed Income Portfolio Return
) j* X1 k0 J4 A; P7 h0 F( @and Risk Curve Parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159
Z. L2 i( r) Z. y- i3.4.1 Cross-Border Monetary Flow and Pricing1 a/ [. _) ~0 d
Transmission . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159, z( Q& ?1 k: \1 r# ?5 y
3.4.2 Domestic Monetary Supply . . . . . . . . . . . . . . . . . . . . . . 160
6 Z8 h {! t, I2 A4 p/ i6 ^8 w3.4.3 Product Supply and Demand . . . . . . . . . . . . . . . . . . . . . 160
& M* U% j7 [1 n3.4.4 Tax Consideration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 161
* ]0 _6 B0 v$ X0 J5 q3.4.5 Cost of Funds and Risk Appetite . . . . . . . . . . . . . . . . . . 162
7 c |8 }1 ^9 R* L; h3.4.6 Credit Allocation Limits and Industry Policy Issued! m0 l& |4 M8 u- N) p
by Government . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163
6 B3 g3 G) @% L: n& D9 R7 f3.4.7 Bond Future Net Basis, Implied Repo Rate$ g) w* Z2 c. F0 w- i$ T2 {% E
and Cheapest-to-Deliver Optionality . . . . . . . . . . . . . . . . 163( `/ r3 E0 s7 s' C y' T
3.5 MTM Basics for Listed Capital Markets Products. . . . . . . . . . . . . 1656 z; L; w: t. T
4 Regulatory Regime and Some Policies in Focus . . . . . . . . . . . . . . . . 167
9 Q& h4 ~; Z/ r9 p% J- E4 s4.1 Central Bank Objectives and Its Balance Sheet Analysis . . . . . . . . 167
0 g: A+ _$ W1 p: S4.2 Foreign Exchange Trading Regulation and Mid Pricing
3 p* o S+ u# v& [; z3 jGuideline . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 170
7 q: K/ K0 X0 J, m4.3 Leverage Regulatory Requirement . . . . . . . . . . . . . . . . . . . . . . . . 1715 V M4 \$ C4 }/ Q i- e
4.4 ABS and Its Related Regulation . . . . . . . . . . . . . . . . . . . . . . . . . 1713 }, z- V' |) A4 X5 W3 |
4.5 Currency Account and Capital Account Market Liberalization. . . . 1728 Y- r- }9 A& ?, s f. a4 Z6 c! P- k1 Y
4.6 CFETS (China Foreign Exchange Trade System) . . . . . . . . . . . . . 1741 W- q4 A) G: Q) B% q& x; f% m
4.7 China Banking Regulatory Commission and Interbank
9 p+ q) h: |$ H( r1 j1 ~+ jMarket . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 175
+ {% p1 |; n# V: F' Y2 n1 I4.8 China Securities Regulatory Commission and Exchange+ P& d N9 i& e) V& v8 x
Markets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 175
0 i& l& j) u: Q1 e5 Market Participants . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 177$ _( [! S0 V1 x+ b' R0 Y
5.1 Fixed Income Institution Players, Market Making
+ Y1 h+ |: c& i8 P- [ t8 X$ N/ jParticipation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1773 _( b' O' p, R& G/ b; y
5.1.1 Interbank Money Market Activities by Bank Types . . . . . 179
( W1 n- [( ]% {0 Y M. U0 s5.1.2 Banks 3-Tiered Banking Systems in Details . . . . . . . . . . 184+ ]( G" [% j3 \
5.1.3 Mutual Funds, Tax Policy and Carry Advantage . . . . . . . 200* }* W3 C) ~" K" g
5.1.4 Insurers and Long Investment Horizon . . . . . . . . . . . . . . 205: u- R" V$ {4 X
5.1.5 Foreign Financial Institutions . . . . . . . . . . . . . . . . . . . . . 2145 F, K: w8 q& U0 a | i
5.1.6 Private Equities, a Growing Presence . . . . . . . . . . . . . . . 220
$ S* f( g3 R! z# U% d; }( P4 @0 v5.1.7 Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 221
7 Q6 H( Z N" F5.1.8 Securities Firms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 228! d' t- A0 r3 a" ?5 A, G$ [
5.2 FX Trading Players . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 230
1 N/ h( t7 K0 W; _& f; x6 @# {4 A
8 T3 \2 ]/ k8 _/ M+ J, o5 q1 ^6 China, International Trade and Global Supply Chain . . . . . . . . . . . 233/ A5 u7 D: F3 H* E
6.1 Major International Supply Chains. . . . . . . . . . . . . . . . . . . . . . . . 233% x% b6 v: O; ~9 X1 |$ r# n0 q8 J' G7 M
6.2 Electronics and Electric Supply Chains . . . . . . . . . . . . . . . . . . . . 234( n9 x! L. T9 F. a$ e
6.3 Automotive Supply Chain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2420 g5 E- V, X9 a/ y5 R& Y& m! E
6.4 Chemicals and Pharmaceutical Manufacturing . . . . . . . . . . . . . . . 2491 m4 q) Q* C9 y& m0 g
6.5 Apparel Sector . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 257
" ]* m* E! w; P6.6 Agricultural Sector . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 258
1 o9 S1 J0 g# r1 \- B6 _7 Portfolio Objectives and Trading and Investment Strategies . . . . . . 263
' F9 E5 o" y1 p7.1 Onshore CNY Liquidity Portfolio Management Objectives . . . . . . 263- ]: P5 Q( B, K1 ?9 v/ U
7.1.1 Asset Liability Management (ALM) . . . . . . . . . . . . . . . . 264, W* `2 r9 y) u+ C6 ~2 E1 W: V- s
7.1.2 Reserve Management . . . . . . . . . . . . . . . . . . . . . . . . . . . 265
# g* c U2 A4 N' w U7.1.3 Diversification on Maturity and Counterparty. . . . . . . . . . 265- i1 `5 ^7 }. u$ c7 ?
7.1.4 Support for Central Open Market Operations . . . . . . . . . . 266% k* W& w0 Z0 N" N7 J4 a2 ?
7.2 Offshore FX Liquidity Portfolio Management Strategy4 @0 O7 g5 Y' n
Objectives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 266$ z3 O) g- c- Q9 t. g! P
7.2.1 Funding Cost, Return Rate and Liquidity . . . . . . . . . . . . 266
+ f9 }, `; S' ^+ Z1 W) w- ?7.2.2 SAFE Limit, Cross Border Flow and CNH Liquidity
/ b7 O% ~4 X' {* E' P/ @Condition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 267
7 S; ]' w) ]7 V. h6 v1 |3 w7.3 Trading Accounts FX MTM and Strategies . . . . . . . . . . . . . . . . . 2673 W! S6 ~# S5 ^
7.3.1 FX Strategies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 267
/ i6 V+ m2 O0 f1 c# v7.3.2 Trade-Financed CNY CNH Interest Rate Arbitrage . . . . . 279( a7 t9 Z Z' E( @$ Q' \
7.3.3 Cross-rate Split Strategies . . . . . . . . . . . . . . . . . . . . . . . . 281
9 J8 `3 V) O- R! q6 _! f! `8 c5 A7.4 Trading Accounts Bond Strategies . . . . . . . . . . . . . . . . . . . . . . . . 282
4 H9 g3 W6 j: q% G+ H3 s" k: `7.4.1 Trading Mechanism . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2838 |1 [4 r! K% o$ Q) d/ C
7.4.2 Rate View from Global Perspective. . . . . . . . . . . . . . . . . 2852 g: }2 t/ I$ j7 {/ }
7.4.3 Rate View from Domestic Perspective. . . . . . . . . . . . . . . 2916 ~9 e6 v( _8 U0 X- R* D% q
7.5 Bond Future Net Basis Strategy and Negative Implied
- j- `, T# Z: W! ^$ RRepo Rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 312, c4 q6 h% ^1 k# w# h
7.5.1 Net Basis Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 312
7 F. p' y* z7 h" x4 _, Q/ v7.5.2 CTD Conversion Strategy . . . . . . . . . . . . . . . . . . . . . . . . 313
6 E! W) a1 Q5 g& l7.5.3 On-the-run, Existing Issuance and Tax Spread . . . . . . . . . 313" [( G( L0 a4 }3 J6 a& c3 X7 e
7.5.4 Domestic Market’s Short Sale Implication . . . . . . . . . . . . 314% H, T7 y0 T' @# P& h
7.6 Investment Accounts Objectives and Strategies . . . . . . . . . . . . . . 3149 d. P5 Q4 I5 w
7.6.1 Some Basics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 314# \: y9 O' j* w5 L$ A
7.6.2 Garden Variety of Portfolio Objectives and Investment
6 D+ X* t3 I1 ~( _* L" cStrategies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 315
& [8 m, y# y, s+ T7 d7.6.3 Insurance Companies’ Long End ALM Strategies . . . . . . 318. F; h7 s5 v4 p9 n) l
7.6.4 Mutual Fund Investment, a Mixed Asset Pool
. O' s, |/ B) R8 y8 _& _/ }: cto Start With . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 320% h/ O" A* }" v- M& C
7.6.5 Foreign Banks’ Short Duration and Carry Trade . . . . . . . 320
: U& Z+ ^- l2 `6 E7.6.6 Off-balance Sheet Wealth Investment, a 3 Trillion$ V% ^6 {/ S* Y/ T! `& j+ K [ s
USD and Still Growing Sector . . . . . . . . . . . . . . . . . . . . 320
1 w0 `- A7 G- x F. K2 y% p8 Z# V8 m0 ]+ b- G7 g
7.6.7 Trust-Based High Yield Regulatory Arbitrage Strategy,
% a& O* G3 S3 |* w9 Aa Substantial Sector with Limited Potential . . . . . . . . . . . 323/ R3 ^. V8 O& T6 ^
7.6.8 Asset-Backed Securities Investment, Regulatory
! P3 X9 V4 ^" l& @; }. cCapital Advantage, Risk Diversification,
, i. n- M3 | W! Sand Yield Enhancement . . . . . . . . . . . . . . . . . . . . . . . . . 324
2 O) G# O. k+ g0 J @7.6.9 Convertible Strategy and Callable Implications . . . . . . . . 3249 h9 l# ? l- U" C8 J4 m1 D
7.7 Trading and Investment in Gold . . . . . . . . . . . . . . . . . . . . . . . . . 325
0 u% X$ y( g/ e B# U+ z7.7.1 Physical Gold Segment . . . . . . . . . . . . . . . . . . . . . . . . . 325
& H' m) K% J6 Y. \( a7.7.2 Deferred Delivery Gold . . . . . . . . . . . . . . . . . . . . . . . . . 327
* X! ~, d T" Z/ F8 Risk Management Practice . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 329; \: S3 P& N/ k; P
8.1 Trading Accounts Limits Allocation . . . . . . . . . . . . . . . . . . . . . . 331
4 ?! X5 K. J% Q# ^7 |. S8.2 Investment Accounts Risk Allocation Practice . . . . . . . . . . . . . . . 331
0 J( b. M( o6 y* T$ H- Y: |! }, o" X' F: R
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