【资料名称】:Xiaojiang Zhang - Capital Markets Trading and Investment Strategies in China 
【资料描述】:
Capital Markets Trading and Investment Strategies in China A Practitioner's Guide 336页
Contents
1 Building Blocks of an Investment Portfolio . . . . . . . . . . . . . . . . . . . . 1
1.1 Foreign Exchange Instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.1.1 Onshore CNY FX Instruments . . . . . . . . . . . . . . . . . . . . 1
1.1.2 Offshore CNY/CNH FX Instruments . . . . . . . . . . . . . . . . 19
1.2 Traded Money Market Instruments . . . . . . . . . . . . . . . . . . . . . . . 20
1.2.1 Onshore CNY Market . . . . . . . . . . . . . . . . . . . . . . . . . . 20
1.2.2 Offshore Money Market Management . . . . . . . . . . . . . . . 36
1.3 Fixed Income Instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
1.3.1 Instruments Types . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
1.3.2 Instruments by Cashflow Structures . . . . . . . . . . . . . . . . . 62
1.3.3 The Market Place . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
1.4 Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
1.4.1 Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
1.4.2 Bond Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
1.5 Gold Contract on Shanghai Gold Exchange . . . . . . . . . . . . . . . . . 89
1.5.1 Physical Gold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89
1.5.2 Deferred Delivery Gold . . . . . . . . . . . . . . . . . . . . . . . . . 90
2 Macro Economics, Monetary Cycle, Industry Cycle, Monetary
Condition, Supply and Demand . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93
2.1 Traditional Macro Cycle Indicators . . . . . . . . . . . . . . . . . . . . . . . 93
2.1.1 GDP and Growth Contribution . . . . . . . . . . . . . . . . . . . . 93
2.1.2 Electricity Generation and Industrial Growth . . . . . . . . . . 94
2.1.3 Pork and Copper Price as Growth Indicators . . . . . . . . . . 94
2.1.4 Export Dependency and Market Distribution . . . . . . . . . . 96
2.2 Real Estate Cycle Specificities . . . . . . . . . . . . . . . . . . . . . . . . . . . 99
2.2.1 New Construction, Sales and Existing Inventory . . . . . . . 99
2.2.2 Real Estate Dependency . . . . . . . . . . . . . . . . . . . . . . . . . 101
2.3 Government-Driven Investment . . . . . . . . . . . . . . . . . . . . . . . . . . 103
2.3.1 Government Spending and Its History . . . . . . . . . . . . . . . 103
2.3.2 Budgetary Deficit Constraint . . . . . . . . . . . . . . . . . . . . . . 105
2.4 USD Cycle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107
2.4.1 Global Monetary Condition and Funding Cost . . . . . . . . . 107
2.4.2 Exchange Rate Fluctuation and Its Impact
on Commerce . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
2.5 Industrial Cyclical Specificities . . . . . . . . . . . . . . . . . . . . . . . . . . 110
2.5.1 Industry Classification . . . . . . . . . . . . . . . . . . . . . . . . . . 110
2.5.2 State-Owned Versus Private-Owned . . . . . . . . . . . . . . . . 121
2.5.3 Cycle and Seasonal Patterns . . . . . . . . . . . . . . . . . . . . . . 123
2.6 Monetary Cycle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125
2.6.1 Quantity Versus Price Target . . . . . . . . . . . . . . . . . . . . . 125
2.6.2 Quantity Target, M1, M2, and Total Social
Financing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126
2.6.3 Regional Distribution of Aggregated Social
Financing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 131
2.6.4 A Distribution Perspective from Financial
Intermediary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136
2.6.5 Price Target, 10 Year Bond Yield and 7D
Repo Rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 139
3 Applied Pricing Curve in the Market and Term Structures . . . . . . . 141
3.1 Curves and Term Structures . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141
3.1.1 FX Curve and FX Swap Points . . . . . . . . . . . . . . . . . . . . 141
3.1.2 Money Market Curves Across Different MM
Segments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 142
3.1.3 Government Bonds and Interest Rate Term
Structure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 146
3.1.4 Central Bank Bill Curve . . . . . . . . . . . . . . . . . . . . . . . . . 147
3.1.5 Tax Spread Curve and Policy Bank Bonds . . . . . . . . . . . 148
3.1.6 Credit Curve by Rating and Industry . . . . . . . . . . . . . . . . 148
3.1.7 Bond Future IRR, Contract Spread and Roll-Over . . . . . . 150
3.2 In-depth Factors Driving Onshore FX and Money Market
Curves . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 151
3.3 Monetary Policy-Driven Supply Policy Factors . . . . . . . . . . . . . . 153
3.3.1 Deposit Reserve Ratio . . . . . . . . . . . . . . . . . . . . . . . . . . 153
3.3.2 Open Market Operation . . . . . . . . . . . . . . . . . . . . . . . . . 153
3.3.3 Discount Window . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 154
3.3.4 Short-Term Liquidity Operations . . . . . . . . . . . . . . . . . . . 154
3.3.5 Standing Lending Facility . . . . . . . . . . . . . . . . . . . . . . . . 154
3.3.6 Mid-term Lending Facility . . . . . . . . . . . . . . . . . . . . . . . 155
3.3.7 Pledged Supplementary Lending . . . . . . . . . . . . . . . . . . . 155
3.3.8 Non-monetary Policy-Driven Supply Factors . . . . . . . . . . 155
3.3.9 Structural Factors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157
3.3.10 Seasonal Issues and Market Expectation . . . . . . . . . . . . . 159
3.4 In-depth Factors Driving Fixed Income Portfolio Return
and Risk Curve Parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159
3.4.1 Cross-Border Monetary Flow and Pricing
Transmission . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159
3.4.2 Domestic Monetary Supply . . . . . . . . . . . . . . . . . . . . . . 160
3.4.3 Product Supply and Demand . . . . . . . . . . . . . . . . . . . . . 160
3.4.4 Tax Consideration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 161
3.4.5 Cost of Funds and Risk Appetite . . . . . . . . . . . . . . . . . . 162
3.4.6 Credit Allocation Limits and Industry Policy Issued
by Government . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163
3.4.7 Bond Future Net Basis, Implied Repo Rate
and Cheapest-to-Deliver Optionality . . . . . . . . . . . . . . . . 163
3.5 MTM Basics for Listed Capital Markets Products. . . . . . . . . . . . . 165
4 Regulatory Regime and Some Policies in Focus . . . . . . . . . . . . . . . . 167
4.1 Central Bank Objectives and Its Balance Sheet Analysis . . . . . . . . 167
4.2 Foreign Exchange Trading Regulation and Mid Pricing
Guideline . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 170
4.3 Leverage Regulatory Requirement . . . . . . . . . . . . . . . . . . . . . . . . 171
4.4 ABS and Its Related Regulation . . . . . . . . . . . . . . . . . . . . . . . . . 171
4.5 Currency Account and Capital Account Market Liberalization. . . . 172
4.6 CFETS (China Foreign Exchange Trade System) . . . . . . . . . . . . . 174
4.7 China Banking Regulatory Commission and Interbank
Market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 175
4.8 China Securities Regulatory Commission and Exchange
Markets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 175
5 Market Participants . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 177
5.1 Fixed Income Institution Players, Market Making
Participation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 177
5.1.1 Interbank Money Market Activities by Bank Types . . . . . 179
5.1.2 Banks 3-Tiered Banking Systems in Details . . . . . . . . . . 184
5.1.3 Mutual Funds, Tax Policy and Carry Advantage . . . . . . . 200
5.1.4 Insurers and Long Investment Horizon . . . . . . . . . . . . . . 205
5.1.5 Foreign Financial Institutions . . . . . . . . . . . . . . . . . . . . . 214
5.1.6 Private Equities, a Growing Presence . . . . . . . . . . . . . . . 220
5.1.7 Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 221
5.1.8 Securities Firms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 228
5.2 FX Trading Players . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 230
6 China, International Trade and Global Supply Chain . . . . . . . . . . . 233
6.1 Major International Supply Chains. . . . . . . . . . . . . . . . . . . . . . . . 233
6.2 Electronics and Electric Supply Chains . . . . . . . . . . . . . . . . . . . . 234
6.3 Automotive Supply Chain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 242
6.4 Chemicals and Pharmaceutical Manufacturing . . . . . . . . . . . . . . . 249
6.5 Apparel Sector . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 257
6.6 Agricultural Sector . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 258
7 Portfolio Objectives and Trading and Investment Strategies . . . . . . 263
7.1 Onshore CNY Liquidity Portfolio Management Objectives . . . . . . 263
7.1.1 Asset Liability Management (ALM) . . . . . . . . . . . . . . . . 264
7.1.2 Reserve Management . . . . . . . . . . . . . . . . . . . . . . . . . . . 265
7.1.3 Diversification on Maturity and Counterparty. . . . . . . . . . 265
7.1.4 Support for Central Open Market Operations . . . . . . . . . . 266
7.2 Offshore FX Liquidity Portfolio Management Strategy
Objectives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 266
7.2.1 Funding Cost, Return Rate and Liquidity . . . . . . . . . . . . 266
7.2.2 SAFE Limit, Cross Border Flow and CNH Liquidity
Condition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 267
7.3 Trading Accounts FX MTM and Strategies . . . . . . . . . . . . . . . . . 267
7.3.1 FX Strategies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 267
7.3.2 Trade-Financed CNY CNH Interest Rate Arbitrage . . . . . 279
7.3.3 Cross-rate Split Strategies . . . . . . . . . . . . . . . . . . . . . . . . 281
7.4 Trading Accounts Bond Strategies . . . . . . . . . . . . . . . . . . . . . . . . 282
7.4.1 Trading Mechanism . . . . . . . . . . . . . . . . . . . . . . . . . . . . 283
7.4.2 Rate View from Global Perspective. . . . . . . . . . . . . . . . . 285
7.4.3 Rate View from Domestic Perspective. . . . . . . . . . . . . . . 291
7.5 Bond Future Net Basis Strategy and Negative Implied
Repo Rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 312
7.5.1 Net Basis Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 312
7.5.2 CTD Conversion Strategy . . . . . . . . . . . . . . . . . . . . . . . . 313
7.5.3 On-the-run, Existing Issuance and Tax Spread . . . . . . . . . 313
7.5.4 Domestic Market’s Short Sale Implication . . . . . . . . . . . . 314
7.6 Investment Accounts Objectives and Strategies . . . . . . . . . . . . . . 314
7.6.1 Some Basics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 314
7.6.2 Garden Variety of Portfolio Objectives and Investment
Strategies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 315
7.6.3 Insurance Companies’ Long End ALM Strategies . . . . . . 318
7.6.4 Mutual Fund Investment, a Mixed Asset Pool
to Start With . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 320
7.6.5 Foreign Banks’ Short Duration and Carry Trade . . . . . . . 320
7.6.6 Off-balance Sheet Wealth Investment, a 3 Trillion
USD and Still Growing Sector . . . . . . . . . . . . . . . . . . . . 320
7.6.7 Trust-Based High Yield Regulatory Arbitrage Strategy,
a Substantial Sector with Limited Potential . . . . . . . . . . . 323
7.6.8 Asset-Backed Securities Investment, Regulatory
Capital Advantage, Risk Diversification,
and Yield Enhancement . . . . . . . . . . . . . . . . . . . . . . . . . 324
7.6.9 Convertible Strategy and Callable Implications . . . . . . . . 324
7.7 Trading and Investment in Gold . . . . . . . . . . . . . . . . . . . . . . . . . 325
7.7.1 Physical Gold Segment . . . . . . . . . . . . . . . . . . . . . . . . . 325
7.7.2 Deferred Delivery Gold . . . . . . . . . . . . . . . . . . . . . . . . . 327
8 Risk Management Practice . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 329
8.1 Trading Accounts Limits Allocation . . . . . . . . . . . . . . . . . . . . . . 331
8.2 Investment Accounts Risk Allocation Practice . . . . . . . . . . . . . . . 331
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