{ "generated_at": "2026-06-05 20:50:43", "generated_at_utc": "2026-06-05 20:50:43 UTC", "generated_at_et": "2026-06-05 16:50 EDT", "snapshot": { "date": "2026-06-05", "usdcny": "6.77", "usdcnh": "6.79", "pboc_fix": "6.77", "us_2y": "4.05", "cn_2y": "1.24", "dxy": "99.41", "raw_carry": "2.81", "carry_pct_rank": "97", "carry_pct_rank_2y": "81", "shibor_1y": "1.46", "us_1y": "N/A", "mm_spread": "N/A", "usdcny_fwd_1y": "6.60", "hedged_carry_proxy": "-0.11", "hedged_carry_pct_rank": "1", "hedged_carry_method": "market_1y_us2y_subst", "cnh_hibor_1y": "1.66", "cnh_hibor_3m": "1.57", "cnh_hibor_on": "1.24", "cnh_funding_stress": "0.21", "cnh_stress_pct_rank": "8", "hedged_carry_offshore": "-0.31", "cip_deviation": "-0.38", "reg_residual": "-0.10", "reg_residual_uni": "-0.11", "reg_beta_spread": "-0.252", "reg_beta_dxy": "-0.0125", "reg_r2": "0.210", "reg_residual_z": "0.13", "alpha_cny_dxy": "-0.023", "expected_fix": "6.7778", "fixing_bias": "-0.00", "fixing_bias_raw": "-0.00", "bias_20d_mean": "-0.05", "defense_intensity": "N/A", "composite_score": "64" }, "decision": { "carry_verdict": { "verdict": "marginal", "headline_en": "PROXY MARGINAL — small loss of 0.31% per year", "headline_zh": "代理口径边缘亏损 — 对冲后亏 0.31%/年", "chain": [ [ "Borrow CNY at CNH HIBOR 1Y", "借入 CNY · CNH HIBOR 1 年", "1.66%", "funding cost", "融资成本" ], [ "Convert USD at spot", "按即期价换成 USD", "6.7700", "USD/CNY", "USD/CNY" ], [ "Invest in USD leg (UST 2Y proxy)", "美元腿收益（美债 2 年替代）", "4.05%", "proxy USD yield", "代理美元收益" ], [ "Lock 1Y forward to close", "1 年远期锁汇平仓", "6.6000", "USD/CNY", "USD/CNY" ], [ "NET after hedge", "对冲后净收益", "-0.31%/yr", "offshore (CNH HIBOR)", "离岸口径 (CNH HIBOR)" ] ], "reasoning_en": "Proxy verdict: the US 1Y yield is unavailable in this build, so US 2Y is substituted for the USD leg. Result sits inside the typical bid-offer / financing-spread band. Execution slippage will likely consume any apparent edge — treat as no-go for retail-sized positions.", "reasoning_zh": "代理口径：本次构建缺少美债 1 年收益率，因此美元腿使用美债 2 年替代。结果落在常见的买卖价差与融资点差带内。下单滑点很可能吃掉这点收益 ——零售规模下视同不可做。", "method": "offshore (CNH HIBOR)", "is_theoretical": false, "is_proxy": true, "simulation": { "notional_cny": 1000000.0, "spot": 6.77, "fwd_1y": 6.6, "rUS_pct": 4.05, "rUS_source": "US 2Y (substituted)", "rCN_pct": 1.66, "rCN_source": "CNH HIBOR 1Y", "usd_at_t0": 147710.0, "usd_at_t1": 153693.0, "cny_back": 1014372.0, "cny_owed": 1016600.0, "pnl_cny": -2228.0, "pnl_pct": -0.223 } }, "policy_stance": { "stance": "leaning_weak", "label_en": "MILD TILT TO WEAKNESS", "label_zh": "轻度允许走弱", "signals": [ [ "Fixing bias (DXY-adj.)", "中间价偏离 (剔除 DXY)", "-0 pips", "neutral" ], [ "CNH funding stress", "CNH 离岸资金紧张度", "+0.21%", "neutral" ], [ "Onshore / Offshore basis", "在岸 / 离岸价差", "+0.0159", "weaken" ] ], "reading_en": "One signal mildly tilts toward tolerating a weaker CNY. Not yet a clear policy direction.", "reading_zh": "一条信号轻度倾向容忍人民币走弱。尚未形成明确的政策方向。", "bias_pctile": 92.0 } }, "cross_checks": [ { "name_en": "Hedged carry math identity", "name_zh": "对冲后回报数学恒等式", "status": "pass", "detail": "on − off = +0.200%, expected ≈ stress +0.210%, |delta| = 0.0100% (< 0.05% ⇒ pass)" }, { "name_en": "On/Off basis range", "name_zh": "在岸/离岸价差范围", "status": "pass", "detail": "|CNY − CNH| / CNY = 0.295% (typically < 1%; spike ⇒ liquidity event)" }, { "name_en": "PBOC fix vs spot", "name_zh": "中间价 vs 即期", "status": "pass", "detail": "|fix − spot| / spot = 0.000% (PBOC band is ±2%)" }, { "name_en": "DXY day-over-day move", "name_zh": "DXY 日内变动", "status": "pass", "detail": "|Δ DXY| = 0.000% (alarm if > 5%)" }, { "name_en": "CNH HIBOR vs Shibor spread", "name_zh": "CNH HIBOR 与 Shibor 价差", "status": "pass", "detail": "spread = +0.200% (typical range −1.5% to +6%)" }, { "name_en": "CN 2Y in plausible range", "name_zh": "中国 2 年国债利率合理性", "status": "pass", "detail": "cn_2y = 1.240% (expected 0.3–5%)" }, { "name_en": "US 2Y in plausible range", "name_zh": "美国 2 年国债利率合理性", "status": "pass", "detail": "us_2y = 4.050% (expected 0.5–8%)" }, { "name_en": "Composite score bounds", "name_zh": "综合分数边界 [0,100]", "status": "pass", "detail": "composite_score = 64.0 (must be 0–100)" }, { "name_en": "CIP deviation magnitude", "name_zh": "CIP 偏离量级", "status": "pass", "detail": "|cip_dev| / spot = 5.61% (typical < 10%; > 15% suggests data error)" } ], "backtest": { "dates": [ "2024-06-05", "2024-06-06", "2024-06-07", "2024-06-10", "2024-06-11", "2024-06-12", "2024-06-13", "2024-06-14", "2024-06-17", "2024-06-18", "2024-06-19", "2024-06-20", "2024-06-21", "2024-06-24", "2024-06-25", "2024-06-26", "2024-06-27", "2024-06-28", "2024-07-01", "2024-07-02", "2024-07-03", "2024-07-04", "2024-07-05", "2024-07-08", "2024-07-09", "2024-07-10", "2024-07-11", "2024-07-12", "2024-07-15", "2024-07-16", "2024-07-17", "2024-07-18", "2024-07-19", "2024-07-22", "2024-07-23", "2024-07-24", 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