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CNY Fixing Firmer, But Not Strong Enough?

CNH

The USD/CNY fixing came in above 6.9000, the first such occurrence in 2 years. It printed at 6.9096, versus a Bloomberg consensus of 6.9253.

  • Today's fix continues the recent trend of stronger than expected outcomes, -157pips in USD/CNY terms today, although it doesn't show a more aggressive stance compared to last week.
  • The rolling 5-day sum of the error term is now at -806pips, compared with -898pips yesterday. This is the first time since late August this metric hasn't widened.
  • This, coupled with the fact we haven't seen fresh wides in the daily fixing error term (i.e. not beyond the -249pips surprise from last week), has seen USD/CNH push back above 6.9400 post the fixing.
  • The market may have been looking for a stronger push back, particularly after yesterday's FX reserve cut. If we had of seen a fixing below 6.9000 this would have driven the error term to fresh wides for the day, that is, beyond -250pips.

Fig 1: USD/CNY Fixing Error Term Up Slightly From Recent Wides

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The USD/CNY fixing came in above 6.9000, the first such occurrence in 2 years. It printed at 6.9096, versus a Bloomberg consensus of 6.9253.

  • Today's fix continues the recent trend of stronger than expected outcomes, -157pips in USD/CNY terms today, although it doesn't show a more aggressive stance compared to last week.
  • The rolling 5-day sum of the error term is now at -806pips, compared with -898pips yesterday. This is the first time since late August this metric hasn't widened.
  • This, coupled with the fact we haven't seen fresh wides in the daily fixing error term (i.e. not beyond the -249pips surprise from last week), has seen USD/CNH push back above 6.9400 post the fixing.
  • The market may have been looking for a stronger push back, particularly after yesterday's FX reserve cut. If we had of seen a fixing below 6.9000 this would have driven the error term to fresh wides for the day, that is, beyond -250pips.

Fig 1: USD/CNY Fixing Error Term Up Slightly From Recent Wides

Keep reading...Show less