A headline spread was not a risk-free arbitrage

the roughly 215–235 basis-point static spread between offshore RMB funding and two- to five-year Treasuries appeared attractive, but an RMB appreciation of more than 3% could erase the return of an insufficiently hedged carry trade.

Research review

the USD/RMB central parity moved to around 6.72 in October, an RMB appreciation from the roughly 7.17 level cited in the paper that exceeded the headline carry, confirming that currency hedging and horizon matching were central to the trade.

Selected from research written in April 2026, with review through October 2026. These selected perspectives do not represent a complete forecast record or investment performance. Views may change and do not constitute investment advice.