Rec USDCNH 3m fwd, Pay USDCNH 1y fwd
Last: 850 pts
Flat carry until 3m rolls off (calculated as pts/day from both 1y and 3m legs)
Could be an interesting, carry-efficient China hedge, with fwd curve in USDCNH flattening to 2015 tights, if taking a defensive view in light of recent fall in Chinese Credit impulse, LKQ index (composite of rail freight, electricity consumption, loan volume) and fall in PMI. Fall in PMI although seasonally attributed to CNY effects, - still something to consider with broader move lower in Chinese macro data.