The FT report the renminbi (CNH) based overnight Hong Kong interbank offer rate, or Hibor, jumped 939 basis points - the biggest daily move ever, according to Bloomberg - to 13.4 per cent, the highest since it was launched in June 2013

That's via FastFT


  • CNH Hibor is set each day by quotes from banks in HK authorised to submit rates
  • The jump today reflects the tight liquidity for the CNH (the 'offshore' yuan)
  • CNH deposits in Hong Kong have declined for four straight months through November (the latest available data) which reduces CNH liquidity

Fast FT explain the mechanism by which CNH liquidity is being reduced:

CNY/CNH weakness incentivises foreign importers to use renminbi to pay for Chinese exporters as a way to offload unwanted CNH. That results in offshore renminbi flowing back onshore, reducing offshore deposits

In addition, apparent People's Bank of China intervention in the Hong Kong to strengthen CNH and narrow the CNY/CNH gap - which struck a five-year high last week - has the effect of tightening liquidity, since it involves the PBoC buying CNH via large Chinese commercial banks.
CNH weakened 1.7 per cent last week

Great info from FastFT