Nomura Model Expects USD/CNY Fixing at 6.7392

Overview

This report is an update to Nomura's Asia ex-Japan FX strategy USD/CNY fixed exchange rate model, with the core output being a model forecast for the next trading day's yuan fixing. The report provides forecast values, countercyclical-factor-adjusted results, and chart titles for recent model errors and daily fixing changes, but does not provide detailed driver-decomposition figures that can be reconstructed.

Core views

The baseline model forecasts USD/CNY at 6.7392, materially lower than the prior forecast of 6.7878. After incorporating the countercyclical factor, the forecast is 6.7587, above the unadjusted model value, indicating that the countercyclical adjustment partly offsets the magnitude of USD/CNY downside.

Analysis framework

The report uses a fixed exchange rate model to forecast the USD/CNY fixing and presents results both excluding and including the countercyclical factor; overnight factor contributions, recent model errors, and daily fixing changes are also used as a supplementary monitoring framework.

Methodology notes

• Quantitative ModelUSD/CNY Fixed Exchange Rate Model

  Baseline Fixing Forecast

  Uses a model to generate a USD/CNY fixing forecast and compares it with the prior model forecast and the official spot closing price.

• Policy AdjustmentCountercyclical Factor Adjustment

  Adjusted Fixing Forecast

  Incorporates the countercyclical factor into the baseline model to produce an adjusted forecast of 6.7587, used to assess the impact of policy-related adjustments on the model result.

Asset mapping & comparison

Structured mapping from thesis to named assets (strengths, weaknesses, peers, risks).

• USD/CNY

  The FX currency pair directly covered by the report

  Strengths

  The baseline model provides a clear forecast of 6.7392 and includes a countercyclical adjustment scenario.

  Weaknesses

  The provided content does not disclose full factor weights, overnight contribution details, or model-error figures.

  Comparison

  The baseline forecast is 486 basis points below the previous model forecast of 6.7878; the countercyclical-adjusted forecast is 6.7587.

  Risks

  The actual fixing may deviate from the forecast due to policy operations, market risk appetite, and factors not covered by the model.

Key data

• USD/CNY Baseline Model Forecast6.7392486 basis points below the previous model forecast of 6.7878.
• Previous Model Forecast6.7878Used as the comparison benchmark for this model revision.
• Relative to Previous Official Spot Closing Price29 basis points lowerThe difference disclosed in the report between the baseline model forecast and the previous official spot closing price.
• Model Forecast Including Countercyclical Factor6.7587291 basis points below the previous fixing.

Impact & implications

If the actual fixing is close to the baseline model forecast, the market will receive a short-term signal of USD/CNY downside and relative yuan strength. The higher forecast after countercyclical adjustment suggests that policy factors may reduce the extent of USD/CNY downside indicated by the pure market model.

Risks

• The fixed exchange rate model is based on simplified assumptions, and historical fit or simulated results do not represent future performance.
• The specification of the countercyclical factor and policy implementation may alter the degree of divergence between the fixing and the market model.
• The report does not provide complete driving factors or chart figures, making it impossible to quantify the independent contribution of each overnight factor.
• The FX market may be rapidly affected by regulatory changes, risk appetite, liquidity, and shifts in supply and demand.

What to watch

• Deviation of the actual USD/CNY fixing from the 6.7392 baseline forecast and the 6.7587 countercyclical-adjusted forecast.
• Changes in the spread between the fixing and the spot market price.
• People's Bank of China Monetary Policy Committee meeting.
• President Xi Jinping's visit to the United States on September 24, 2026, and its potential impact on market risk appetite.
• Liquidity and pricing changes around China's National Day holiday from October 1 to 7, 2026.