2025年8月银行间外汇市场运行报告

Summary of Key Points Core Viewpoint The foreign exchange market in August 2025 showed stable trading conditions, with a slight year-on-year decline in average daily trading volume. The US dollar index weakened, while the Chinese yuan accelerated its appreciation. The domestic foreign exchange differential turned positive, indicating strong selling pressure towards the end of the month. The options market reflected a rising short-term appreciation expectation for the yuan, and the narrowing of the US-China interest rate differential led to a significant increase in long-term swap points. Group 1: Foreign Exchange Market Performance - The average daily trading volume in the interbank foreign exchange market was $191.86 billion, a year-on-year decrease of 1.3% and a month-on-month decrease of 7.1% [2] - The average daily trading volume for the yuan was $136.03 billion, down 9.3% year-on-year and 7.7% month-on-month [2] Group 2: US Dollar and Yuan Exchange Rates - The US dollar index fell from around 100.25 to 98.72, closing at 97.7710, marking a 2.29% depreciation for the month [3] - The yuan's central parity rate appreciated significantly, reaching 7.1030 by the end of the month, the highest since November 2024, with an onshore yuan closing at 7.1330, appreciating 0.83% for the month [4] Group 3: Foreign Exchange Differential - The domestic foreign exchange differential shifted from negative to positive, with the average differential for the month at -28 basis points, and the maximum differential recorded at -97 basis points [5] - The onshore yuan appreciated by 1.02% against the offshore yuan by the end of the month [5] Group 4: Options Market Activity - The average daily trading volume in the yuan foreign exchange options market was $5.83 billion, down 22.5% month-on-month [6] - The implied volatility for the yuan showed signs of rising short-term appreciation expectations, with the 1-month ATM implied volatility rebounding to 2.86% by month-end [6] Group 5: Interest Rate Differentials and Swap Points - The 10-year US Treasury yield decreased to 4.23%, leading to a narrowing of the US-China interest rate differential to -239 basis points, a reduction of 32 basis points from the previous month [7] - The 1-year swap points rose significantly to -1583 basis points, marking a 232 basis point increase, the highest since March 2023 [8] Group 6: Dollar Liquidity and Interest Rates - The dollar liquidity remained loose, with the SOFR fluctuating around 4.34% throughout the month [9] - The domestic dollar borrowing rates showed a slight upward trend, with the overnight borrowing rate ending at 4.28% [10]