Group 1 - The interbank foreign exchange market showed stable trading with a slight month-on-month increase in daily average trading volume, reaching $192.26 billion, although it experienced a year-on-year decline of 4.4% [2] - The daily average trading volume for the RMB foreign exchange market was $143.50 billion, down 7.7% year-on-year but up 5.5% month-on-month, primarily due to a decrease in spot volatility leading to subdued spot trading [2] Group 2 - The US dollar index rebounded after hitting a year-low of 96.22, influenced by a hawkish tone from the Federal Reserve despite a 25 basis point rate cut [3] - By the end of September, the dollar index closed at 97.7750, remaining stable compared to the previous month [3] Group 3 - The RMB exchange rate reached a new high for the year at 7.1019 before slightly retreating, closing at 7.1186 at the end of the month, reflecting a 0.17% appreciation for the month [4] - The CFETS RMB index against a basket of currencies reported an appreciation of 0.21% compared to the previous month [4] Group 4 - The domestic foreign exchange differential shifted from positive to negative, with an average daily differential of -4 basis points for the month, indicating a stronger selling pressure in the first half of the month [5] - The maximum differential recorded was -97 basis points on the 26th, marking the largest differential for the month [5] Group 5 - The implied volatility of RMB foreign exchange options continued to decline, with the 1-month ATM implied volatility dropping to 2.3%, the lowest since August 2024 [6] - The overall market sentiment regarding the RMB exchange rate has warmed, contributing to the decrease in volatility [6] Group 6 - The trading volume of RMB foreign exchange swaps was active, with a daily average of $93.20 billion, up 8.9% month-on-month, driven mainly by state-owned banks [7] - The 1-year swap points reached a new high in two and a half years at -1322 basis points, reflecting a significant increase of 261 basis points from the previous month [7][8] Group 7 - The US dollar liquidity remained loose, with the SOFR rate fluctuating around 4.40% before rising to a year-high of 4.51% mid-month, then declining to 4.14% after the Fed's rate cut [9][10] - The domestic dollar borrowing rates decreased following the Fed's rate cut, with the overnight borrowing rate stabilizing at 4.06% by the end of the month [9][10]
2025年9月银行间外汇市场运行报告
Sou Hu Cai Jing·2025-10-29 06:57