2025年10月银行间外汇市场运行报告

Group 1 - The interbank foreign exchange market showed stable trading volume, with the average daily trading volume increasing by 6.72% month-on-month to $205.18 billion, despite a slight year-on-year decline of 0.3% [2] - The average daily trading volume in the RMB foreign exchange market was $152.54 billion, down 5.72% year-on-year but up 6.3% month-on-month, with both spot and swap transactions increasing by over 7% [2] Group 2 - The US dollar index continued to strengthen, reaching around 99.5 before declining to above 98, with a month-end value of 99.804, reflecting a 2.08% appreciation from the previous month [3] - The RMB exchange rate rose to a yearly high of 7.0995 against the US dollar before fluctuating, ending the month at 7.1135, a slight appreciation of 0.07% [4] Group 3 - The domestic foreign exchange spread shifted from negative to positive by the end of the month, with an average daily spread of -29 basis points, which was wider by 25 basis points compared to the previous month [5] - The market saw a shift from net buying to net selling of foreign exchange by institutions, with an average daily net buying of $11.80 million throughout the month [5] Group 4 - The implied volatility of RMB foreign exchange options remained low, with an average daily trading volume of $5.23 billion, down 9.07% month-on-month [6] - The 1-month implied volatility for RMB against the US dollar reached a low of 2.19%, the lowest since June 2017 [6] Group 5 - The long-term swap points reached a new high not seen in nearly three years, with the 1-year swap points ending at -1287 basis points, an increase of 35 basis points from the previous month [7] - The market's buying pressure remained strong, with the 1-year swap points reflecting significant market supply and demand factors [8] Group 6 - The dollar liquidity in the foreign currency interest rate market remained loose, with the overnight dollar interest rate spread maintaining a negative direction, reaching a yearly high of -40 basis points by the end of the month [10] - The SOFR rate fluctuated, ending the month at 4.22% after a drop following the Fed's rate cut [9]