2025年人民币外汇衍生品市场回顾与展望

Group 1 - The core viewpoint of the article indicates that the RMB foreign exchange derivatives market in 2025 exhibited different phase characteristics, with the foreign exchange swap showing an overall upward trend and the volatility of foreign exchange options experiencing phase increases but remaining stable overall [1][3] - In 2025, the RMB foreign exchange swap market showed an overall upward trend, influenced by domestic and international economic fundamentals, the evolution of China-US trade friction, and the anticipated interest rate cuts by the Federal Reserve [3][19] - The one-year RMB/USD swap points rose from -2400 pips at the beginning of the year to around -1200 pips by year-end, reflecting different phase characteristics throughout the year [3][19] Group 2 - The first phase from the beginning of the year to mid-March saw the one-year swap points rise from -2400 pips to around -1900 pips, driven by market expectations of inflation due to tariff threats [6] - The second phase from mid-March to mid-May experienced a fluctuation in swap points between -2200 pips and -1950 pips, influenced by the tightening of RMB liquidity and the announcement of tariffs by the Trump administration [7] - The third phase from mid-May to mid-October saw swap points rise from around -2200 pips to about -1250 pips, as initial agreements on tariffs were reached and economic data from the US began to show weakness [8] - The fourth phase from mid-October to year-end saw a further easing of tariffs, with swap points adjusting to around -1330 pips, reflecting a temporary reversal in the market's pricing of interest rate cuts by the Federal Reserve [11] Group 3 - The RMB foreign exchange options market in 2025 experienced significant volatility increases in early January and from mid-March to mid-April, while other periods showed a steady decline [12][21] - The first phase at the beginning of the year saw implied volatility for short-term and long-term options remain high, with 1M and 1Y ATM implied volatilities fluctuating between 4.5%-4.7% and 5.7%-5.9% respectively [15] - The second phase from early February to mid-March saw a decline in implied volatility as market sentiment stabilized, with 1M ATM volatility dropping from 4.8% to about 3.7% [16] - The third phase from mid-March to mid-April saw a spike in implied volatility due to heightened market fears, with 1M ATM volatility reaching around 6.5% [17] - The fourth phase from mid-April to year-end saw a steady decline in implied volatility, with 1M ATM volatility dropping to around 2% and 1Y ATM volatility to about 3.4% [18] Group 4 - Looking ahead to 2026, the RMB foreign exchange swap market is expected to continue its upward trend in the first half, supported by anticipated economic policies and a stable monetary policy environment [19] - The foreign exchange options market in 2026 is expected to experience lower overall implied volatility compared to 2025, with potential spikes during specific political and economic events [21]