2026年1月银行间外汇市场运行报告

Group 1 - The interbank foreign exchange market is active, with a daily average trading volume of $217.54 billion in January, representing a year-on-year increase of 16.5% and a month-on-month increase of 16.77% [2] - The daily average trading volume in the RMB foreign exchange market reached $163.74 billion, showing a year-on-year growth of 15.63% and a month-on-month growth of 13.67% [2] Group 2 - The US dollar index experienced fluctuations, starting strong but ultimately declining, closing at 96.99 at the end of the month, a depreciation of 1.35% from the previous month [3] - The RMB/USD exchange rate rose to 6.95, with the onshore RMB appreciating by 0.58% compared to the previous month [4] Group 3 - The domestic foreign exchange spread remained positive, narrowing slightly from 47 basis points to 29 basis points [5] - The average daily net selling of foreign exchange by market institutions was $23.89 billion, a decrease of $9.40 billion from December [5] Group 4 - The implied volatility of RMB foreign exchange options showed a slight decline, with the 1-month ATM implied volatility decreasing from 2.4% to 1.9% before rising to 2.25% by the end of the month [6] - The offshore RMB implied volatility for various maturities increased, with the 1-month ATM implied volatility reaching 2.78% [6] Group 5 - The interest rate differential between China and the US widened, leading to a decrease in swap points across all maturities, with the 1-year swap point declining by 97 basis points to -1222 basis points [7] - The 10-year US Treasury yield rose to around 4.30%, contributing to the widening of the US-China bond yield spread [7] Group 6 - The offshore dollar liquidity tightened towards the end of the month, with the domestic and foreign dollar interest rate spread remaining negative [9] - The overnight dollar interest rate spread narrowed from -10 basis points to -2 basis points during the month [9]