2、离岸人民币外汇市场 12月，离岸（CNH）人民币兑美元即期汇率升值，在岸（CNY）人民币兑美元即期汇率升值。 即期市场：12月31日，CNH兑美元即期汇率收于6.9755，较上月末升值1.37%；CNY兑美元即期汇率收于6.9890，较上月末升值1.29%；日均平均价差 （CNY-CNH的绝对值）为59BP，较上月增加11BP。CFETS人民币汇率指数、参考BIS货币篮子、参考SDR货币篮子的人民币汇率指数分别为97.64、 104.42、92.45，分别较上月末下降0.29%、下降0.05%、下降0.01%。 汇率衍生品市场：价格方面，CNH 1年期掉期点收于-1277BP，较上月末上升74BP；CNY 1年期掉期点收于-1125BP，较上月末上升171BP。在岸和离岸日均 掉期点差（CNH-CNY）的绝对值为86BP，较上月上升16BP。成交量方面，2025年12月，港交所USD/CNH期货标准合约成交量为178.37万张，较上月减少 6.07%，月末未平仓合约3.23万张，较上月减少5.73%。港交所USD/CNH期权合约成交55张，较上月增加358.3%，月末未平仓合约309张，较上月减少5.2% ...

内容提要 2025年11月，银行间外汇市场成交量整体下降，外汇市场日均成交量环比有所下行；美元指数震荡收贬，人民币汇率延续走升续创年内新高；境内外汇差由 负转正，市场整体买卖压力转向净卖汇；期权波动率持续走低，人民币汇率短期面临升值压力；长期限掉期点窄幅波动，市场买入压力逐步减弱；外币利率 市场美元流动性有所趋紧，境内外利差全月维持为负。 一、银行间外汇市场成交量整体下降，外汇市场日均成交量环比有所下行 11月银行间外汇市场日均交易量1914.58亿美元，同比下降2.57%，环比下降6.69%。其中人民币外汇市场日均交易量为1462.33亿美元，同比小幅下降 5.11%。外币对市场整体交投活跃，同比环比均显著上涨；外币利率市场受境外节假日影响交易量走低，环比下降超20%。 即期市场机构发起方先买后卖，日均买汇量减少。当月中上旬，即期市场机构交易需求基本维持买汇方向，发起方日均净买汇15.34亿美元，其中仅13日市 场机构结汇需求有所释放，当日净卖汇29.85亿美元。随着美元降息预期再度升温，下旬市场机构交易需求转为卖汇方向，日均净卖汇9.59亿美元。全月日均 净买汇7.86亿美元，较10月减少3.94亿美元。 ...

Group 1: Market Overview - In October, global financial markets experienced increased volatility due to multiple uncertainties, leading to heightened risk aversion among investors [1] - The average daily trading volume in China's interbank foreign exchange market reached $205.18 billion, showing a month-on-month increase of 6.72% and a year-on-year slight decline of 0.30% [2][3] Group 2: RMB Exchange Rate Trends - The RMB exchange rate rose to a new high for the year in early October but subsequently experienced fluctuations, with the lowest point reaching 7.1433 against the USD [2] - By the end of October, the onshore RMB exchange rate closed at 7.1135, appreciating by 0.07% compared to September [2] Group 3: Foreign Exchange Market Activity - The average daily trading volume for RMB in the foreign exchange market was $152.54 billion, reflecting a year-on-year decline of 5.72% but a month-on-month increase of 6.30% [2] - The foreign exchange market showed active trading in foreign currencies and foreign currency lending, with month-on-month increases exceeding 6% [2] Group 4: RMB Options Trading - RMB foreign exchange options trading remained stable in October, with an average daily transaction volume of $5.23 billion, marking a month-on-month decrease of 9.07% [3] - The implied volatility for RMB/USD options remained low, indicating stable market expectations for short-term RMB exchange rate movements [3] Group 5: Domestic and Offshore Exchange Rate Differences - The domestic foreign exchange differential gradually converged and turned positive by the end of October, with the average daily differential being -29 basis points [4] - As of October 20, the average daily net purchase of foreign exchange by institutions was $1.18 billion, indicating a shift in market sentiment towards net selling by the end of the month [4] Group 6: Market Sentiment and Behavior - The market's herd effect index in October was 61.89, slightly down from September, indicating a weaker herd effect compared to the historical average [5] Group 7: Swap Points and Interest Rate Differentials - Long-term swap points reached a nearly three-year high in October, driven by strong market buying pressure [6][7] - The one-year swap points at the end of October were -1287 basis points, an increase of 35 basis points from September, reflecting ongoing strong buying pressure in the swap market [7]

Core Insights - In October, global financial markets experienced increased volatility due to multiple uncertainties, while China's interbank foreign exchange market maintained stable trading volumes with a daily average trading volume of $205.18 billion, a slight year-on-year decrease of 0.30% but a month-on-month increase of 6.72% [1][2] Group 1: Currency Exchange Trends - The RMB exchange rate rose to a yearly high in October before experiencing fluctuations, with the exchange rate against the USD reaching a low of 7.1433 and later stabilizing around 7.11 to 7.12 [2] - By the end of October, the onshore RMB exchange rate closed at 7.1135, appreciating 0.07% compared to September, while the CFETS RMB index against a basket of currencies reported a 0.87% appreciation [2] Group 2: Foreign Exchange Market Activity - The average daily trading volume in the interbank foreign exchange market was $205.18 billion in October, with a year-on-year decrease of 0.30% but a month-on-month increase of 6.72%, marking two consecutive months of growth [2] - The average daily trading volume for RMB in the foreign exchange market was $152.54 billion, showing a year-on-year decline of 5.72% but a month-on-month increase of 6.30% [2] Group 3: Options and Volatility - RMB foreign exchange options trading remained stable in October, with an average daily transaction of $5.23 billion, reflecting a month-on-month decrease of 9.07% [3] - The implied volatility for RMB/USD options remained low, indicating stable market expectations for short-term RMB exchange rate movements [3] Group 4: Domestic and Offshore Exchange Rate Differences - The domestic foreign exchange differential gradually converged and turned positive by the end of October, with the average daily differential being -29 basis points, an increase of 25 basis points from September [4] - As of October 28, the offshore RMB (CNH) appreciated by 0.15% to 7.1164, with market participants shifting from net buying to net selling of foreign exchange by the end of the month [4] Group 5: Market Sentiment and Behavior - The market's herd effect index in October was 61.89, a decrease of 1.01 points from September, indicating a weaker herd effect compared to the historical average [5] Group 6: Swap Points and Interest Rate Dynamics - Long-term swap points reached a three-year high in October, driven by strong market buying pressure, with the one-year swap point closing at -1287 basis points, an increase of 35 basis points from September [6][7] - The one-year swap point's increase was primarily influenced by market supply and demand factors, despite a slight decrease in interest rate factors [7]

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]

Core Insights - The interbank foreign exchange market in China showed a mixed performance in September, with the US employment data falling short of expectations and the Federal Reserve lowering interest rates by 25 basis points, leading to a rebound in the US dollar index [1][6] - The Chinese yuan reached a new high for the year in September, but experienced slight fluctuations towards the end of the month [2][3] - The offshore yuan weakened against the onshore yuan, resulting in a shift from a positive to a negative exchange rate differential [3] Exchange Rate Performance - The yuan appreciated to a high of 7.1019 against the US dollar in early September, driven by a weaker dollar index and positive sentiment from US-China trade talks [2] - By the end of September, the yuan was trading at 7.1186, reflecting a monthly appreciation of 0.17% [2] - The CFETS index for the yuan against a basket of currencies rose by 0.21% to 96.77 [2] Exchange Rate Differential - The exchange rate differential between onshore and offshore yuan shifted from positive to negative, with the average differential for the month being -4 basis points [3] - The maximum differential recorded was -97 basis points on September 26 [3] Foreign Exchange Options Market - The trading volume for yuan foreign exchange options was stable, with an average daily transaction of 63.18 billion USD, up 8.37% month-on-month [4] - Implied volatility for yuan options continued to decline, with the 1-month ATM implied volatility dropping to 2.3%, the lowest since August 2024 [4] Swap Market Activity - The yuan foreign exchange swap market saw active trading, with an average daily volume of 931.95 billion USD, an increase of 8.90% month-on-month [5] - Short to medium-term transactions dominated, accounting for nearly 70% of the trading volume [5] Interest Rate Differentials - The interest rate differential between Chinese and US bonds fluctuated, with the 10-year US Treasury yield dropping to a year-low of 4.01% before rebounding to around 4.2% [6] - The 10-year US-China bond yield spread ended the month at -230 basis points, an increase of 9 basis points from the previous month [6] - The 1-year swap points rose significantly, reaching -1322 basis points, the highest in nearly two and a half years [6]

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]

Core Viewpoint - In June, the interbank foreign exchange market in China showed stable trading performance amid increasing geopolitical risks, easing uncertainties in U.S. trade policies, and new progress in China-U.S. economic and trade consultations [1] Trading Volume - The average daily trading volume in the interbank foreign exchange market reached $208.217 billion in June, marking a year-on-year increase of 15.71% and remaining above $200 billion for three consecutive months [3] - The average daily trading volume for the RMB foreign exchange market was $152.444 billion, reflecting an 8.89% year-on-year increase but a 3.58% month-on-month decline [3] - The foreign currency market and foreign currency interest rate market saw trading activity increase by over 30% year-on-year [3] Currency Exchange Rates - The U.S. dollar index initially rose and then fell, ending June at 96.77, a depreciation of 2.68% for the month [2] - The RMB exchange rate against the U.S. dollar fluctuated and rose, with the central parity rate on June 20 at 7.1695 [2] - The CFETS index for the RMB against a basket of currencies fell to 95.35 points by the end of June, a cumulative depreciation of 0.64% for the month [2] Interest Rate Differentials - The interest rate differential between China and the U.S. continued to narrow, with the 10-year U.S. Treasury yield dropping to 4.23% by the end of June [4] - The 10-year China-U.S. Treasury yield spread narrowed to -264 basis points, a decrease of 10 basis points from the previous month [4] Swap Points - The 1-year swap points rose to -1866 basis points by the end of June, an increase of 194 basis points, marking the highest level in nearly eight months [4] - The difference between the 1-year swap points and the theoretical value based on interest rate parity turned positive, ending at 117 basis points, the highest this year [5] - The overnight interest rate differential between domestic and foreign dollars remained negative throughout June, with the month-end rate at -18 basis points [5]

Exchange Rate Trends - The RMB central parity rate has shown a gradual appreciation since July, with the rate breaking 7.14, indicating a strong upward signal[2] - The USD/CNY exchange rate has fluctuated around 7.17, reflecting a "strong central rate, weak spot rate" dynamic[7] - The central parity rate has increased by 0.23% since July 1, 2025, reaching a low of 7.1385, the lowest since November 2024[7] Cross-Border Capital Flows - In the first half of 2025, the net inflow of foreign exchange was $30.89 billion, with a trade surplus of $43.57 billion from January to June[24] - The average active settlement rate for export enterprises was 47.13% in the first half of 2025, down from 48.37% in the same period of 2024[26] - The forward settlement scale increased by $44.33 billion from April to June 2025, indicating expectations of RMB appreciation[28] Foreign Investment and Market Sentiment - Foreign investment in domestic stocks and funds reached a net increase of $10.1 billion in the first half of 2025, reversing a two-year trend of net selling[34] - The net inflow from securities investment projects was $18.06 billion in the first half of 2025, with a surplus of $7.736 billion in June alone[38] Risk Factors - Potential risks include fluctuating U.S. tariff policies, unclear Federal Reserve interest rate paths, and the impact of non-U.S. currency movements on the RMB[40] - The average holding cost of the "waiting for settlement" funds is approximately 7.05, with a total scale of about $400 billion as of June 2025[32]

Group 1: Offshore Renminbi Market - In June, both offshore (CNH) and onshore (CNY) Renminbi appreciated against the US dollar, with CNH closing at 7.1575 and CNY at 7.1656, representing increases of 0.68% and 0.41% respectively compared to the previous month [3][4] - The average daily spread between CNY and CNH increased by 5 basis points to 66 basis points [3] - The CFETS Renminbi exchange rate index and indices based on BIS and SDR currency baskets decreased by 0.64%, 0.86%, and 0.86% respectively [3] Group 2: Offshore Renminbi Bond Market - In June, the offshore Renminbi bond market issued 100 bonds, an increase of 12 bonds from the previous month, with a total issuance amount of 779.71 billion, reflecting a 124.8% increase [5] Group 3: Offshore Renminbi Currency Market - As of the end of June, the CNH HIBOR rates for overnight, 7-day, 3-month, and 1-year were 1.9454%, 1.8341%, 1.9045%, and 1.9882% respectively, showing a mixed trend with overnight rates decreasing by 10 basis points while the others increased [6] - The average interest rate spread between offshore and onshore borrowing rates increased for overnight, 7-day, and 3-month terms, while the 1-year term remained unchanged [6] Group 4: Cross-Border Trade and Deposits - In May 2025, offshore Renminbi deposits in Hong Kong decreased by 5.4% to 9756.08 billion, while Taiwan saw a 4.2% increase to 1174.34 billion [2] - Cross-border trade settlement in Hong Kong amounted to 11235.7 billion, a decrease of 17.5% from the previous month [2] Group 5: Offshore Derivatives Market - In June, the 1-year CNH swap points rose by 99 basis points to -1746 basis points, while CNY swap points increased by 194 basis points to -1866 basis points [4] - The trading volume for USD/CNH futures contracts on the Hong Kong Stock Exchange increased by 14.68% to 2.527 million contracts, while the open interest decreased by 14.68% to 33,600 contracts [4]