10月，受多重不确定因素影响，全球金融市场波动加大，市场避险情绪升温。而我国银行间外汇市场交 投总量平稳，外汇市场日均成交量环比持续上升。中国外汇交易中心(以下简称"交易中心")最新发布的 数据显示，10月，银行间外汇市场日均交易量2051.82亿美元，同比微跌0.30%；环比上涨6.72%，连续 两个月维持增长。 人民币汇率走升后震荡回调 10月，人民币汇率持续走升至年内新高，随后震荡回调。 10月，境内外汇差逐步收敛并由负转正，即期发起方延续净买汇方向。 境内外汇差在10月末由负转正，汇差偏离幅度逐步收敛。分阶段看，10月上半月，汇差整体维持在-30 个基点以上，离岸人民币对美元汇率处于在岸贬值方向；随着离岸、在岸人民币汇率同向走升，境内外 汇差逐步收敛并在10月28日由负转正。全月日均境内外汇差为-29个基点，较9月走扩25个基点，其中， 10月13日境内外汇差为-95个基点，为月内最大汇差。月末，CNH(离岸人民币)报7.1164，较10月末升值 0.15%。 即期市场机构发起方延续净买汇，10月末转向净卖汇。数据显示，美元走强带动机构逢低购汇意愿提 升，截至10月20日，即期市场机构发起方日均净买汇 ...

交易中心发布的数据显示，10月初以来，伴随美元指数持续走强，人民币汇率从7.12水平逐步走贬 至7.14上方，最低达7.1433。10月15日，人民币对美元汇率中间价报7.0995，为今年首次升破7.10，当日 市场高开走升，人民币汇率中枢下行至7.13下方偏强运行。下半月，人民币对美元中间价稳步震荡走 升，叠加"十五五"规划建议发布、中美新一轮经贸磋商，人民币汇率升破7.10关口，随后在7.11至7.12 区间震荡整理。10月末，在岸人民币汇率收于7.1135，较9月升值0.07%；CFETS人民币对一篮子货币汇 率温和波动，月末报97.61，较上月升值0.87%。 从银行间外汇市场交投情况看，数据显示，10月，银行间外汇市场日均交易量2051.82亿美元，同 比微跌0.30%，降幅较9月缩窄；环比上涨6.72%，连续两个月维持增长。人民币外汇市场日均交易量为 1525.39亿美元，同比下降5.72%，环比上升6.30%，其中，即期与掉期环比均增长7%以上。外币对市场 和外币拆借市场交投活跃，环比涨幅均超6%。 10月，受多重不确定因素影响，全球金融市场波动加大，市场避险情绪升温。而我国银行间外汇市 场交投 ...

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]

Group 1 - The interbank foreign exchange market showed stable trading with an average daily transaction volume of $208.2 billion in June, a year-on-year increase of 15.7% [2] - The average daily trading volume of the RMB foreign exchange market was $152.4 billion, up 8.9% year-on-year, while foreign currency trading grew over 30% [2] - The US dollar index experienced fluctuations, initially rising and then declining, ending the month at 96.77, a depreciation of 2.68% [3] Group 2 - The RMB exchange rate showed a steady increase, fluctuating between 7.17 and 7.19, with a month-end value of 7.1656, appreciating by 0.94% [4] - The CFETS RMB exchange rate index fell to its lowest level since 2021, closing at 95.35, a cumulative depreciation of 0.64% for the month [4] - The offshore and onshore exchange rates continued to align closely, with the average daily deviation being minimal [5] Group 3 - The foreign exchange market saw a shift towards net selling, with an average daily net selling of $8.51 million, an increase of $5.84 million from May [6] - The market sentiment index rose to 62.78, slightly above the historical average, indicating a stable trading environment [6] Group 4 - The implied volatility of foreign exchange options decreased, with the average daily transaction volume reaching $8.28 billion, a 6.12% increase from the previous month [7] - The short-term implied volatility for the RMB against the USD fell from 3.8% to around 3.5% [7] Group 5 - The interest rate differential between China and the US continued to narrow, with the 10-year US Treasury yield dropping to 4.23% by month-end [8] - The 1-year swap points increased to -1866 basis points, the highest in nearly eight months, indicating a shift in market dynamics [8][9] Group 6 - The US dollar liquidity remained loose, with the domestic dollar financing costs showing a clear advantage [10] - The overnight interest rate differential between domestic and foreign markets remained negative, reaching a new high of -18 basis points by month-end [11]

Core Viewpoint - The overall operation characteristics of the RMB foreign exchange swap and options market in the first half of 2025 show a rising trend followed by a range-bound fluctuation, with the one-year swap price fluctuating between -2400 to -1900 pips. The actual volatility of the RMB exchange rate has increased, while the implied volatility of at-the-money options has shown a phased trend but remained stable in trading center. In the second half of 2025, the narrowing of the China-US interest rate spread is expected to drive a rebound in the swap curve, while the implied volatility in the RMB options market is likely to remain low [1]. RMB Foreign Exchange Derivatives Market Review RMB Swap Market Review - In the first half of 2025, the RMB foreign exchange swap market experienced an initial upward trend followed by a range-bound fluctuation, with the one-year swap points trading between -2400 to -1900 pips [2]. - The first phase from the beginning of the year to mid-March saw a rapid rise in one-year swap points from -2400 pips to -1900 pips, driven by bearish sentiment towards the US dollar and US Treasury yields, alongside improved international balance of payments and positive expectations for China's economic recovery [3]. - The second phase from late March to the present has seen a gradual decline in upward momentum, with one-year swap points oscillating around -2050 pips, influenced by the US's unexpected tariff and fiscal policy developments [4]. RMB Options Market Review - In the first half of 2025, the actual volatility of the RMB exchange rate increased, with the implied volatility in the RMB options market showing a "pulse" trend but maintaining stability in trading center [5]. - The first quarter saw a moderate trend in implied volatility, with the USD/CNY spot exchange rate fluctuating between 7.17 and 7.35, reflecting a significant appreciation of the RMB [6]. - The second quarter experienced a sharp rise in implied volatility due to increased tariff pressures, with the RMB reaching a historical high of 7.35 against the USD, followed by a decline in volatility as the market stabilized [6]. Outlook for the RMB Foreign Exchange Derivatives Market in the Second Half of 2025 RMB Swap Market Outlook - The RMB swap market is expected to see a narrowing of the China-US interest rate spread, driven by improved economic data and a stable domestic interest rate environment [7]. - The anticipated narrowing of the interest rate spread could lead to a rebound in the swap curve, with theoretical swap points around -1700 pips based on current short-term rates [8]. RMB Options Market Outlook - The RMB is expected to maintain low implied volatility in the second half of 2025, with external factors such as tariff disputes being the primary source of pressure [9]. - The overall improvement in the domestic economic environment is likely to support the RMB, with foreign investment in RMB assets increasing, contributing to a stable exchange rate [10].

Group 1 - The interbank foreign exchange market showed stable trading, with the average daily trading volume of the RMB foreign exchange market increasing by 12.59% year-on-year to $1580.99 billion in May, despite a 2.73% month-on-month decline [2] - The US dollar index experienced a slight depreciation, closing at 99.44 at the end of the month, reflecting a 0.2% decline for the month, influenced by weakening US inflation and trade policy uncertainties [3][4] - The People's Bank of China implemented a reserve requirement ratio cut and interest rate reduction, contributing to a strengthening of the RMB against the USD, with the RMB closing at 7.1953, appreciating by 0.94% for the month [4] Group 2 - The offshore and onshore RMB exchange rates began to converge, with the average daily onshore-offshore exchange rate difference being positive at 22 basis points, indicating a market expectation of RMB appreciation [5] - The implied volatility of RMB foreign exchange options showed a decline, with the average daily trading volume reaching $77.99 billion, indicating a stabilization of market sentiment [6] - The interest rate differential between China and the US widened slightly, with the 10-year US Treasury yield reaching a three-month high of 4.58% before retreating to 4.41% by month-end [7] Group 3 - The overall liquidity of the US dollar market remained loose, with the overnight interest rate in the domestic market declining to 4.30%, while the SOFR fluctuated around 4.35% towards the end of the month [8][9] - The domestic and foreign dollar overnight interest rate differential turned negative by month-end, reflecting a shift in market dynamics [9]