The Derivatives Market Is Active And The Interest Rate Swap Curve Is Rising.

< p > July, < a href= "http:// www.91se91.com/news/index_c.asp" > RMB > /a > interest rate swap market volume increased significantly, a total of 3496 pactions, accumulative total nominal principal amount of 303 billion 600 million yuan, an increase of 39% over the same period last year.

The bond forward and forward interest rate agreements are closed.

In terms of term structure, interest rate swap is still dominated by short-term varieties, and 1 and less than 1 year trading accounts for up to 79.5%.

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< p > from the reference < a href= "http:// www.91se91.com/news/index_c.asp" > interest rate < /a >, the swap paction with seven day repurchase rate fixed rate FR007 as floating end reference rate accounts for 82.5%, and the swap account with Shibor floating rate is 16.9%.

RMB foreign exchange derivatives trading continued to be active, a total of 428 billion 620 million US dollars in the month, an increase of 40.7% over the same period, and the proportion of derivatives traded in the entire RMB foreign exchange market rose to 57.4%.

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< p > in which, the swap traded 416 billion 560 million dollars, an increase of 36.2% over the same period last year.

Growth is mainly concentrated in the short and medium term pactions, and the weekly and monthly swap pactions grew by more than 50% over the same period.

Forward turnover of $4 billion 340 million, an increase of 2 times over the same period.

Among them, overnight trading, one month and one year are the main trading types, accounting for 17.5%, 13.8% and 17.1% respectively.

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< p > > a href= "http://? www.91se91.com/news/index_c.asp" > option < /a > turnover of $7 billion 730 million, an increase of 10.2 times compared with the previous year, mainly in the month and three months deadline.

Option volatility declined for second consecutive months. The average volatility of one-year option fell from 2.55% in May and 2.53% in June to 2.11% in July, which is similar to the actual fluctuation of RMB exchange rate in July.

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< p > by the stabilization of the real economy, the weakness of the spot market and the high interest rate of government bonds, the interest rate swap market in July showed a weak arrangement pattern, and the exchange curve overall rose.

At the end of 7, the FR007 swap interest rates for 1 and 5 years were closed at 3.85% and 4.28% respectively, up 14 and 8 basis points respectively from the beginning of the month.

The exchange rate derivative curve moves upward.

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In P > July, the long end of the foreign exchange swap curve moved upward, and the three month, six month and one-year swap points rose from 380 points, 560 points and 820 points to 460 points, 660 points and 980 points respectively.

The short term drop points are relatively stable, and a week and one month drop point is kept near 50 and 190.

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< p > the change of the swap curve pattern is mainly influenced by the foreign currency funds. Recently, the factors such as the reserve payment and the subscription of new shares have made the domestic RMB funds relatively tight, and the improvement of the export volume and the approaching of the closing of the foreign exchange rate have made the domestic dollar fund relatively loose.

Referring to the middle price, the domestic foreign exchange swap shows that the expected depreciation rate of RMB will be 1.7% after 1 years, and that of overseas NDF shows that the expected depreciation rate of RMB will be 1.4% after 1 years.

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