RMB Effective Exchange Rate Continued To Rebound In July.

< p > the latest data show that the real effective exchange rate (REER) index of the RMB in July 2014 was 117.74, rising by 0.57% compared to the level of April, and returning to the level in April. In addition, the nominal July a href= "http:// www.91se91.com/news/index_c.asp" effective rate of /a /a (NEER) index was 111.52, which rose 0.48%.

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< p > < a href= "http:// www.91se91.com/news/index_c.asp > > big data < /a > Terminal statistics, the effective exchange rate of RMB in this year 1-7 is less than a href=" http:// www.91se91.com/news/index_c.asp "> depreciation < /a > 3.38%, nominal effective exchange rate accumulative depreciation 2.36%.

In July, the central parity of RMB against the US dollar depreciated by 0.24%, and the renminbi appreciated 0.49% against the US dollar. In 1-7, the RMB depreciated to 1.16% against the US dollar, and the total depreciation rate at the spot was 2%.

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< p > July, the RMB interest rate swap market volume increased significantly, a total of 3496 pactions, the 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 interest rate, the swap paction with a seven day repurchase rate and FR007 interest rate as the 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 > options traded 7 billion 730 million dollars, up 10.2 times over the same period, mainly in the month and three months.

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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