2023年12月银行间各市场交易数据与基准指标一览.pdf

2023年12月银行间各市场交易数据与基准指标一览Overview of Interbank Market Trading Data and Benchmarks in December 2023人民币拆借和回购市场（单位：亿元人民币）RMB Lending and Repo Market(Unit:100 million yuan)交易量Trading Volume环比增长Month-on-Month Growth信用拆借Credit Lending118391.38.8%质押式回购Pledged Repo1434276.601.3%买断式回购Outright Repo4574.2-1.3%合计合计Sum1557242.11.8%外汇衍生品市场（单位：亿美元）FX Derivatives Market(Unit:100 million USD)隔夜（1D）O/N(1D)1W1M3M6M1Y其他Others合计Subtotal掉期Swap12213.61225.0652.9493.1234.81170.12338.818328.2远期Forward4.04.47.56.42.27.869.2101.4期权Option24.451.4153.594.984.0166.0270.7844.8合计合计Sum12241.91280.8813.8594.4321.01343.92678.719274.5利率互换市场（单位：亿元人民币）IRS Market(Unit:100 million yuan)参考利率Reference Rate交易量Trading Volume占比PercentageSHIBOR O/N-FR00723443.391.93%SHIBOR 3M1793.87.03%其他Others264.21.04%合计合计Sum25501.2100.00%银行间市场交易概览（单位：万亿元人民币）Summary of Interbank Market Trading(Unit:trillion yuan)交易量Trading Volume同比增长Year-on-YearGrowth环比增长Month-on-MonthGrowth年累计交易量Total Trading Volume This Year本币市场 RMB Market 货币市场 Money Market157.222.1%1.8%1830.4债券市场 Bond Market30.628.5%-1.5%334.8利率衍生品市场 Interest Rate Derivatives Market2.683.1%-7.8%32.0 合计合计 Subtotal190.523.7%1.1%2197.3外汇市场 FX Market外汇即期市场 FX Spot Market4.831.8%6.6%64.6外汇衍生品市场 FX Derivatives Market13.830.5%-17.6%164.7外币货币市场 FX Money Market4.8-15.9%-18.7%65.4 合计合计 Subtotal23.417.5%-13.9%203.5 现券市场（单位：亿元人民币）Cash Bond Market(Unit:100 million yuan)同业存单Interbank CD政策性金融债Policy Financial Bond国债TreasuryBond中期票据Medium-Term Note超短期融资券SCP债券借贷Securities Lending地方政府债Local Government Bond二级资本工具Tier 2 Capital Instrument其他Others合计合计Sum交易量Trading Volume55682.055254.1110770.813061.96402.424225.715080.17118.718776.3333312.3占比Percentage18.2%18.0%36.2%4.3%2.1%7.9%4.9%2.3%6.1%100%市场一览MARKET DATA2024/01 总第267期99 国债到期收益率（%）Treasury Bond YTM(%)1Y3Y5Y7Y10Y月初(%)Beginning of the Month2.34842.47482.56592.66392.6668月末(%)End of the Month2.11592.21502.39852.53882.5579月内变动（bps）Change within the Month(bps)-23.25-17.59-16.74-12.51-10.89美元对人民币中间价USD.CNY Central Parity人民币核心利率走势Change of Key RMB Interest RatesSHIBOR 3M 利率互换收盘曲线（12月29日 16:30）SHIBOR 3M IRS Closing Curve(at 16:30,29 December)USD.CNY 外汇掉期曲线（12月29日 16:30）USD.CNY Swaps Curve(at 16:30,29 December)PIPS期限TermO/N1W1M3M6M1Y掉 期Swap加权价Weighted Price7.14517.14037.12477.08547.01756.8985月间变动（pips）Change over Last Month(pips)-861-800-701-813-744-736远 期Forward加权价Weighted Price7.14107.12957.09627.07887.02876.8971月间变动（pips）Change over Last Month(pips)-759-1278-1084-639-1295-791外汇远期、掉期行情（USD.CNY）FX Forwards and Swaps（USD.CNY）市场一览MARKET DATA100