2024年1月银行间各市场交易数据与基准指标一览.pdf

2024年1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 January 2024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 Lending108521.1-8.3%质押式回购Pledged Repo1665633.016.1%买断式回购Outright Repo6221.036.0%合计合计Sum1780375.214.3%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Swap15131.71404.4750.5493.4273.31602.42680.222335.9远期Forward12.21.27.828.35.19.087.0150.7期权Option26.786.3103.3102.5121.6169.4299.9909.8合计合计Sum15170.51492.0861.6624.2400.11780.93067.123396.4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-FR00731089.595.27%SHIBOR 3M1430.54.38%其他Others114.60.35%合计合计Sum32634.6100.00%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 Market179.465.6%14.1%179.4债券市场 Bond Market35.9108.7%17.2%35.9利率衍生品市场 Interest Rate Derivatives Market3.381.2%27.3%3.3 合计合计 Subtotal218.671.7%14.8%218.6外汇市场 FX Market外汇即期市场 FX Spot Market5.958.1%24.5%5.9外汇衍生品市场 FX Derivatives Market16.894.9%21.6%16.8外币货币市场 FX Money Market6.115.4%26.1%6.1 合计合计 Subtotal28.863.4%23.1%28.8 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 Volume62437.163695.5145310.113514.66903.624358.217897.88199.816847.4359164.0占比Percentage17.4%17.7%40.5%3.8%1.9%6.8%5.0%2.3%4.7%100%市场一览MARKET DATA2024/02 总第268期97 国债到期收益率（%）Treasury Bond YTM(%)1Y3Y5Y7Y10Y月初(%)Beginning of the Month2.09062.32452.42582.54882.5575月末(%)End of the Month1.89502.18612.28742.41252.4275月内变动（bps）Change within the Month(bps)-19.56-13.84-13.84-13.63-13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（1月31日 16:30）SHIBOR 3M IRS Closing Curve(at 16:30,31 January)USD.CNY 外汇掉期曲线（1月31日 16:30）USD.CNY Swaps Curve(at 16:30,31 January)PIPS期限TermO/N1W1M3M6M1Y掉 期Swap加权价Weighted Price7.16897.16767.14917.12087.03626.9233月间变动（pips）Change over Last Month(pips)27938152942075262远 期Forward加权价Weighted Price7.16967.16637.14987.10727.04306.9242月间变动（pips）Change over Last Month(pips)245261252219254258外汇远期、掉期行情（USD.CNY）FX Forwards and Swaps（USD.CNY）市场一览MARKET DATA98