2023年9月银行间各市场交易数据与基准指标一览.pdf

2023年9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 September 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 Lending100420.7-23.1%质押式回购Pledged Repo1363667.41.6%买断式回购Outright Repo0-19.7%合计合计Sum1468113.7-19.9%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Swap11630.21386.3806.0460.8294.4693.52423.217694.5远期Forward9.23.418.938.323.911.973.9179.4期权Option36.663.2117.1112.062.190.6193.9675.4合计合计Sum11675.91452.9942.1611.1380.3796.12691.018549.4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-FR00724742.892.70%SHIBOR 3M1612.36.04%其他Others335.61.26%合计合计Sum26690.6100.00%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 Market148.0-0.4%-19.7%1,391.8债券市场 Bond Market30.214.4%-9.5%249.0利率衍生品市场 Interest Rate Derivatives Market2.727.4%-18.0%24.2 合计 合计 Subtotal180.82.1%-18.1%1,665.0外汇市场 FX Market外汇即期市场 FX Spot Market3.7-39.9%-49.1%53.2外汇衍生品市场 FX Derivatives Market13.6-8.1%-20.8%121.5外币货币市场 FX Money Market4.4-30.1%-17.4%50.5 合计 合计 Subtotal21.7-20.4%-27.2%225.1 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 Volume60377.998255.559052.212898.97353.128076.89576.97954.718079.6301625.7占比Percentage20.0%32.6%19.6%4.3%2.4%9.3%3.2%2.6%6.0%100%市场一览MARKET DATA2023/10 总第264期95 国债到期收益率（%）Treasury Bond YTM(%)1Y3Y5Y7Y10Y月初(%)Beginning of the Month1.94512.24402.44342.59432.5863月末(%)End of the Month2.12682.36482.50252.67382.6700月内变动（bps）Change within the Month(bps)18.1712.085.917.958.37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（9月28日 16:30）SHIBOR 3M IRS Closing Curve(at 16:30,28 September)USD.CNY 外汇掉期曲线（9月28日 16:30）USD.CNY Swaps Curve(at 16:30,28 September)PIPS期限TermO/N1W1M3M6M1Y掉 期Swap加权价Weighted Price7.29327.27797.27487.22967.17867.0410月间变动（pips）Change over Last Month(pips)267-90311257387216远 期Forward加权价Weighted Price7.29857.29007.27897.23257.17087.0360月间变动（pips）Change over Last Month(pips)480434490428521341外汇远期、掉期行情（USD.CNY）FX Forwards and Swaps（USD.CNY）7.167.177.187.197.27.217.229-19-69-119-169-219-2611.522.59-19-69-119-169-219-26FR001FR007SHIBOR 3M2.22.42.62.833.26M9M 1Y2Y3Y4Y5Y7Y10Y报买 Bid均值 Mean报卖 Ask-3000-2500-2000-1500-1000-5000ON TN SN 1W 2W 3W 1M 2M 3M 4M 5M 6M 9M 1Y市场一览MARKET DATA96