2019/10/28 FX-Swap 日报
USD/CNY Fixing 7.0762(last fixing 7.0749) up 13 pips.
中国央行今日不开展逆回购操作,因今日有500亿元到期逆回购,当日实现净回笼500亿元。
超短期方面:
on 早盘成交在+0.9;
tn 开盘gvn+1.15,+1.12,+1.1,+1.08,午后集中成交+1.1的位置;
sn 成交+1.09,+1.08,+1.07,+1.06后超短期限微微上行成交+1.08;
短期方面:
1w 下午开盘多次成交+8.6,后小幅上行成交+8.7,市场上收在+8.9;
1s 窄幅成交在+39.5~+40区间;
中长期方面:
2s 成交先后成交在+81,+81.5及+81.2;
3s 午后搭3*6s少量成交+130,后成交在+130.5的位置;
6s 早盘频繁成交在+212后接连gvn+210及+208,午后搭6*1y 成交在+207,+206;
1y 全天交投活跃,在区间[+320~+340]震荡成交,开盘成交全天最高价+340,后下行成交+334,+333,+332,+330,午后开盘先频繁交投在+328~+330,后再次小幅下跌成交+326,+325, +324,搭6*1y成交在+322,+321,最低gvn+320后尾盘市场反弹往上成交+325;
Spread 方面:
3*6s成交 +77
6*1y 成交 +115
USD/CNY SWAP
on +0.5 / +1.1 [+0.9]
tn +1.05 / +1.15 [+1.08~+1.15]
sn +1.07 / +1.15 [+1.06~+1.09]
1w +8.7 / +8.9 [+8.6~+8.7]
2w +16 / +19
1s +39.5 / +40.5 [+39.5~+40.5]
2s +80 / +82 [+81~+81.5]
3s +128 / +131 [+130~+130.5]
6s +203 / +210 [+206~+212]
9s +258 / +268
1y +320 / +334 [+320~+40]
2y +950 / +1050
3s*6s +75 / +79 [+77]
6s*1y +110 / +120 [+115]
28-October-2019 Closing