2020/07/16 FX-Swap
日结:
USD/CNY Fixing 6.9913(last fixing 6.9982) down 69 pips.
中国央行今日开展500亿元逆回购操作,因今日无逆回购到期,当日实现净投放500亿元。
超短期方面:
on 成交+4.7~+5.5;tn 成交+12.5~+12.92;sn 午后成交在+3.42
短期方面:
1w 集中成交+30附近,早盘成交+30,午后成交+29.8~+30.1,市场收在+30.3;
2w 登记在+66附近,3w登记+86~+88;
1s 早盘来回成交+130,午后成交+129~+129.5;
中长期方面:
2s 3s 全天波动不大,2s成交+243~+245;3s成交+354~+356,尾盘市场gvn+353;
9s 上午gvn在+969,午后市场往下收在+956;
1y 震荡成交在+1240~+1250,收在+1240;
Spread方面:
2*3s 成交+110~+112
USD/CNY SWAP
on +2 / +5 [+4.7~+5.5]
tn +12.9 / +12.95 [+12.5~+12.92]
sn +4.3 / +4.32 [+4.32]
1w +30 / +30.3 [+29.8.~+30.1]
2w +59 / +61
1s +126 / +129.5 [+129~+130]
2s +242 / +244 [+243~+245]
3s +350 / +357 [+354~+356]
6s +662 / +668
9s +955 / +965 [+969]
1y +1240 / +1245 [+1240~+1250]
sprd:
2s*3s +108 / +113 [+110~+112]
16-July 2020 Closing