2020/07/29 FX-SWAP日报

USD/CNY Fixing 6.9969(last fixing 6.9895)  up 74 pips.

超短期：

ON成交在+3.8,+3.85,+4

TN成交在+4.5,+4.79,+4.8,+4.84,+4.9,+5,+5.1,+5.3

SN成交在+15.5,,+15.58,+15.85,+15.8,+16,+16.2

短期：

1w成交在+37,+37.2

中长期：

2s 成交在+253,254

3s 成交在+369，+370

5s 成交在+557

6s 成交在+688,+689

1y成交在+1275，+1276，+1277，+1280，+1282,+1285

spread :

 2s*3s 成交在+115

 5s *6s 成交在+110,+112

USD/CNY SWAP

on      +3    / +6     [+3.8~+4]

tn      +4.3  / +4.6   [+4.5~+5.1]

sn      +15.8 / +15.9  [+15.5~+16.2]  

1w      +36   / +37     [+37~+37.2]  

2w      +67   / +70    

1s      +135  / +136     

2s      +251  / +253   [+253~+254]  

3s      +367  / +370   [+369~+370]  

5s      +577  / +579   [+557]  

6s      +688  / +695   [+688~+689]

9s      +985  / +990      

1y      +1281 / +1287  [+1275~+1285]  

sprd:

2s*3s   +110  / +118    [+116]

5s*6s   +111  / +115    [+110~+112]

3s*1y   +911  / +917    [+915]

29-July 2020 Closing