2020/07/30 FX-SWAP日报
中国央行今日开展500亿元逆回购操作,因今日有500亿元逆回购到期,当日实现零投放零回笼。
USD/CNY Fixing 6.9902(last fixing 6.9969) down 67 pips.
超短期
ON成交在+3.8,+3.95
TN成交在+15.05,+15.1,+15.15,+15.2,+15.3,+16.9,+16.92,+16.95,+17.1
SN成交在+4.5,+5.06,+5.1
短期
1w成交在+36.1
2w成交在+66
中长期
1s 成交在+139,+140,+141
3s 成交在+385
5s 成交+609
6s成交在+708,+711,+715
9s成交在+1007
1y成交在+1308,+1310,+1312,+1314,+1315,+1316,+1320,+1321,+1325
spread: 6s*9s +296
USD/CNY SWAP
on +4 / +6 [+3.8~+3.95]
tn +16.9 / +17 [+15.05~+17.5]
sn +5 / +5.3 [+4.5~+5.2]
1w +36 / +36.5 [+36.1~+36.2]
2w +63 / +69.5 [+66]
1s +140 / +142 [+139~+141]
2s +289 / +295
3s +382 / +387 [+385]
4s +480 / +495 [+495]
5s +609 / +612 [+609]
6s +713 / +720 [+708~+715]
9s +1010 / +1025 [+1007]
1y +1314 / +1325 [+1308~+1325]
sprd:
6s*9s +299 / +310 [+296]
6s*9s*1y -2 / +16 [-4~-2]
30-July 2020 Closing