4月，货币市场利率呈V型走势，波幅扩大；国债收益率曲线延续下行趋势；利率互换曲线下移。人民币兑美元汇率小幅升值；外汇掉期点上升，期权波动率下降；外汇市场交易量同比下降；境外美元流动性紧张缓解，境内美元同业拆放利率同步下降。
In April, interest rates of the money market presented a V-shaped movement with expanded volatility; the treasury yield curve continued the downward trend; the IRS curve shifted downwards. The RMB exchange rate against the USD appreciated slightly; FX swap points picked up, and the volatility of options fell; the trading volume of the FX market decreased year-on-year; the dollar shortage overseas was eased, while the domestic interbank lending rate of the dollar declined simultaneously.
2
020年4月，银行间市场成交总量折合人民币170.2万亿元，同比增长31%。其中，货币市场
成交122.7万亿元，同比增长42.2%；债券市场成交25.9万亿元，同比增长44.6%；外汇即期市场成交4.0万亿元，同比下降17.7%；外币货币市场成交5.1万亿元，同比下降26.9%；利率衍生品市场成交2.2万亿元，同比增长36.5%；汇率衍生品市场成交10.3万亿元，同比下降16.6%。截至4月末，银行间本币市场成员31897家，较上月末增加609家；银行间外汇市场会员715家，较上月末减少1家。
I
n April 2020, the total volume of interbank transactions amounted to an equivalent of 170.2 trillion yuan, up
31.0% YoY. Among them, the money market traded 122.7 trillion yuan, up 42.2% YoY; the bond market traded 25.9 trillion yuan, up 44.6% YoY; the FX spot market traded 4.0 trillion yuan, down 17.7% YoY; the foreign currency market traded 5.1 trillion yuan, down 26.9% YoY; the interest rate derivatives market traded 2.2 trillion yuan, up 36.5% YoY; the exchange rate derivatives market traded 10.3 trillion yuan, down 16.6% YoY. As of end-April, the interbank RMB market had a total of 31996 members,
一、银行间本币市场运行
（一）货币市场利率呈V型走势，波幅有所扩大
4月，货币市场利率呈V型走势，波幅有所扩大。
708 more than end-March; and 715 institutions have become members of the interbank FX market, one fewer than the number at end-March.
84CHINAMONEY May 2020Performance of the interbank RMB market
The money market interest rate presented a V-shaped movement with expanded volatility.
In the first half of the month, following the central bank's cut of RRR, IOER and open market operation interest rate, the liquidity of the money market remained accommodative, with major interest rates falling. The weighted average interest rate of IBO001 and DR007 fell to the monthly low of 0.78% and 1.23%, respectively, on April 16, and the weighted average interest rate of R007 fell to the monthly low of 1.40% the following day. As the central bank continued to suspend reverse repo operations, the money market interest rates rebounded in the second half of the month. During the month, IBO001, R007 and DR007 experienced larger volatility. In terms of Shibor, the closing quotation for Shibor O/N rose from early April, while those for other Shibor varieties fell from the beginning of the month.
In April, the money market traded 122.7 trillion yuan,
up 42.2% YoY. Among them, the credit lending traded 19.1 trillion yuan, up 26.1% YoY; the pledged repo traded 102.8 trillion yuan, up 46% YoY; the outright repo traded 848.2 billion yuan, up 13.2% YoY. In terms of financing structure, the top three institution types with the largest net lending are large commercial banks, joint-equity commercial banks and policy banks, with a net lending amount of 39.8, 29.4 and 10.1 trillion yuan, respectively; the top three institutions with the largest net borrowing are urban commercial banks, fund companies and joint-equity commercial banks, with a net borrowing amount of 22.7, 22.1 and 19.2 trillion yuan, respectively.
In April, foreign institutions traded 103.1 billion yuan in
the money market, down 14.8% YoY or up 70.6% MoM.
CHINAMONEY中上旬，受央行下调存款准备金率、超额存款准备金利率、公开市场操作利率影响，货币市场流动性充裕，主要货币市场利率下行。4月16日，隔夜信用拆借（IBO001）和7天存款类机构质押式回购（DR007）加权平均利率分别跌至0.78%和1.23%，均为月内最低。17日，7天质押式回购（R007）加权平均利率跌至1.40%，为月内最低。随着央行持续暂停逆回购操作，下旬货币市场利率回升。月末，IBO001、R007和DR007加权利率分别收于1.94%、1.93%和1.91%，较月初分别上升47、5和9个基点。月内，IBO001、R007和DR007波幅较大，分别为120、53和67个基点。Shibor方面，隔夜Shibor收于1.88%，较月初上升48个基点。1周、2周、1个月、3个月、6个月、9个月和1年期Shibor分别收于1.92%、1.51%、1.31%、1.40%、1.49%、1.59%和1.68%，较月初分别下降8、22、49、51、52、53和54个基点。
4月，货币市场成交122.7万亿元，同比增加
42.2%。其中，信用拆借成交19.1万亿元，同比增加26.1%；质押式回购成交102.8万亿元，同比增加46%；买断式回购成交8482亿元，同比增加13.2%。从融资结构看，资金净融出额排名前三位的机构分别是大型商业银行、股份制商业银行和政策性银行，净融出额分别为39.8万亿元、29.4万亿元和10.1万亿元；资金净融入额排名前三位的分别是城市商业银行、基金公司和股份制商业银行，净融入额分别为22.7万亿元、22.1万亿元和19.2万亿元。
4月，境外机构在货币市场成交1031亿元，同
比下降14.8%，环比增加70.6%。其中，质押式回购成交855.4亿元，环比增加82.8%。境外机构在货币市场交易环比增速远高于市场总体水平，说明了国内疫情防控阻击战取得重大战略成果，叠加货币市场流动性合理充裕，有力提升了境外机构交易活跃度。
85M市场运行market performance （二）国债收益率曲线延续下行趋势
4月，受公开市场操作利率下调、市场避险情绪
等因素影响，银行间市场债券收益率延续下行趋势。月末，1年期、5年期和10年期国债到期收益率分别收于1.13%、1.79%和2.51%，较月初分别下降55、49和4个基点；1年期和5年期政策性金融债（国开债）到期收益率分别收于1.23%和2.15%，较月初分别下降58和43个基点；1年期和5年期AAA级中期票据到期收益率分别收于1.83%和2.87%，较月初分别下降58和45个基点。
4月，债券市场成交25.9万亿元，同比增长
44.6%。其中债券借贷成交4938亿元。从交易券种看，政策性金融债、国债和同业存单仍然位居前三，成交金额分别为9.9万亿元、5.7万亿元和4.6万亿元，市场占比分别为38.1%、22.0%和17.8%。按待偿期分，5年期以下（含5年）现券交易品种成交17.5万亿元，市场占比68.9%；5-10年期（含10年）现券交易品种成交7.3万亿元，市场占比28.7%。
4月，境外机构现券成交7894亿元，同比增加
107.1%，环比降低16.7%，主要因卖出量较上月减少。其中，境外机构现券买入4649亿元，卖出3245亿元，净买入1404亿元。境外机构现券交易结构由上月的少量净卖出变为净买入，说明相对海外债券市场，境内债券市场的流动性和资产价值吸引力在增强。 （三）利率互换曲线整体下移
4月，受债券市场收益率下行、资金面宽松等
因素影响，利率互换曲线整体下移。月末，1年期FR007互换利率收于1.42%，较月初下降44个基点；5年期Shibor-3M互换利率收于2.18%，较月初下降38个基点；1年期LPR1Y互换（季付）利率收于3.72%，较月初下降15个基点。
4月，利率衍生品市场成交2.2万亿元，同比增
CHINAMONEY May 2020Among them, the pledged repo traded 85.54 billion yuan, up 82.8% MoM. The MoM growth rate of the trading volume by foreign institutions in the money market is much higher than the overall market level, which shows that the trading activity of foreign institutions has been effectively enhanced by both the reasonably accommodative liquidity in the money market and the fact that the domestic battle of epidemic prevention and control has achieved major strategic results.
The treasury yield curve continued the downward trend.In April, due to lower open market operation interest rates and market risk aversion, the bond yields in the interbank market continued their downward trend. At end-April, the yield to maturity of 1Y, 5Y and 10Y treasury bond closed at 1.13%, 1.79% and 2.51%, respectively, down 55, 49 and 4 bps from the beginning of the month.
In April, the bond market traded 25.9 trillion yuan, up
44.6% YoY. Among them, the bond lending traded 493.8 billion yuan. In terms of trading varieties, policy financial bonds, treasury bonds and NCDs still ranked top three with a trading worth of 9.9, 5.7 and 4.6 trillion yuan, respectively, accounting for 38.1%, 22.0% and 17.8% of the market total.
In April, foreign institutions traded 789.4 billion yuan in
cash, up 107.1% YoY or down 16.7% MoM, mainly due to a decrease in selling as compared with the previous month. Among them, foreign institutions bought 464.9 billion yuan in cash, and sold 324.5 billion yuan, resulting in a net purchase of 140.4 billion yuan. The fact that foreign institutions' cash transactions changed from a small amount of net sales last month to net purchases indicats that the liquidity and assets attractiveness of China’s bond market are increasing relative to overseas bond markets.
86The overall IRS curve shifted downwards.
In April, the overall IRS curve shifted downwards due to the decline in bond market yields and an accommodative liquidity. In April, the interest rate derivatives market traded 2.2 trillion yuan, up 36.5% YoY. Among them, the IRS traded 2.1615 trillion yuan, up 36.2% YoY; the standard bond forwards traded 50.34 billion yuan, up 49.2% YoY. In the IRS market, swap transactions linked to the FR007 accounted for 77.2%, and those linked to Shibor accounted for 18.1%. Swap transactions with a maturity of 1Y and below accounted for 65.1%, those of 1-5Y (5Y included) accounted for 13.4%, and those of 5-10Y (10Y included) accounted for 2.9%.
Performance of the interbank FX market
The USD/CNY exchange rate appreciated slightly.
The USD/CNY exchange rate appreciated slightly with narrowing volatility. The USD/CNY central parity closed April at 7.0571, up 280 bps or 0.40% from end-March; the spot RFQ closed April at 7.0519, up 412 bps or 0.58% from end-March. The average intraday volatility of the traded exchange rate stood at 218 bps, a significant decrease of 184 bps from the previous month. The USD/CNH exchange rate closed April at 7.0813, up 126 bps or 0.18% from end-March, with an average monthly CNY-CNH spread of 83 bps.
At end-April, the CFETS RMB index closed at 93.78,
down 0.30% from end-March; the RMB index with reference to BIS currency basket saw no change from end-March and closed at 97.53; and the RMB index with reference to SDR currency basket closed at 91.95, up 0.66% from end-March.
In terms of FX supply and demand, the surplus of banks’
FX purchase and sale in March was US$18.6 billion, up
CHINAMONEY图1 在岸与离岸人民币走势及价差Graph 1 CNY, CNH and CNY-CNH Spread7.20\r 600\r 400\r 7.10\r 200\r 7.00\r 0\r -‐200\r 6.90\r -‐400\r -‐600\r 6.80\r 2020-‐01-‐02\r 2020-‐03-‐01\r 2020-‐04-‐29\r -‐800\r CNY-‐CNH（基点，右轴） USDCNY\r USDCNH\r 数据来源：Wind资讯长36.5%。其中，利率互换成交21651亿元，同比增长36.2%。标准债券远期成交503.4亿元，同比增长49.2%。利率互换市场中，以FR007为浮动端参考利率的互换交易占比为77.2%，以Shibor为浮动端参考利率的互换交易占比为18.1%。1年及1年以下互换交易占比为65.1%，1-5年（含5年）互换交易占比为13.4%，5-10年（含10年）互换交易占比为2.9%。
二、银行间外汇市场运行
（一）人民币兑美元汇率小幅升值
人民币兑美元汇率小幅升值，波幅收窄。4月末，
人民币对美元中间价报7.0571，较上月末升值280个基点，升值幅度0.4%；即期询价交易汇率报7.0519，较上月末升值412个基点，升值幅度0.6%。交易汇率盘中日均波幅218个基点，较上月大幅收窄184个基点；加权价较中间价平均偏离幅度为0.1%，日内上波幅最大偏离0.4%，下波幅最大偏离0.7%，也较上月有所收窄。离岸汇率方面，4月末，离岸人民币汇率报7.0813，较上月末升值126个基点，升值幅度为0.2%，月均价差（CNY-CNH）为83个基点。
4月末，CFETS人民币汇率指数报收93.78，较
87M市场运行market performance上月末贬值0.3%；参考BIS货币篮子人民币汇率指数报收97.53，与上月末持平；参考SDR货币篮子人民币汇率指数报收91.95，较上月末升值0.7%。
外汇供求方面，3月银行结售汇顺差为186亿美
元，较上月扩大45亿美元。同时，由于新冠疫情导致国际金融市场大幅波动，受汇率折算及持有资产价格下降等因素影响，外汇储备有所下降。3月末，官方外汇储备余额为3.06万亿美元，较上月末减少461亿美元。
（二）外汇掉期点上升，期权波动率下降
4月，银行间人民币市场流动性整体保持充裕，
受中美利差扩大影响，各期限外汇掉期点较上月末均有所上升，全月外汇掉期曲线整体上移。4月末，隔夜（ON）、1周、1个月、3个月、6个月和1年期限掉期点分别收于18、4、16、52、165和472个基点，较上月末分别上升23、24、51、82、75和97个基点。
境内人民币期权隐含波动率曲线较上月整体下
移，曲线呈现两头高中间低的态势，显示出市场对汇率中短期波动的担忧下降。中短期限期权隐含波动率降幅较大，4月末1周、1个月和3个月期限分别收于4.15%、4.20%和4.20%，较上月末分别下降165、103和70个基点。中长期限期权隐含波动率降幅相对较小，4月末6个月和1年期限分别收于4.35%和4.43%，较上月末分别下降10和13个基点。 （三）外汇市场交易量同比下降
4月，银行间外汇市场交易量累计达2.7万亿美
元，同比下降23.9%，环比基本持平，主因是受新冠疫情影响，进出口贸易总额同比锐减叠加市场交投不活跃。其中，人民币外汇市场上，外汇掉期交易仍占据主导，共成交13537亿美元，同比下降22%，环比增长3.2%；外汇即期成交5421亿美元，同比下降22.9%，环比下降17.4%；外汇期权成交405.4亿美
CHINAMONEY May 2020US$4.5 billion from the previous month. At the same time, under the impact of factors such as the drastic fluctuations in international financial markets due to the outbreak of novel coronavirus pandemic, and the exchange rate conversion as well as the decline in the price of assets held, China’s FX reserves declined. By end-March, the official FX reserve balance stood at US$3.06 trillion, down US$46.1 billion from the end of the previous month.
FX swap points rose and option volatility declined.
In April, the RMB liquidity in the interbank market remained accommodative as a whole. Due to the expansion of RMB-USD interest rate spread, the FX swap point of each maturity has generally risen over last month, and the overall FX swap curve shifted upwards throughout the month. The implied volatility curve of CNY options shifted downwards as a whole as compared with the previous month, with the curve presenting a U-shaped movement trend, indicating that the market's concern over short-term fluctuations in exchange rates has eased. The implied volatility of medium- and short-term options decreased significantly. At end-April, the variety with a maturity of 1W, 1M, and 3M closed at 4.15%, 4.20%, and 4.20%, respectively, down 165, 103, and 70 bps from end-March. The decline in the implied volatility of medium- and long-term options is relatively small. At end-April, the variety with a maturity of 6M and 1Y closed at 4.35% and 4.43%, respectively, down 10 and 13 bps from end-March.The trading volume in the FX market decreased year-on-year.In April, the total trading volume in the interbank FX market amounted to US$2.7 trillion, down 23.9% YoY and basically unchanged from the previous month, mainly due to the sharp year-on-year decrease of the total import and export trade and inactive market trading under the impact of the
88novel coronavirus pandemic. FX swap transactions still dominated the RMB FX market with a total turnover of US$1.3537 trillion, down 22.0% YoY or up 3.2% MoM; the FX spot traded US$542.1 billion, down 22.9% YoY or 17.4% MoM; the FX options traded US$40.54 billion, down 10.6% YoY or up 16.3% MoM; the FX forwards traded US$10.06 billion, up 54.2% YoY or down 26.0% MoM; the cross-currency swaps traded US$4.39 billion, down 35.3% YoY or up 157.1% MoM. The foreign currency lending market traded US$715.5 billion, down 30.8% YoY or up 3.5% MoM. The foreign currency pairs market traded US$63.2 billion, up 12.0% YoY or up 5.7% MoM.
In April, foreign institutions traded 2.2 trillion yuan in the
interbank FX market, down 6.5% MoM. Among them, the FX spot traded 102.9 billion yuan, down 23.7% MoM; the FX derivatives traded 385.6 billion yuan, down 15.0% MoM; the foreign currency lending traded 1.7 trillion yuan, down 3.0% MoM.
The overseas dollar liquidity squeeze eased, and the domestic interbank USD lending rate declined simultaneously.
In April, while the global economic outlook remained bleak, the overseas dollar squeeze eased. Firstly, the sentiment for interbank USD lending has gradually picked up. Secondly, the market's demand for safe-haven dollars has declined. Thirdly, the liquidity in the United States remained accommodative.
With the easing of the dollar shortage overseas, China’s
interbank USD lending reference rate also decreased simultaneously. At end-April, the varieties with a maturity of 1W, 1M, 3M, 6M, and 1Y closed at 0.46%, 0.91%, 1.60%, 1.73%, and 1.90%, respectively, down 149, 112, 47, 35, and 21 bps from end-March.
CHINAMONEY元，同比下降10.6%，环比增长16.3%；外汇远期成交100.6亿美元，同比增长54.2%，环比下降26%；货币掉期成交43.9亿美元，同比下降35.3%，环比增长157.1%。外币拆借市场成交7155亿美元，同比下降30.8%，环比增长3.5%。外币对市场成交632亿美元，同比增长12%，环比增长5.7%。
4月，境外机构在银行间外汇市场成交2.2万
亿元人民币，环比下降6.5%。其中，外汇即期成交1029亿元，环比下降23.7%；外汇衍生品成交3856亿元，环比下降15%；外币拆借成交1.7万亿元，环比下降3%。
（四）境外美元流动性紧张缓解，境内美元同业拆借利率同步下降
4月，虽然全球经济前景依然不乐观，但境外美
元流动性紧张局面有所缓解。一是银行间美元拆借意愿逐渐回暖。随着全球主要国家或地区疫情防控措施逐渐显效，市场风险偏好回升，美元Libor-OIS利差由高位回落，3个月期限利差从月初的135个基点收窄至月末的50个基点。二是市场对美元的避险需求下降。美元指数自103的高位回落后，4月维持在99～101区间窄幅震荡。三是美国境内流动性继续维持宽松状态。由于美联储为稳定美国国债市场向外国央行推出临时回购便利工具，且对杠杆率等监管措施放松，美国国债收益率继续维持在低位，3个月期限收益率位于0～0.3%区间。
随着境外美元流动性紧张程度缓解，境内美元同
业拆借参考利率也同步下降。4月末，1周、1个月、3个月、6个月、1年期限分别报0.46%、0.91%、1.60%、1.73%和1.90%，较上月末分别下降149、112、47、35和21个基点。
89
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