2012年4月银行间市场运行报告

China＇s interbank market performance in April 2012

2012年4月，银行间市场整体平稳运行，主要特点是：人民币兑美元汇率浮动幅度从0．5％扩大到1％，头寸管理制度改革取消“下限管理”，人民币汇率实际波幅有所扩大，交易价偏离中间价幅度首次超过0．5％，但人民币外汇期权隐含波动率整体下滑。本币市场基本面平淡，货币市场利率震荡上行，银行间国债收益率曲线小幅波动，利率互换价格波动不大，利率互换曲线形态继续改善，Shibor市场基准作用进一步增强。

In April 2012, the interbank market maintained stable performance on the whole. Its main characteristics were as follows： the USD/CNY exchange rate floating range enlarged from 0.5% to 1% and the position management removed ＂lower limit management＂; the actual RMB exchange rate fluctuation slightly enlarged and the deviation of the trading price from the central parity exceeded 0.5% for the first time, however, the RMB/FX option implied volatility dropped on the whole. The RMB market fundamental was dull, and interest rates in the money market rose with fluctuations. The interbank T-bond yield curve slightly fluctuated and there was small fluctuation in the interest rate swap prices, and the shape of the interest rate swap curve continuously improved. The Shibor played a stronger benchmark role.