2019年11月银行间市场运行报告

China’s Interbank Market Performance in November 2019

2019年11月,公开市场操作利率与贷款市场报价利率(LPR)均下行,货币市场利率月中受资金面影响走高后回落;国债收益率曲线和利率互换曲线均整体下移。人民币汇率指数小幅上升;外汇掉期曲线整体上升;人民币汇率期权波动率的凸性增强。

In November 2019,the interest rates for open market operations and the loan prime rates(LPR)both fell,and themoney market interest rates went up in the middle of the month in fluenced by the liquidity condition and then wentdown;the government bond yield curve and IRS curve both shifted downwards.The RMB exchange rate indicesrose slightly;the overall FX swap curve shifted upwards;the convexity of the volatility curve of RMB FX optionsincreased.