- 710 714 7.10-7.28 20111290 Z0017101 I2023 710 1..........................................................................................1 1.1.....................................................................................1 1.2..................................................................................2 1.2.1..............................................................................................2 1.2.2..............................................................................................3 1.2.3 ....................................................................................................3 2.................................................................................................4 2.1-.........................................................................4 2.2..............................................................................4 2.2.1.......................................................................................4 2.2.2.......................................................................................5 2.2.3...................................................................................6 2.2.4...................................................................................7 2.3.........................................................................................7 2.3.1....................................................................7 2.3.2.................................................................8 3..........................................................................................9 3.1........................................................................10 3.2.................................................................12 ................................................................................................14 ..................................................................................................14 .........................................................................................................15 ....................................................................................................................16 .................................................................................................................17 .............................................................................................................17 .................................................................................................................18 1. ( BIS 7.2258 7.2157 7.1968 7.2054 -0.282% USDCNY7.2620 7.2466 7.2161 7.2336 -0.391% USDCNH7.2590 7.2604 7.2410 7.2552 -0.052% 144.5008 144.5598 142.2463 142.2463 -1.560% 1.0918 1.0962 1.0868 1.0962 0.402% 1.2708 1.2837 1.2694 1.2837 1.009% 102.9229 103.3374 102.2750 102.2750 -0.630% CFETS96.74 —— —— 97.84 0.103% 100.98 —— —— 101.06 0.079% 92.17 —— —— 92.16 -0.011% 1.1 202373-77 SDR CFETSBIS 71416:30 1.1.1 ) ( SDR iFinD ) 7716:30 0.052% 0.391% ISM 1.1.1202373-77 USDCNHUSDCNY Bloomberg 1.1.2 106.00 7.25 105.00 7.15 104.00 7.05 6.95 103.00 102.00 6.85 101.00 6.75 2023-03-102023-04-102023-05-102023-06-10 100.00 : Wind 1.2 1.2.1 710—714 7.10-7.28 1.2.2 7.20 1.2.3 2. - 2.1 77 7.2054204 2.1.1 1 2 -204 1639 -96 -1747 463 RefinitivBloomberg 886 459 -882 2.2.1 2.2.2 0.150 0.100 0.050 0.000 (0.050) (0.100) 7.40 7.30 7.20 7.10 7.00 6.90 6.80 6.70 6.60 0.06 0.04 0.02 0.00 (0.02) (0.04) (0.06) (0.08) (0.10) (0.12) 2022/9/13 2022/10/13 2022/11/13 2022/12/13 2023/1/13 2023/2/13 2023/3/13 2023/4/13 2023/5/13 2023/6/13 (0.14) 5 (0.150) USDCNY16:30 RefinitivBloombergRefinitivBloomberg 2.2 2.2.1 77 3 581 1“一篮子货币汇率贡献”根据Refinitiv调整后数据计算 2“逆周期因子贡献”根据Refinitiv调整后数据计算 = - 3 2.2.3 7.60 7.40 7.20 7.00 6.80 6.60 6.40 6.20 6.00 2020-01-212021-01-212022-01-212023-01-21 : iFinD 2.2.2 2.2.4 800.00 600.00 400.00 200.00 0.00 -200.00 2021-10 2021-11 2021-12 2022-01 2022-02 2022-03 2022-04 2022-05 2022-06 2022-07 2022-08 2022-09 2022-10 2022-11 2022-12 2023-01 2023-02 2023-03 2023-04 2023-05 -400.00 : Delta 500 400 300 200 100 0 -100 -200 -300 -400 7.40 7.20 7.00 6.80 6.60 6.40 6.20 银行结售汇差额:当月值 银行代客远期净结汇:当月值 即期汇率:美元兑人民币:月(右轴) iFinD 2.2.3 2.2.5 7.600.08 7.40 0.06 7.20 0.04 7.00 6.80 0.02 0.00 (0.02) 6.60 (0.04) 6.40 (0.06) 6.20 2019/7/152020/7/152021/7/152022/7/15 CNH-CNYUSDCNHUSDCNY (0.08) iFinD 2.2.4 322 77 USDCNY NDF7 25Delta 1 .0162 2.2.6NDF 2.2.7USDCNY25Delta% 7.40 7.30 7.20 7.10 7.00 6.90 6.80 6.70 6.60 6.50 0.0000 (0.0500) (0.1000) (0.1500) (0.2000) (0.2500) (0.3000) 0.8600 0.7600 0.6600 0.5600 0.4600 0.3600 0.2600 0.1600 0.0600 0.6000 0.5000 0.4000 0.3000 0.2000 0.1000 0.0000 -0.1000 NDF(1Y)-USDCNH(USDCNH NDF(1Y) 1M3M 6M9M 1Y1D 1W BloombergBloomberg 2.3 2.3.1 77 2309 7.2025 365 425 19 2.3.2 2.3.1 30000 25000 20000 15000 10000 5000 0 7.30 7.20 7.10 7.00 6.90 6.80 6.70 7.40 7.30 7.20 7.10 7.00 6.90 6.80 6.70 6.60 6.50 0.20 0.18 0.16 0.14 0.12