在经历了2011年近乎单边上涨的市场波动之后,美元对人民币的外汇掉期价格又再次回到了正数(见图)。在扣除远期和掉期的价差之后,美元对人民币的远期价格也是美元升水的方向。笔者认为,在美元走强的背景下,外汇掉期将更多地体现它的利率属性,成为调节流动性的工具。回归正数原因几何人民币外汇远期、掉期市场回归正数,既有政策原因,也有市场因素。早在2010年年底,监管当局就发布了收付实现制头寸的管理新规。其主要内容是限制各家银行未来远期净结汇的规模。将远期结售汇的头寸持有数量像综合头寸管理那样加以限制。这个政策的设立初衷是减少市场结汇的压力 After experiencing the near unilateral rising market volatility in 2011, the dollar’s foreign exchange swaps to the renminbi once again returned to positive figures (see chart). After deducting the spread between forwards and swaps, the forward price of the U.S. dollar against the yuan is also the direction for the dollar to rise. The author believes that in the context of a stronger dollar, the foreign exchange swap will reflect more of its interest rate attributes and become a tool for regulating liquidity. The reason for the positive regression Geometry RMB forward, swap market return to positive numbers, both policy reasons, but also market factors. As early as the end of 2010, the regulatory authorities issued a new regulatory regulation on the realization of cash receipts and payments. Its main content is to limit the scale of future net foreign exchange settlement of various banks. Limit the number of holdings of positions in forward foreign exchange sales and purchases as the general position management does. The original intention of this policy was to reduce the pressure of market settlement