Benchmark offshore dollar/yuan one-year volatilities fell to their lowest in more than two years as the US dollar index climbing to more than seven-month highs decreased yuan appreciation pressures for now. One-year volatilities hit an intraday low of 3.75 percent bid in early trade on Friday, their lowest level since December 17, 2007.
They recovered slightly to be quoted at 4.40, still lower than Thursday's close of 4.7 percent. Still, the yuan hit more than a one-month low against the dollar in benchmark offshore one-year dollar/yuan non-deliverable forwards (NDFs) on Friday on the strong dollar.
Offshore benchmark one-year dollar/yuan NDFs hit its intraday high of 6.6800 bid on Friday, up slightly from Thursday's close of 6.6605. Twelve-month yuan appreciation implied by NDFs fell slightly to 2.20 percent, the lowest level since December 29, 2009, measured with the Chinese central bank's daily mid-point, from 2.50 percent implied at Thursday's close.
"The general trend for the dollar to rise globally recently has lowered appreciation pressure on the yuan," said a dealer at an Asian bank in Shanghai. A government think tank said in a report carried by state media on Friday that China's GDP growth is expected to reach 11.5 percent in the first quarter while the pace of the consumer price index's rise could accelerate to about 2.5 percent compared with a year earlier.
The dollar index, which tracks the performance of the dollar versus a basket of six major currencies, hit an intraday high of 80.435 and surged past 80 for the first time since mid-June 2009. At midday, spot yuan closed at 6.8271 per dollar, down slightly from Thursday's close of 6.8269. Before the start of trade, the People's Bank of China (PBOC) fixed the yuan's daily mid-point at 6.8272 per dollar, little changed from Thursday's 6.8270.
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