Investment

consulting

business

qualification:

CSRCLicense

[2012]

No.669投資咨詢業(yè)務(wù)資格：證監(jiān)許可【2012】669號RiskManagement

Application

ofChina

SteelFutures中國鋼材期貨風(fēng)險管理應(yīng)用2025/9/24More

English

Reportson【CITICFutures

International

ServicePlatform】

Abstract

摘要?Hedging

refers

to

the

process

of

using

futures

instruments

to

offset

the

price

risk

of

physical

goods.

Its

core

principle

lies

in

thetendency

of

spotand

futurespricestomoveinthesamedirection.China'ssteelpricesexhibitdistinctcyclicalcharacteristics

andrelativelysharpfluctuations,

making

riskmanagement

essentialfor

enterprisesinthesector.??The

effectivenessofhedgingisinfluencedby

thebasis,

whichiscalculatedasthespotpriceminusthefuturesprice.Specifically,shorthedging(selling

futures

tohedge)benefitsfrom

arising

basis,

while

longhedging(buying

futuresto

hedge)gainsfromafallingbasis.Different

participants

adopt

tailored

hedging

strategies:

1.

Steel

producers

typically

use

short

hedging;

2.

Steel

traders

may

employ

eithershort

orlonghedging,depending

ontheirbusinessneeds;

3.Steelconsumers

generally

relyonlonghedging.?套期保值，即利用期貨工具來對沖現(xiàn)貨的價格風(fēng)險的操作和過程，主要原理是期貨和現(xiàn)貨價格變動往往一致。中國鋼材價格周期屬性明顯，波動較為劇烈，企業(yè)有必要進(jìn)行風(fēng)險管理。??套保效果受基差（現(xiàn)貨價格-期貨價格）的影響，賣出套保會受益于基差走高，買入套保則受益于基差走低。鋼材產(chǎn)業(yè)鏈中，生產(chǎn)商往往進(jìn)行賣出套保，貿(mào)易商賣出套保和買入套保均有，消費商則一般進(jìn)行買入套保。Risks:

Basis

Fluctuation,

Operational

Risk,

Policy

Changes.

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reportsChina

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Iron

Ore

Futures

for

Industrials

中國鐵礦石期貨在企業(yè)風(fēng)險管理中的應(yīng)用

20250701Thisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinions

andinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風(fēng)險，投資需謹(jǐn)慎。1China

Steel

Futures

Contracts中國鋼材期貨合約Steel

Rebar

螺紋鋼Hot-RolledCoil

熱軋卷板10噸/手Contract

Size10metrictons/lot10噸/手10metrictons/lot交易單位PriceQuotation報價單位Yuan(RMB)/metricton元（人民幣）/噸Yuan(RMB)/metricton1Yuan/metricton元（人民幣）/噸1元/噸Minimum

Price

Fluctuation最小變動價位1Yuan/metricton1元/噸Range

of

Price

Limit漲跌停板幅度ListedContracts合約月份Within3%

of

the

settlementpriceof

the

precedingtradingdayMonthlycontractfor

the

mostrecent12

months上一交易日結(jié)算價±3%Within3%

of

the

settlementpriceof

the

precedingtradingdayMonthlycontractfor

the

mostrecent12

months上一交易日結(jié)算價±3%1～12月1～12月TradingHours交易時間9:00a.m.

to

11:30a.m.,

1:30p.m.

to

3:00p.m.,

and

other

hoursspecifiedby

the

Exchange(BeijingTime)9:00a.m.

to

11:30a.m.,

1:30p.m.

to

3:00p.m.,

and

other

hoursspecifiedby

the

Exchange(BeijingTime)上午9:00－11:30，下午1:30－3:00和交易所規(guī)定的其他交易時間上午9:00－11:30，下午1:30－3:00和交易所規(guī)定的其他交易時間15th

day

of

the

contractmonth

(postponedaccordinglyif

it

is

alegal

holidayin

Chinaand

subject

to

separateadjustment

andannouncement

by

the

Exchange

if

it

fallsin

the

SpringFestivalmonth

or

another

monthspeciallydesignatedby

the

Exchange.)15th

day

of

the

contractmonth

(postponedaccordinglyif

it

is

a合約月份的15日（遇國家法定節(jié)假日順延，春節(jié)月份等最后交易日

legal

holidayin

Chinaand

subject

to

separateadjustment

andLast

TradingDay最后交易日合約月份的15日（遇國家法定節(jié)假日順延，春節(jié)月份等最后交易日交易所可另行調(diào)整并通知）交易所可另行調(diào)整并通知）announcement

by

the

Exchange

if

it

fallsin

the

SpringFestivalmonth

or

another

monthspeciallydesignatedby

the

Exchange.)Delivery

Period交割日期Two

consecutivebusinessdaysafter

the

lasttradingday最后交易日后連續(xù)二個工作日Two

consecutivebusinessdaysafter

the

lasttradingday最后交易日后連續(xù)二個工作日Standard:

Q235Bhot-rolledcoilsas

prescribedin

GB/T3274-2017:

Hot-RolledPlatesandStripsof

Carbon

Structural

Steel

andLow-alloyStructural

Steel,

or

SS400

hot-rolledcoilsas

prescribed

標(biāo)準(zhǔn)品：符合GB/T3274-2017《碳素結(jié)構(gòu)鋼和低合金結(jié)構(gòu)鋼熱軋厚in

JISG3101-2015:

RolledSteel

for

General

Structures,

both

with

鋼板和鋼帶》的Q235B或符合JIS

G3101-2015《一般結(jié)構(gòu)用軋制鋼Standard:

HRB400E

steel

rebarsof

diameter

Φ16mm,

Φ18mm,Φ20mm,

Φ22mm,

or

Φ25mmas

prescribedin

NationalStandardGB

1499.2-2024:

Steel

for

the

ReinforcementofConcrete-Part2:

HotRolledRibbedBars.athicknessof

5.75mmandawidth

of

1,500mm.材》的SS400，厚度5.75mm、寬度1500mm熱軋卷板。Gradeand

QualitySpecifications交割品級標(biāo)準(zhǔn)品：符合國標(biāo)GB

1499.2-2024《鋼筋混凝土用鋼

第2部分：熱軋帶肋鋼筋》HRB400E牌號的Φ16mm、Φ18mm、Φ20mm、Φ22mm、Φ25mm螺紋鋼。Substitute:

Q235Bhot-rolledcoilsas

prescribedin

GB/T3274-2017:

Hot-RolledPlatesandStripsof

Carbon

Structural

Steel

andLow-alloyStructural

Steel,

or

SS400

hot-rolledcoilsas

prescribedin

JISG3101-2015:

RolledSteel

for

General

Structures,

both

withathicknessof

9.75mm,

9.5mm,

7.75mm,

7.5mm,

5.50mm,4.75mm,

4.50mm,

3.75mm,

or

3.50mmandawidth

of

1,500mm.替代品：符合GB/T3274-2017《碳素結(jié)構(gòu)鋼和低合金結(jié)構(gòu)鋼熱軋厚鋼板和鋼帶》的Q235B或符合JIS

G3101-2015《一般結(jié)構(gòu)用軋制鋼材》的SS400，厚度9.75mm、9.5mm、7.75mm、7.5mm、5.50mm、4.75mm、4.50mm、3.75mm、3.50mm、寬度1500mm熱軋卷板。Delivery

Venue交割地點MinimumTradeMargin最低交易保證金Settlement

Type交割方式SHFE-designateddeliverystoragefacilities5%

of

contractvaluePhysical

delivery交易所交割倉庫合約價值的5%實物交割SHFE-designateddeliverystoragefacilities4%

of

contractvaluePhysical

delivery交易所指定交割倉庫合約價值的4%實物交割Delivery

Unit交割單位300metrictons300噸300metrictons300噸Contract

Symbol交易代碼RBRBHCHCListing

Exchange上市交易所Shanghai

Futures

Exchange上海期貨交易所Shanghai

Futures

Exchange上海期貨交易所Thisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinions

andinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風(fēng)險，投資需謹(jǐn)慎。Sources：SHFE,

CITIC

Futures2CONTENTHedging

IntroductionHedging

Cases套期保值案例套期保值介紹

010201HedgingIntroduction套期保值介紹1.1.1

Participants:

Steel

Production

Enterprises參與者：鋼鐵企業(yè)?

Businessmodel:Steelfinished

products

areproduced

usingcoking

coal,coke,

ironore,and

scrap

steelas

main

rawmaterials

throughsmelting

in

blastfurnaces,

converters,orelectric

furnaces,

andarethen

sold.?

Pricingmodel:(1)Along-termcontract

pricingmodel

between

steelmillsanddownstreamcustomers,

with

ten-day

ormonthly

pricesasreferences;

(2)Market-based

pricingfollowing

themarket

trend.?

經(jīng)營模式：以焦煤、焦炭、鐵礦石、廢鋼為主要原料，經(jīng)高爐、轉(zhuǎn)爐或者電爐，冶煉得到鋼材成品后銷售。?

定價模式：（1）鋼廠與下游客戶以旬、月價格為參考的長協(xié)定價模式；（2）隨行就市的市場定價。Business

ModelofSteelProduction

Enterprises鋼鐵企業(yè)經(jīng)營模式Smelting

&

Processing(coking,sintering,pelletizing,ironmaking,steelmaking,

steelrolling)FinishedProductSales(monthly

orten-day

long-termagreement

pricing,market-basedpricing)RawMaterialProcurement(coking

coal,

coke,ironore,

scrapsteel,etc.)冶煉加工（煉焦、燒結(jié)、造球、煉鐵、煉鋼、軋鋼）原料采購（焦煤、焦炭、鐵礦石、廢鋼等等）成品銷售（月度或旬度長協(xié)定價、隨行就市）Production

andProcessing

Sequence生產(chǎn)加工順序Thisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinions

andinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風(fēng)險，投資需謹(jǐn)慎。51.1.2

Participants:

Steel

Trading

Enterprises參與者：鋼貿(mào)企業(yè)?

Businessmodel:Purchase

steelfrom

steelmills,transfer

ittowarehousesfor

stockpiling,and

sellit

whenpricesrise.?

Pricingmodel:(1)Pricingbased

onthe

10-dayormonthly

average

price;(2)Fixed-pricesettlement

following

the

market

trend.?

Salesaremainly

conducted

at

afixed

price.Duetothe

time

gapbetweenprocurement

and

sales,inventoryfaces

the

pressure

ofdepreciation,resultingin

riskexposure.?

經(jīng)營模式：從鋼廠采購，轉(zhuǎn)運至倉庫囤貨，待價格上漲后出售。?

定價模式：（1）旬度/月度均價定價；（2）隨行就市固定價結(jié)算。?

銷售一般以固定價銷售為主，由于采購與銷售面臨時間差，庫存面臨貶值壓力，存在風(fēng)險敞口。Business

ModelofSteelTrading

Enterprises鋼貿(mào)企業(yè)經(jīng)營模式SteelProcurement(Settlement

based

on

10-day/monthly

averageprice;

Fixed-price

settlement)Steel

Sales(Export;Salestoend-users;

Salestoother

traders)SteelStockpiling(Transfer

tovarioussocialwarehouses

for

storage)鋼材銷售（出口、銷售給終端用戶、銷售給其他貿(mào)易商）鋼材囤積（轉(zhuǎn)運至各類社會倉庫儲存）鋼材采購（旬度、月度均價結(jié)算；固定價結(jié)算）Order&TradeSequence訂單貿(mào)易順序Thisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinions

andinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風(fēng)險，投資需謹(jǐn)慎。61.2

Hedging

Concept套期保值概念?

Definition:

Hedging

is

to

use

futures

to

hedge

against

the

price

risk

of

spot

goods.

To

do

this,

traders

simultaneously

take

a

position

in

thefutures

market

for

the

same

or

a

similar

commodity

that

is

equal

in

quantity

but

opposite

in

direction

to

a

position

held

in

the

spot.

This

allowsprofitsfromthe

futures

tradeto

offset

lossesfrom

adversepricemovements

in

the

spot

market.?

Operation:

If

traders

are

worried

about

price

increases

when

purchasing

raw

materials,

they

take

a

long

position

(buy)

in

the

futures

market;

iftheyareworried

about

pricedecreases

when

selling

finishedproducts,

theytake

a

shortposition(sell)

in

the

futures

market.?

Principles:?

(1)The

factors

affecting

supplyand

demand

arethe

same

(for

both

spot

andfutures);?

(2)The

pricemovement

trendsofspot

andfutures

tend

tobe

consistent;?

(3)The

pricesofspot

andfutures

converge

asthe

delivery

date

approaches.?

概念：套期保值，即利用期貨工具來對沖現(xiàn)貨的價格風(fēng)險的操作和過程。交易者配合現(xiàn)貨買賣，在期貨市場同時買進(jìn)或賣出與現(xiàn)貨市場數(shù)量相同、方向相反的相同或相近期貨合約，通過期貨收益來對沖現(xiàn)貨價格波動風(fēng)險。?

操作：采購原料怕漲價，期貨市場多頭買入；產(chǎn)品銷售怕跌價，期貨市場空頭賣出。?

原理：（1）供需影響因素相同；（2）期現(xiàn)變動趨勢趨同；（3）交割日期現(xiàn)價格回歸。Thisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinions

andinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風(fēng)險，投資需謹(jǐn)慎。71.3

Hedging

Theory:

Spot&Future

Price套保理論：期現(xiàn)價格回歸?

The

factorsinfluencing

futuresprices

andspotpricesarethesame.

When

the

contract

expires,

thespot

priceand

thefutures

pricewill

beroughlyequal.Sincethe

launchin

2009,

steelrebar

futures

hasmaintained

activetradingandclose

linkagewith

the

spot

market,

with

thecorrelationcoefficient

between

the

futures

priceandthe

spot

pricereaching

0.976.?

影響期貨價格與現(xiàn)貨價格的主要因素是相同的。到合約期滿時，現(xiàn)貨價格與期貨價格將大致相等。螺紋鋼期貨自2009年上市以來，交易活躍，與現(xiàn)貨市場聯(lián)動緊密，期貨和現(xiàn)貨價格的相關(guān)系數(shù)達(dá)0.976。Price

Trend

ofSteelRebar

(Spot&Futures)螺紋鋼價格走勢（現(xiàn)貨&期貨）元/噸

yuan/tonspot

pricesfutures

prices螺紋鋼：HRB400E：Φ20：匯總價格：上海（日）SHFE：螺紋鋼：主力合約：收盤價（日）65006000550050004500400035003000250020002020/042020/102021/042021/102022/042022/102023/042023/102024/042024/102025/04Sources：Wind,

CITIC

FuturesThisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinions

andinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風(fēng)險，投資需謹(jǐn)慎。81.4

Basis

Affects

Hedging

Effectiveness基差影響套保效果?

The

basis

(spotprice-futuresprice)will

affect

theeffectiveness

ofhedging.

Forashort

hedge:

Ifthe

basisstrengthens

(meaning

thedeclinein

the

spotpriceis

smallerthan

that

in

the

futures

price),the

gainsfrom

the

futures

positionwill

notonlyoffset

the

losses

from

the

spotpositionbutalsogenerate

additionalprofits.

Ifthe

basisweakens(meaning

thedeclinein

the

spotpriceis

largerthanthat

in

the

futures

price),the

gainsfrom

the

futures

positionwill

notbe

sufficient

tofullycoverthelosses

from

thespot

position.?

基差（即現(xiàn)貨價格-期貨價格）會影響套保效果。對于賣出套保而言，若基差走強(qiáng)，即現(xiàn)貨跌幅小于期貨，則期貨收益在對沖現(xiàn)貨損失之外，可獲得額外收益；如果基差走弱，即現(xiàn)貨跌幅大于期貨，則期貨收益不能完全覆蓋現(xiàn)貨損失。Basis

Changes基差變動價格PriceFutures期貨現(xiàn)貨Spot

goods基差波動Basis

changesThisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinions

andinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風(fēng)險，投資需謹(jǐn)慎。91.4

Basis

Affects

Hedging

Effectiveness基差影響套保效果?

To

select

the

timing

and

strategy

for

hedging,

it

is

important

to

assess

the

basis

level.

If

the

basis

is

at

a

historical

low,

implementing

a

shorthedge

will

provideahighermargin

ofsafety.?

The

basisisrelatedtoinventory,steelmillprofits,

andmacroeconomicconditions.Basisandinventory

show

an

inverserelationship,and

whenpolicies

change,

the

futures

priceresponds

faster

andmore

significantly

than

thespot

pricedueto

its

sensitivity.?

因此，套保時機(jī)和策略需要判斷基差水平。若基差處于歷史低位，賣出套保則具有更高的安全邊際。?

基差通常與庫存、鋼廠利潤、宏觀形勢有關(guān)。庫存與基差呈反向變動關(guān)系，而宏觀政策變化時，期貨價格更有領(lǐng)先性和靈敏性。BasisDistribution

ofSteelRebarChina

SteelRebarInventory

andBasis天津螺紋基差分布全國螺紋庫存與基差Basisof

Steel

Rebar

Main

Continuous

Contract螺紋鋼主連基差yuan/ton螺紋鋼總庫存Steel

Rebar

Inventory螺紋鋼基差Steel

Rebar

Basis2500200015001000500100080060040020008007006005004003002001000-200-400-100-20002019/07

2019/12

2020/05

2020/10

2021/03

2021/08

2022/01

2022/06

2022/11

2023/042019/07

2020/01

2020/07

2021/01

2021/07

2022/01

2022/07

2023/01

2023/07Sources：Wind,

Mysteel,

Fubao,

CITIC

FuturesThisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinions

andinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風(fēng)險，投資需謹(jǐn)慎。101.4

Basis

Affects

Hedging

Effectiveness基差影響套保效果?

Steelmill

profitsarea

leadingindicatorofsteel

supply,

andtheyshow

apositive

correlationwith

thebasis

mostofthetime.

If

steelmills

suffer

continuouslosses,

thelikelihoodofproduction

cuts

in

the

future

will

increase,leadingtostronger

futures.

Conversely,

if

steelmillprofits

continue

toimprove,millsmay

increase

production

in

the

future,

resultingin

weaker

trends

in

futures

prices.?

鋼廠利潤是鋼材供應(yīng)的領(lǐng)先指標(biāo)，鋼廠利潤與基差大部分時間呈正相關(guān)。若鋼廠持續(xù)虧損，未來減產(chǎn)的可能性上升，導(dǎo)致期貨價格更為堅挺。反之，若鋼廠利潤持續(xù)好轉(zhuǎn)，未來鋼廠或提升產(chǎn)量，期貨價格走勢更弱。SteelMillProfits

andBasis鋼廠利潤與基差Steel

Rebar

Basis螺紋鋼基差Steel

Rebar

Profit螺紋鋼利潤yuan/ton1400120010008006004002000-200-4002019/072020/012020/072021/012021/072022/012022/072023/012023/07Sources：Wind,

Mysteel,

Fubao,

CITIC

FuturesThisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinions

andinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風(fēng)險，投資需謹(jǐn)慎。111.5

Hedging’s

Significance套期保值的意義?

Hedgingenablesenterprises

tomaintain

profitacquisitionwhile

reducing

potentialsignificant

fluctuationsintheproduction

process

and

avoidingpossiblesystemic

risks.?

套?？梢宰屍髽I(yè)在獲取利潤的同時，減少生產(chǎn)環(huán)節(jié)中可能的大幅波動，規(guī)避可能發(fā)生的系統(tǒng)性風(fēng)險。Hedging

Can

SmoothCorporateProfits套保平滑企業(yè)利潤Pprofit

before

hedging套保前利潤套保后利潤profit

after

hedgingTThisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinions

andinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風(fēng)險，投資需謹(jǐn)慎。1202HedgingCases套期保值案例2.1

Enterprise

Risk

Exposure企業(yè)風(fēng)險敞口EnterpriseRiskExposureHedgingTypeSteelPriceRiskType鋼材價格風(fēng)險企業(yè)類型風(fēng)險敞口套保類型Upstream

closure；downstream

exposurePricedecreaseShorthedgeProducer上游閉口下游敞口賣出套保生產(chǎn)商下跌風(fēng)險Priceincrease

anddecreaseSteelIndustryChainLong

hedge,short

hedgeUpstream

anddownstream

exposureTrader上游敞口下游敞口買入套保賣出套保貿(mào)易商上漲風(fēng)險下跌風(fēng)險鋼材產(chǎn)業(yè)鏈Upstream

exposure;downstream

closureConsumerPriceLong

hedge上游敞口下游閉口increase消費商買入套保上漲風(fēng)險Thisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinions

andinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風(fēng)險，投資需謹(jǐn)慎。142.2

Enterprise

Risk

ExposureCase

Study企業(yè)風(fēng)險敞口案例分析?

Steel

prices

exhibitobvious

cyclical

characteristics

and

fluctuate

relativelysharply.

After

China

launched

the

investment

plan,

steel

pricesrose

from

3,500

yuan/ton

in

2009

to

5,000

yuan/ton

in

2011.

Subsequently,

steel

prices

fell

continuously

for

4

years,

eventually

dropping

below2,000

yuan/ton.

After

2016,

policies

such

as

supply-side

structural

reform,

shantytown

renovation,

elimination

of

“Di

Tiao

Gang"

(illegallyproduced

steel),

and

environmental

protection-related

production

restrictions

significantly

boosted

steel

prices.

After

the

2020

COVID-19pandemic,

accommodative

policies

and

post-pandemic

economic

recovery

drove

steel

prices

to

reach

6,000

yuan/ton

in

the

first

half

of

2021.However,

with

the

weaknessofChina'srealestate

sector,

steelpriceshave

continued

to

decline.?

鋼材價格周期屬性明顯，波動較為劇烈。（1）中國推出投資政策后，鋼材從2009年的3500元/噸上漲至2011年的5000元/噸。（2）之后鋼材價格連續(xù)4年下跌，最終跌破2000元/噸。（3）2016年后，供給側(cè)改革、棚戶區(qū)改造、去地條鋼、環(huán)保限產(chǎn)等政策大幅提振鋼材價格。（4）2020年疫情后，政策寬松和疫后復(fù)蘇推動鋼材價格在2021年上半年達(dá)6000元/噸。（5）但隨著中國房地產(chǎn)疲弱，鋼材價格持續(xù)下行。Historical

Trendof

SteelPrices鋼材價格歷史走勢yuan/ton期貨收盤價(活躍合約):螺紋鋼7,000.006,000.005,000.004,000.003,000.002,000.001,000.000.00SteelRebar

FuturePrices投資擴(kuò)張investmentexpansion疫后恢復(fù)post-pandemicrecovery產(chǎn)能過剩overcapacity經(jīng)濟(jì)下行壓力downwardpressure

ontheeconomy房地產(chǎn)下行real

estatedownturn供給側(cè)改革、棚戶區(qū)改造supply-side

reform,shantytown

renovation2009/032010/032011/032012/032013/032014/032015/032016/032017/032018/032019/032020/032021/032022/032023/03Sources：Wind,

CITIC

FuturesThisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinions

andinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風(fēng)險，投資需謹(jǐn)慎。152.3.1

Short

Hedging

Case:

Background賣出套保案例:企業(yè)背景?

On

March2023,a

steelmillhadexcess

inventoryandwas

concerned

about

potentialpricedeclinesinthefuture.

Assuming

the

steelmillmaintained

amoderately

highneutralprofitlevelandthe

futures

pricewasroughlyonparwith

thespot

price,if

itanticipatedthatsteel

pricesmight

weaken

over

the

next

two

months

dueto

diminishedmacroeconomic

driversandoversupply,

itwould

implement

ashort

hedge

for

projectswith

fixed

production

costs.?

2023年3月，某鋼廠存超額庫存，擔(dān)心未來價格下跌。假設(shè)鋼廠利潤中性偏高，期貨基本平水現(xiàn)貨。若預(yù)期未來2個月，鋼材價格或因宏觀驅(qū)動減弱、供給過剩走弱，則可對生產(chǎn)成本已定的項目進(jìn)行賣出套保。SteelPrice鋼材價格上海:價格:螺紋鋼:HRB400

20mm:月:平均值SteelRebaryuan/ton6,000.005,000.004,000.003,000.002,000.001,000.000.002009/01

2010/01

2011/01

2012/01

2013/01

2014/01

2015/01

2016/01

2017/01

2018/01

2019/01

2020/01

2021/01

2022/01

2023/01Sources：Wind,

CITIC

FuturesThisreport

isnot

aservice

under

the

futures

trading

consulting

business.

Theopinions

andinformation

provided

are

for

reference

only

and

donot

constituteinvestment

adviceto

anyone.

CITIC

Futures

do

not

consider

relevant

personnel

as

clientdueto

the

attention,

receipt,

orreading

of

this

report本報告非期貨交易咨詢業(yè)務(wù)項下服務(wù)，其中的觀點和信息僅作參考之用，不構(gòu)成對任何人的投資建議。我司不會因為關(guān)注、收到或閱讀本報告內(nèi)容而視相關(guān)人員為客戶；市場有風(fēng)險，投資需謹(jǐn)慎。162.3.2

Select

A

Hedging

Strategy選取套期保值策略?

Strategy

Selection:

Since

the

enterprise's

risk

lies

in

inventory

impairment

caused

by

a

decline

in

spot

prices,

short

hedging

is

the

primarystrategy.

The

timing

and

entry

points

are

determined

based

on

factors

such

as

the

current

basis

level,

future

supply-demand

outlook,enterpriseinventory,

and

steelcosts.?

Number

of

Hedging

Contracts:

If

the

enterprise’s

risk

exposure

amounts

to

80,000

tons

of

spot

steel

(equivalent

to

8,000

lots

of

futurescontracts),

and

considering

the

value-added

tax

(VAT)

risk

arising

from

a

rise

in

spot

prices,

the

hedging

ratio

shall

be

calculated

as

1/1.13

≈88.5%,

corresponding

to7,080

futures

lots(Note:Adjustments

shallbemade

based

on

theactualVATrate).?

Margin

Usage:

If

short

hedging

is

fully

implemented

using

RB2309

contract,

with

an

entry

price

of

RMB

4,288

per

ton

and

a

margin

ratio

of13%,

the

required

initial

margin

for

opening

positions

will

be

RMB

39.47

million.

To

guard

against

adverse

price

movements,

a

risk-averseapproach

is

to

allocate

capital

equivalent

to

twice

the