人民币外汇期货风险管理应用

Report Industry Investment Rating No relevant content provided. Core Viewpoints - Enterprises should establish exchange rate risk management systems and use foreign exchange derivatives to hedge exchange rate risks due to factors like the Fed's potential rate - cut cycle leading to a weaker US dollar and stronger RMB, the need for Chinese enterprises going global to manage foreign exchange risks, and the increasing market participation in more flexible foreign exchange futures [1]. Summary by Directory 1. 2026 RMB Exchange Rate Outlook - In 2026, the RMB exchange rate may rise steadily within the range of 6.8 - 7.2, with limited depreciation space. Its trend depends on the central bank's mid - price adjustment, the performance of the external US dollar index and domestic equity markets, and the export situation. A rising equity market may lead to excessive RMB appreciation, and the release of "pending settlement positions" may amplify the appreciation momentum [9]. 2. Foreign Exchange Futures Market Status - The foreign exchange futures market has deepened and become an effective supplement to traditional hedging tools. In the first 10 months of 2025, the monthly average trading volume of foreign exchange futures was 560.1 billion US dollars, ranking first in the trading scale of on - and off - exchange foreign exchange derivatives, accounting for 51.4% [10]. 3. Hedging Theory Introduction 3.1 Hedging Principle - Hedging is to lock in future trading prices by establishing opposite and matching positions in the derivatives market to offset potential losses from spot price fluctuations. In foreign exchange futures trading, it aims to neutralize the combined position risk of foreign exchange futures and spot exchange rates [14]. 3.2 Hedging Types - Export - oriented enterprises worried about foreign currency depreciation or RMB appreciation can use short - selling hedging in the futures market. Import - oriented enterprises concerned about foreign currency appreciation or RMB depreciation can use long - buying hedging. Enterprises can also adjust positions and risk exposures flexibly [17]. 3.3 Hedging Strategies - Strategy design: Start with a "fixed hedging" strategy and then switch to a "dynamic hedging" strategy. Determine the currency and term according to actual needs. Use static hedging, layered rolling, or rolling hedging methods based on different business situations [18][19][20]. 3.4 Hedging End - End hedging by closing futures positions when completing spot transactions or when market conditions change unfavorably. Or hold the futures contract until maturity and complete the physical delivery process [22][23]. 4. RMB Futures Contract Overview - In November 2025, the average daily trading volume of CUS and UC was about 95,000 and 156,000 lots, with an average daily trading value of about 9.5 billion and 15.6 billion US dollars respectively. The average daily open interest was about 32,000 and 197,000 lots, with an average daily capital deposit of about 3.2 billion and 19.7 billion US dollars respectively [27]. 5. Foreign Exchange Futures Hedging Cases 5.1 Crude Oil Import Enterprises - A Shandong private refinery faces risks from oil price and exchange rate fluctuations. By using "crude oil futures + foreign exchange futures" hedging strategies, it can lock in oil purchase prices and exchange rates, avoiding significant losses compared to non - hedging scenarios [36][37][39]. 5.2 Electronic Product Export Enterprises - A Chinese electronics exporter faces the risk of RMB appreciation. Using foreign exchange futures to hedge can not only avoid exchange rate losses but also achieve additional benefits compared to non - hedging and bank forward hedging [42][43][47]. 6. Foreign Exchange Futures Simulated Trading 6.1 Forward Premium, Export Settlement Scenario - An export enterprise can use foreign exchange futures to hedge against exchange rate risks. In the forward premium scenario, futures hedging can achieve a 304% hedging effect, better than no hedging and bank forward contracts [48][50]. 6.2 Forward Discount, Export Settlement Scenario - When the forward is at a discount, foreign exchange futures can cover all exchange losses and generate additional benefits, with a 134% hedging effect, superior to no hedging and bank forward contracts [50][51]. 6.3 Comparison between Foreign Exchange Futures Hedging and Bank Forwards - Futures have advantages such as lower costs, better liquidity, lower thresholds, price transparency, and the ability to obtain basis spread benefits compared to bank forward contracts [52]. 7. Futures Risk Management 9.1 Margin Risk - Futures trading requires margin deposits, and market fluctuations can lead to margin shortages. Enterprises should reserve sufficient trading funds and carefully determine hedging strategies and positions [53]. 9.2 Forced Liquidation Risk - Futures trading has a forced liquidation system. Enterprises need to pay attention to margin levels, position limits, and compliance to avoid forced liquidation and subsequent losses [54][56]. 8. Enterprise System Construction - Enterprises should formulate regulations to ensure full coverage of risk exposures, clarify the division of labor between decision - making and execution institutions, and establish a supervision and audit mechanism [57][58][59].