Report Information - Report Title: "Beware of the Risk of RMB Appreciation" - Research Institution: Huatai Futures Research Institute - Date of Publication: September 5, 2025 [1] Investment Rating - No investment rating for the industry is provided in the report. Core View - The report warns of the risk of RMB appreciation. The current economic expectation differential favors the RMB, the Sino-US interest rate differential is neutral, and trade policy uncertainty is also neutral. In the short term, the USD/CNY is expected to fluctuate between 7.1 - 7.2, while in the medium to long term, attention should be paid to the appreciation resistance range of 6.9 - 7.0 [32][35]. Summary by Directory 1. Quantity and Price Observation - The implied volatility curve of the 3-month USD/CNY option shows an appreciation trend of the RMB, with the put-side volatility higher than the call-side [4]. - The policy counter-cyclical factor has returned below 5%, and the 3-month CNH HIBOR - SHIBOR spread has fluctuated [10]. 2. Fundamental and View Macro - Interest Rate Cuts and Liquidity - There is a divergence in the pricing of interest rate cuts between the US and Europe. The TGA account had a balance of $595.7 billion on August 27, the Fed's reverse repurchase balance was $34.7 billion, and the reserve balance of depository institutions was $3.34 trillion (-$56.6 billion). Powell's speech at the global central bank annual meeting on August 22 turned dovish [17]. Core Chart - US Economy - US employment authority has declined, with a significant downward revision of non - farm payrolls in July. Inflation from tariffs is not significant, and economic expectations have been revised upwards, with fiscal spending rebounding and the August economic outlook showing resilience [19]. Tariff Events - In the trade negotiations between the US and 17 key countries and regions, there is a "gradient implementation." Some agreements have been reached, but many are still in the negotiation stage. The US has also adjusted tariff policies on various industries, and on August 29, the US Court of Appeals ruled that most of Trump's tariff policies were illegal [20][21]. China's Economy - In July, China's exports and consumption showed resilience, but inflation did not rebound, and fixed - asset investment faced pressure. In August, the national PMI was 49.4, with production, new orders, and other indicators showing different trends [22]. Macro - Scenario Deduction - Different time windows are affected by various factors such as domestic policies, Fed policies, inventory cycles, and tariff impacts [30][31]. 3. Overall View - The current economic expectation differential is favorable for the RMB, the Sino - US interest rate differential is neutral, and trade policy uncertainty is neutral. In the short term, the USD/CNY is expected to fluctuate between 7.1 - 7.2, and in the medium to long term, attention should be paid to the appreciation resistance range of 6.9 - 7.0 [35]. 4. Risk Assessment - The range of the basis fluctuation of the futures main contract from January 2022 to the present is between - 1100 and 900 [36].