Report Summary 1. Report Industry Investment Rating No information is provided regarding the report industry investment rating. 2. Core Viewpoints of the Report - The listing of pure benzene futures/options allows caprolactam (CPL) enterprises to shift from being "passive price takers" to "active cost managers". By focusing on procurement price locking (going long on BZ), combined with rolling position transfers and basis point pricing, and using options to set a cost ceiling, profit fluctuations can be contained within an "operationally acceptable" range [2][3][24]. - The key is to closely align spot plans, futures positions, and profit accounting to form a complete, reviewable, auditable, and optimizable process loop, rather than "guessing price directions" [3][24]. 3. Summary by Relevant Catalogs I. Pure Benzene Industry Chain and Pricing Logic - **Pure Benzene**: It is a basic organic raw material in the petrochemical industry chain with wide - ranging downstream applications. Its price fluctuations significantly impact the cost of CPL production enterprises. Supply is affected by refinery operating rates, import arbitrage windows, and crude oil trends. Demand is mainly from styrene (nearly 50%) and CPL (about 15% - 20%). Its price is highly correlated with crude oil, PX, and styrene, with obvious cyclical fluctuations and relatively limited basis fluctuations in monthly and quarterly dimensions, providing a basis for hedging [4]. - **Caprolactam (CPL)**: It is the core raw material for producing polyamide 6 (PA6). Raw material costs account for over 70% of CPL production costs, with pure benzene having the highest proportion. Its price is driven by pure benzene, energy costs, downstream demand, and industry supply - demand patterns, and there is a certain price - spread transmission relationship with pure benzene [7]. II. Price Linkage Analysis between Pure Benzene and CPL - **Historical Price - Spread Relationship**: Since 2020, the prices of pure benzene and CPL have been highly correlated, with correlation coefficients generally between 0.7 - 0.9, and the CPL - BZ price spread has weakened year by year. In 2025, the average price spread was only 3,201 yuan/ton [8]. - **Profit Transmission**: There are three types of profit transmission: upstream - driven (crude oil price increase leads to reduced CPL profits), downstream - demand - driven (strong demand for spinning and engineering plastics repairs CPL profits), and import - window - driven (opening or closing of the import arbitrage window affects CPL spot pricing) [10]. III. Hedging Strategy Design for Pure Benzene and CPL - **Hedging Principles**: The core goal of hedging is to lock in the enterprise's future production profits. Strategies include full - hedging (maximally hedges raw material price increase risks but loses potential benefits from price drops), proportional - hedging (balances risk hedging and profit elasticity), rolling - hedging (spreads the risk of entry timing but requires high risk - control and fund - management capabilities), and cross - hedging (using other related varieties, but may be ineffective when correlations are insufficient) [11][12][13][14]. - **Calculation of Hedging Lots**: The number of hedging lots = external pure benzene procurement volume ÷ contract unit × hedging ratio. There is a dynamic adjustment mechanism based on production and sales plans, price spreads between spot and futures, and market expectations [15]. - **Key Points of Strategy Implementation**: Select the main contract or near - month contracts with good liquidity, set a margin occupancy cap, and evaluate hedging effectiveness by comparing simulated profits with non - hedged profits [16]. IV. Case Calculation and Profit Scenarios - **Price - Spread Calculation**: Using the "CPL - pure benzene" price spread as an approximate measure of profit can guide hedging ratios and risk management. Different price - spread scenarios are simulated, and a profit warning line of 2,800 yuan/ton is set. Different hedging strategies are recommended based on different price - spread ranges [17][18][19][20]. - **Risk Situations and Strategy Adjustments**: Different risks such as spatial mismatch, time mismatch, excessive basis weakening or strengthening, and simultaneous fluctuations in nominal price spreads and basis are considered, and corresponding strategies are proposed [23].