— 量价和政策信号— 窄幅震荡，关注非农 数据 华泰期货研究院 2026年01月09日 蔡劭立 F3063489 Z0014617 2 【量价观察】美元兑人民币期权隐含波动率下降 联系人： 朱思谋 F03142856 ◆3个月的美元兑人民币期权隐含波动率曲线显示出人民币的升值趋势，Put端波动率高于Call端 美元兑人民币期权隐含波动率 Delta为5的美元兑人民币3个月期权隐含波动率 数据来源： 3 Bloomberg Wind 华泰期货研究院 2 3 4 5 6 3M 2026/01/08 3M 2025/12/26 3M 2025/09/30 0 2 4 6 8 10 12 2023-11 2024-05 2024-11 2025-05 2025-11 20260107（%） 20251231（%） 20251210（%） 0.0 0.5 1.0 1.5 2.0 2.5 3.0 本周新交所美元兑人民币期货升贴水(-) 本周银行远期升贴水(-) 本周美中利差 0.0 0.5 1.0 1.5 2.0 2.5 3.0 上周新交所美元兑人民币期货升贴水(-) 上周银行远期升贴水(-) 上周美中利差 0.5 1. ...

文 | 人民币观察 大河 图 | 微摄 综合市场主流机构预测与核心驱动因素演化趋势，2026年人民币汇率将以"温和升值为主基调、双向波动常态化、先升后稳显韧性"为核心特征，汇率中枢有 望突破7.0整数关口，全年运行区间预计在6.7-7.2之间。智通财经综合9家机构预测显示，2026年底人民币兑美元汇率有望收于6.7-7.0区间，其中德意志银行 预测更为乐观，认为到2026年底人民币兑美元将升值至6.7，2027年底进一步升至6.5；东吴证券预计2026年底人民币对美元或升向6.7-6.8；南华期货则认为 全年核心波动区间为6.80-7.15。 2025年，全球金融市场经历货币政策转向与经济格局重构的深度调整，人民币汇率在内外因素交织作用下走出"先弱后强、波动收窄"的鲜明轨迹。年末，离 岸人民币成功突破7关键关口，为2026年走势奠定偏强基础。展望新一年，在美联储降息周期延续、中国经济韧性凸显、人民币国际化进程加速等多重积极 因素支撑下，市场主流预期人民币将延续温和升值态势，但全球经济复苏分化、地缘政治博弈等不确定性仍可能引发阶段性波动。深入解析人民币走势的核 心驱动逻辑与未来演化路径，对企业经营、跨境投资及宏 ...

中信期货国际化研究 | CITIC Futures International Research 2025-12-19 人民币外汇期货风险管理应用 | 张 | 菁 | Zhang Jing | 从业资格号 Qualification No：F3022617 | 投资咨询号 Consulting No.：Z0013604 | | --- | --- | --- | --- | --- | | 桂晨曦 | | Gui Chenxi | 从业资格号 Qualification No：F3023159 | 投资咨询号 Consulting No.：Z0013632 | CITIC Futures International Service Platform：https://internationalservice.citicsf.com Investment consulting business qualification：CSRC License [2012] No. 669 投资咨询业务资格：证监许可【2012】669 号 目前，在港交所、新交所和芝交所均有美元兑人民币期货，交易代码分别为 CUS、UC、CNH ...

2 【量价观察】美元兑人民币期权隐含波动率下降 国内基本面向好与美 联储降息的双重信号 华泰期货研究院 2025年12月12日 蔡劭立 F3063489 Z0014617 联系人： 朱思谋 F03142856 — 量价和政策信号— 【量价观察】期限结构 ◆3个月的美元兑人民币期权隐含波动率曲线显示出人民币的升值趋势，Put端波动率高于Call端 美元兑人民币期权隐含波动率 Delta为5的美元兑人民币3个月期权隐含波动率 数据来源： 3 Bloomberg Wind 华泰期货研究院 2 3 4 5 6 3M 2025/12/11 3M 2025/09/30 3M 2025/06/30 0 2 4 6 8 10 12 2023-09 2024-03 2024-09 2025-03 2025-09 20251210（%） 20251203（%） 20251112（%） (0.5) 0.5 1.5 2.5 3.5 4.5 一月 三月 六月 一年 本周新交所美元兑人民币期货升贴水(-) 本周银行远期升贴水(-) 本周美中利差 (0.5) 0.5 1.5 2.5 3.5 4.5 一月 三月 六月 一年 上周新交所美元兑 ...

Summary of Key Points from Conference Call Records Industry Overview - The records focus on the foreign exchange market dynamics, particularly the outlook for the Chinese Yuan (RMB) against the US Dollar (USD) through 2026, highlighting the implications of monetary policy differences between the US and China [1][2]. Core Insights and Arguments - **Interest Rate Expectations**: The market anticipates a significant divergence in interest rate cuts between the US and China, with expectations of over 75 basis points in the US and around 25 basis points in China, which could favor RMB appreciation [1][2]. - **Unsettled Foreign Exchange Amounts**: Current assessments suggest that the actual unsettled foreign exchange amounts are closer to $150-200 billion, rather than the previously estimated $800-1,200 billion, due to the inversion of interest rates leading to increased overseas direct investments [1][3][4]. - **Weak Dollar Cycle**: The USD is entering a new weak cycle expected to last 3-5 years, influenced by factors such as de-dollarization trends, reduced US Treasury holdings, and fiscal deficits, which may provide long-term appreciation opportunities for the RMB [1][5]. - **China's Current Account Surplus**: A robust current account surplus, combined with the repatriation of overseas investment profits, supports the RMB's mid-term fundamentals, with seasonal settlement becoming increasingly important for RMB appreciation [1][6]. - **Federal Reserve's Dovish Stance**: The Federal Reserve's internal divisions suggest a continued dovish approach, with personnel changes potentially accelerating rate cuts, further pressuring the USD and enhancing RMB appreciation [1][7]. Additional Important Insights - **RMB Stability Amidst Weak USD**: Despite the weak USD, the RMB has not experienced significant volatility due to a shift in settlement structures from USD dominance to a diversified currency basket, reducing sensitivity to USD fluctuations [1][8]. - **Long-term RMB Policy**: China's RMB policy currently aims for stability, with a long-term trend towards appreciation to alleviate economic growth pressures, particularly in light of the 2035 GDP doubling goal [1][9][10]. - **Factors Influencing RMB Exchange Rate**: Future RMB exchange rates will be influenced by political uncertainties, changes in US-China interest rate differentials, and economic expectations, with a stable global economy supporting RMB appreciation [1][11]. - **2026 RMB Exchange Rate Outlook**: The expectation for 2026 includes a potential 7% appreciation of the RMB against the USD, with various hedging tools available for enterprises to manage foreign exchange risks [1][12][14]. Hedging Strategies - **Choosing Hedging Tools**: Enterprises are advised to consider different contract types and rolling methods for hedging, with forward contracts generally being more expensive than futures. Strategies to optimize costs include using deep discount contracts and adjusting hedging ratios based on market conditions [1][14][16]. Arbitrage Opportunities - **HKD and USD Arbitrage**: Under the Hong Kong dollar's peg to the USD, there are opportunities for arbitrage, particularly when interest rate differentials widen, and during periods of market intervention by the Hong Kong Monetary Authority [1][15]. This summary encapsulates the key points from the conference call records, providing a comprehensive overview of the foreign exchange market dynamics and the outlook for the RMB.

Core Viewpoint - The Singapore Exchange (SGX) aims to enhance the cross-border ETF connectivity with China, focusing on attracting Chinese companies with global strategies and promoting bilateral capital flow between the two markets [2][7]. Group 1: ETF Connectivity and Market Expansion - As of July 2025, the cross-border ETF connectivity mechanism has listed 10 cross-border ETF products with a total asset management scale exceeding 3 billion RMB [4][6]. - SGX plans to include more ETFs in the connectivity mechanism to broaden investment options and attract asset management companies from both China and Singapore [6]. - SGX and the Shanghai Stock Exchange are collaborating on developing indices related to core themes, industries, and large companies in Asia, aiming to convert these indices into ETF products [6]. Group 2: Support for Chinese Enterprises - SGX is committed to supporting Chinese companies in raising funds in international markets through secondary listings [7]. - The exchange welcomes Chinese enterprises seeking overseas expansion and financing opportunities, particularly targeting the growing middle-class consumers in Southeast Asia [11]. Group 3: International Investor Sentiment - International investors are increasingly viewing the Chinese market with a long-term perspective, driven by recent economic and capital market performance [8]. - There has been a notable increase in trading activity related to consumer sectors and REITs containing Chinese assets, with significant participation from institutional investors [9]. - The SGX has observed heightened interest from international investors in sectors such as industrial, consumer, and real estate recovery in China [9]. Group 4: Market Liquidity and Support Initiatives - The stock market transaction volume in Singapore has increased significantly, with a year-on-year growth of over 27% [12]. - The Monetary Authority of Singapore has launched various measures to improve market liquidity, including the EQDP plan aimed at enhancing the activity of small and mid-cap stocks [12]. - SGX has simplified the IPO application process, reducing the time from application to listing to approximately 6 to 8 weeks, providing greater certainty for applicants [12].

Group 1 - The core viewpoint is that international investors are taking a long-term perspective on Chinese assets, with a focus on expanding the cross-border ETF connectivity between China and Singapore [1][3][4] - The Singapore Exchange (SGX) aims to attract Chinese companies with global strategies for secondary listings and to enhance capital flow related to Chinese concepts [1][3] - As of July 2025, the cross-border ETF mechanism has listed 10 products with a total asset management scale exceeding 30 billion RMB [2][4] Group 2 - SGX plans to include more ETFs in the connectivity mechanism to broaden investment options and attract asset management companies from both China and Singapore [2][3] - There is a focus on developing indices related to core themes and industries in Asia, with the goal of converting these indices into ETF products [2][3] - The SGX has observed a significant increase in trading activity related to Chinese assets, particularly in the consumer sector and REITs [4][5] Group 3 - The SGX has approximately 600 listed companies with a total market capitalization exceeding 600 billion USD, with about 20% of these companies coming from Greater China [3][4] - The STI index has a total return rate close to 18% in 2025, making it one of the best-performing indices in Southeast Asia [6] - The stock market trading volume has increased significantly, with a year-on-year growth of over 27% in the 2025 fiscal year [7]

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].

Core Insights - London remains a leading global financial center despite challenges from Brexit and competition from other financial hubs, showcasing resilience and competitiveness in various key sectors [4] - The establishment of an international financial risk management center in London is supported by its extensive banking network, technological concentration, and strong fintech ecosystem [3][4] Group 1: Global Financial Market Position - London holds a 43.1% share of global foreign exchange trading, significantly higher than the US at 16.5% and Hong Kong and Singapore both at 7.6% [1] - The UK leads in global interest rate derivatives trading with a 50.2% market share, followed by the US at 32.2% [1] - London is the largest center for gold pricing and trading, with an average daily transaction volume of 47.1 million ounces and a daily turnover of $126 billion [4] Group 2: Advantages of London as a Financial Hub - The UK has the largest concentration of international banks in Europe, facilitating multinational companies in managing currency and liquidity risks [3] - London is home to the largest cybersecurity market in Europe, valued at over £6 billion, employing over 30,000 people [3] - The city is a key player in the global insurance and reinsurance market, accounting for 10% of the world's market share [3] Group 3: Recommendations for Shanghai's Financial Risk Management Center - Shanghai should develop a comprehensive financial risk management product system that covers various types of risks and encourages innovation [5] - The city needs to enhance its financial risk monitoring and control mechanisms to improve the identification and management of potential risks [6] - Establishing a competitive financial market in Shanghai requires reducing costs for international entities and improving the investment environment [7] Group 4: Innovation and Policy Support - Shanghai aims to create a leading technology industry cluster to support the development of its international financial risk management center [8] - The city plans to enhance its financial technology capabilities and establish a robust information network and data security center [8] - Policies will be introduced to support the establishment of a controllable offshore financial system in the Pudong New Area [8]

Core Viewpoint - The Bond Connect has significantly enhanced the international appeal and influence of China's bond market, with over 80 of the world's top 100 asset management firms now investing in it, reflecting a strong demand for connectivity between global and onshore markets [1][3]. Group 1: Bond Connect Overview - The Bond Connect, launched in 2017, serves as a crucial mechanism for connecting the bond markets of Hong Kong and mainland China, facilitating trading for both domestic and international investors [3]. - As of May 2025, the onshore bond market has attracted 1,169 international investors from over 70 countries and regions, with foreign institutions holding onshore bonds worth 4.35 trillion yuan, reflecting a compound annual growth rate of approximately 12% over the past five years [3][4]. Group 2: Increasing Attractiveness for Foreign Investment - The bond market's appeal is rising amid a complex international landscape, with the Hong Kong Securities and Futures Commission emphasizing the importance of developing the RMB fixed income market [6][7]. - Factors contributing to the attractiveness of Chinese bonds include the market's size (second largest globally), low government debt-to-GDP ratio, low correlation with major global markets, and favorable risk-adjusted returns [7]. Group 3: Recent Optimizations and Measures - On July 8, new measures were announced to optimize and expand the Bond Connect, including broadening the scope of participants in the southbound channel to include non-bank institutions such as brokerages and funds [9][13]. - The People's Bank of China and the Hong Kong Monetary Authority introduced enhancements to the offshore RMB bond repurchase mechanism, allowing for greater liquidity management and operational convenience [14]. Group 4: Future Growth Potential - Despite the current low proportion of international investors in the Chinese bond market (approximately 3%), there is significant growth potential as global investors seek diversified asset allocations [10][12]. - The Bond Connect is expected to facilitate easier access for global investors to capitalize on China's growth opportunities, with ongoing developments in derivative products to enhance risk management [10][11].