中国钢材期货风险管理应用分析报告

Investment

consulting

business

qualification:

CSRCLicense

[2012]

No.669投资咨询业务资格：证监许可【2012】669号RiskManagement

Application

ofChina

SteelFutures中国钢材期货风险管理应用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，即利用期货工具来对冲现货的价格风险的操作和过程，主要原理是期货和现货价格变动往往一致。中国钢材价格周期属性明显，波动较为剧烈，企业有必要进行风险管理。▫▫套保效果受基差（现货价格-期货价格）的影响，卖出套保会受益于基差走高，买入套保则受益于基差走低。钢材产业链中，生产商往往进行卖出套保，贸易商卖出套保和买入套保均有，消费商则一般进行买入套保。Risks:

Basis

Fluctuation,

Operational

Risk,

Policy

Changes.

风险提示：基差波动、操作风险、政策变化等RelatedReports相关报告:

*Click

on

thehyperlink

of

report

titlestoread

historical

reportsChina

Steels

Research

Framework

中国钢材产业研究框架

20240808China

Iron

Ore

Futures

Framework

中国铁矿石期货研究框架

20240207China

Iron

Ore

Futures

Cross-Border

Arbitrage

Framework

中国铁矿石期货跨境套利框架

20250114RiskManagement

Application

of

China

Iron

Ore

Futures

for

Industrials

中国铁矿石期货在企业风险管理中的应用

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本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人的投资建议。我司不会因为关注、收到或阅读本报告内容而视相关人员为客户；市场有风险，投资需谨慎。1China

Steel

Futures

Contracts中国钢材期货合约Steel

Rebar

螺纹钢Hot-RolledCoil

热轧卷板10吨/手Contract

Size10metrictons/lot10吨/手10metrictons/lot交易单位PriceQuotation报价单位Yuan(RMB)/metricton元（人民币）/吨Yuan(RMB)/metricton1Yuan/metricton元（人民币）/吨1元/吨Minimum

Price

Fluctuation最小变动价位1Yuan/metricton1元/吨Range

of

Price

Limit涨跌停板幅度ListedContracts合约月份Within3%

of

the

settlementpriceof

the

precedingtradingdayMonthlycontractfor

the

mostrecent12

months上一交易日结算价±3%Within3%

of

the

settlementpriceof

the

precedingtradingdayMonthlycontractfor

the

mostrecent12

months上一交易日结算价±3%1～12月1～12月TradingHours交易时间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和交易所规定的其他交易时间上午9:00－11:30，下午1:30－3:00和交易所规定的其他交易时间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合约月份的15日（遇国家法定节假日顺延，春节月份等最后交易日

legal

holidayin

Chinaand

subject

to

separateadjustment

andLast

TradingDay最后交易日合约月份的15日（遇国家法定节假日顺延，春节月份等最后交易日交易所可另行调整并通知）交易所可另行调整并通知）announcement

by

the

Exchange

if

it

fallsin

the

SpringFestivalmonth

or

another

monthspeciallydesignatedby

the

Exchange.)Delivery

Period交割日期Two

consecutivebusinessdaysafter

the

lasttradingday最后交易日后连续二个工作日Two

consecutivebusinessdaysafter

the

lasttradingday最后交易日后连续二个工作日Standard:

Q235Bhot-rolledcoilsas

prescribedin

GB/T3274-2017:

Hot-RolledPlatesandStripsof

Carbon

Structural

Steel

andLow-alloyStructural

Steel,

or

SS400

hot-rolledcoilsas

prescribed

标准品：符合GB/T3274-2017《碳素结构钢和低合金结构钢热轧厚in

JISG3101-2015:

RolledSteel

for

General

Structures,

both

with

钢板和钢带》的Q235B或符合JIS

G3101-2015《一般结构用轧制钢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、宽度1500mm热轧卷板。Gradeand

QualitySpecifications交割品级标准品：符合国标GB

1499.2-2024《钢筋混凝土用钢

第2部分：热轧带肋钢筋》HRB400E牌号的Φ16mm、Φ18mm、Φ20mm、Φ22mm、Φ25mm螺纹钢。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《碳素结构钢和低合金结构钢热轧厚钢板和钢带》的Q235B或符合JIS

G3101-2015《一般结构用轧制钢材》的SS400，厚度9.75mm、9.5mm、7.75mm、7.5mm、5.50mm、4.75mm、4.50mm、3.75mm、3.50mm、宽度1500mm热轧卷板。Delivery

Venue交割地点MinimumTradeMargin最低交易保证金Settlement

Type交割方式SHFE-designateddeliverystoragefacilities5%

of

contractvaluePhysical

delivery交易所交割仓库合约价值的5%实物交割SHFE-designateddeliverystoragefacilities4%

of

contractvaluePhysical

delivery交易所指定交割仓库合约价值的4%实物交割Delivery

Unit交割单位300metrictons300吨300metrictons300吨Contract

Symbol交易代码RBRBHCHCListing

Exchange上市交易所Shanghai

Futures

Exchange上海期货交易所Shanghai

Futures

Exchange上海期货交易所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本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人的投资建议。我司不会因为关注、收到或阅读本报告内容而视相关人员为客户；市场有风险，投资需谨慎。Sources：SHFE,

CITIC

Futures2CONTENTHedging

IntroductionHedging

Cases套期保值案例套期保值介绍

010201HedgingIntroduction套期保值介绍1.1.1

Participants:

Steel

Production

Enterprises参与者：钢铁企业▫

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.▫

经营模式：以焦煤、焦炭、铁矿石、废钢为主要原料，经高炉、转炉或者电炉，冶炼得到钢材成品后销售。▫

定价模式：（1）钢厂与下游客户以旬、月价格为参考的长协定价模式；（2）随行就市的市场定价。Business

ModelofSteelProduction

Enterprises钢铁企业经营模式Smelting

&

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

steelrolling)FinishedProductSales(monthly

orten-day

long-termagreement

pricing,market-basedpricing)RawMaterialProcurement(coking

coal,

coke,ironore,

scrapsteel,etc.)冶炼加工（炼焦、烧结、造球、炼铁、炼钢、轧钢）原料采购（焦煤、焦炭、铁矿石、废钢等等）成品销售（月度或旬度长协定价、随行就市）Production

andProcessing

Sequence生产加工顺序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本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人的投资建议。我司不会因为关注、收到或阅读本报告内容而视相关人员为客户；市场有风险，投资需谨慎。51.1.2

Participants:

Steel

Trading

Enterprises参与者：钢贸企业▫

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.▫

经营模式：从钢厂采购，转运至仓库囤货，待价格上涨后出售。▫

定价模式：（1）旬度/月度均价定价；（2）随行就市固定价结算。▫

销售一般以固定价销售为主，由于采购与销售面临时间差，库存面临贬值压力，存在风险敞口。Business

ModelofSteelTrading

Enterprises钢贸企业经营模式SteelProcurement(Settlement

based

on

10-day/monthly

averageprice;

Fixed-price

settlement)Steel

Sales(Export;Salestoend-users;

Salestoother

traders)SteelStockpiling(Transfer

tovarioussocialwarehouses

for

storage)钢材销售（出口、销售给终端用户、销售给其他贸易商）钢材囤积（转运至各类社会仓库储存）钢材采购（旬度、月度均价结算；固定价结算）Order&TradeSequence订单贸易顺序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本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人的投资建议。我司不会因为关注、收到或阅读本报告内容而视相关人员为客户；市场有风险，投资需谨慎。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，即利用期货工具来对冲现货的价格风险的操作和过程。交易者配合现货买卖，在期货市场同时买进或卖出与现货市场数量相同、方向相反的相同或相近期货合约，通过期货收益来对冲现货价格波动风险。▫

操作：采购原料怕涨价，期货市场多头买入；产品销售怕跌价，期货市场空头卖出。▫

原理：（1）供需影响因素相同；（2）期现变动趋势趋同；（3）交割日期现价格回归。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本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人的投资建议。我司不会因为关注、收到或阅读本报告内容而视相关人员为客户；市场有风险，投资需谨慎。71.3

Hedging

Theory:

Spot&Future

Price套保理论：期现价格回归▫

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.▫

影响期货价格与现货价格的主要因素是相同的。到合约期满时，现货价格与期货价格将大致相等。螺纹钢期货自2009年上市以来，交易活跃，与现货市场联动紧密，期货和现货价格的相关系数达0.976。Price

Trend

ofSteelRebar

(Spot&Futures)螺纹钢价格走势（现货&期货）元/吨

yuan/tonspot

pricesfutures

prices螺纹钢：HRB400E：Φ20：汇总价格：上海（日）SHFE：螺纹钢：主力合约：收盘价（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本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人的投资建议。我司不会因为关注、收到或阅读本报告内容而视相关人员为客户；市场有风险，投资需谨慎。81.4

Basis

Affects

Hedging

Effectiveness基差影响套保效果▫

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（即现货价格-期货价格）会影响套保效果。对于卖出套保而言，若基差走强，即现货跌幅小于期货，则期货收益在对冲现货损失之外，可获得额外收益；如果基差走弱，即现货跌幅大于期货，则期货收益不能完全覆盖现货损失。Basis

Changes基差变动价格PriceFutures期货现货Spot

goods基差波动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本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人的投资建议。我司不会因为关注、收到或阅读本报告内容而视相关人员为客户；市场有风险，投资需谨慎。91.4

Basis

Affects

Hedging

Effectiveness基差影响套保效果▫

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，套保时机和策略需要判断基差水平。若基差处于历史低位，卖出套保则具有更高的安全边际。▫

基差通常与库存、钢厂利润、宏观形势有关。库存与基差呈反向变动关系，而宏观政策变化时，期货价格更有领先性和灵敏性。BasisDistribution

ofSteelRebarChina

SteelRebarInventory

andBasis天津螺纹基差分布全国螺纹库存与基差Basisof

Steel

Rebar

Main

Continuous

Contract螺纹钢主连基差yuan/ton螺纹钢总库存Steel

Rebar

Inventory螺纹钢基差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本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人的投资建议。我司不会因为关注、收到或阅读本报告内容而视相关人员为客户；市场有风险，投资需谨慎。101.4

Basis

Affects

Hedging

Effectiveness基差影响套保效果▫

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.▫

钢厂利润是钢材供应的领先指标，钢厂利润与基差大部分时间呈正相关。若钢厂持续亏损，未来减产的可能性上升，导致期货价格更为坚挺。反之，若钢厂利润持续好转，未来钢厂或提升产量，期货价格走势更弱。SteelMillProfits

andBasis钢厂利润与基差Steel

Rebar

Basis螺纹钢基差Steel

Rebar

Profit螺纹钢利润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本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人的投资建议。我司不会因为关注、收到或阅读本报告内容而视相关人员为客户；市场有风险，投资需谨慎。111.5

Hedging’s

Significance套期保值的意义▫

Hedgingenablesenterprises

tomaintain

profitacquisitionwhile

reducing

potentialsignificant

fluctuationsintheproduction

process

and

avoidingpossiblesystemic

risks.▫

套保可以让企业在获取利润的同时，减少生产环节中可能的大幅波动，规避可能发生的系统性风险。Hedging

Can

SmoothCorporateProfits套保平滑企业利润Pprofit

before

hedging套保前利润套保后利润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本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人的投资建议。我司不会因为关注、收到或阅读本报告内容而视相关人员为客户；市场有风险，投资需谨慎。1202HedgingCases套期保值案例2.1

Enterprise

Risk

Exposure企业风险敞口EnterpriseRiskExposureHedgingTypeSteelPriceRiskType钢材价格风险企业类型风险敞口套保类型Upstream

closure；downstream

exposurePricedecreaseShorthedgeProducer上游闭口下游敞口卖出套保生产商下跌风险Priceincrease

anddecreaseSteelIndustryChainLong

hedge,short

hedgeUpstream

anddownstream

exposureTrader上游敞口下游敞口买入套保卖出套保贸易商上涨风险下跌风险钢材产业链Upstream

exposure;downstream

closureConsumerPriceLong

hedge上游敞口下游闭口increase消费商买入套保上涨风险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本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人的投资建议。我司不会因为关注、收到或阅读本报告内容而视相关人员为客户；市场有风险，投资需谨慎。142.2

Enterprise

Risk

ExposureCase

Study企业风险敞口案例分析▫

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.▫

钢材价格周期属性明显，波动较为剧烈。（1）中国推出投资政策后，钢材从2009年的3500元/吨上涨至2011年的5000元/吨。（2）之后钢材价格连续4年下跌，最终跌破2000元/吨。（3）2016年后，供给侧改革、棚户区改造、去地条钢、环保限产等政策大幅提振钢材价格。（4）2020年疫情后，政策宽松和疫后复苏推动钢材价格在2021年上半年达6000元/吨。（5）但随着中国房地产疲弱，钢材价格持续下行。Historical

Trendof

SteelPrices钢材价格历史走势yuan/ton期货收盘价(活跃合约):螺纹钢7,000.006,000.005,000.004,000.003,000.002,000.001,000.000.00SteelRebar

FuturePrices投资扩张investmentexpansion疫后恢复post-pandemicrecovery产能过剩overcapacity经济下行压力downwardpressure

ontheeconomy房地产下行real

estatedownturn供给侧改革、棚户区改造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本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人的投资建议。我司不会因为关注、收到或阅读本报告内容而视相关人员为客户；市场有风险，投资需谨慎。152.3.1

Short

Hedging

Case:

Background卖出套保案例:企业背景▫

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，某钢厂存超额库存，担心未来价格下跌。假设钢厂利润中性偏高，期货基本平水现货。若预期未来2个月，钢材价格或因宏观驱动减弱、供给过剩走弱，则可对生产成本已定的项目进行卖出套保。SteelPrice钢材价格上海:价格:螺纹钢: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本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人的投资建议。我司不会因为关注、收到或阅读本报告内容而视相关人员为客户；市场有风险，投资需谨慎。162.3.2

Select

A

Hedging

Strategy选取套期保值策略▫

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