With China's accession to the WTO in December 2001, China began to speed up the economic pace of opening to the outside world, and the securities market gradually began to follow the pace of internationalization, to achieve integration with the international securities market. Under the current conditions, China can introduce a new financial instrument-Chinese depositary Receipt (CDR) to promote the internationalization of the securities market. Based on this background, this paper takes the Depositary receipt as the research object, firstly introduces the depositary receipt, and then analyzes the necessity of Chinese enterprises to issue CDR. Then, taking Xiaomi Group's application for CDR financing as a specific case study, this paper analyzes the reasons for Xiaomi Group's application from the beginning to the final suspension of CDR issuance, and explores the opportunities and challenges Xiaomi Group will face in issuing CDR. Finally, based on the study of the CDR financing event applied by Xiaomi Group, this paper analyzes the relevant risks of CDR issuance by China's "unicorn" enterprises, and puts forward specific suggestions, in order to contribute to the development of China's securities market and enterprises.