Group 1: Report Industry Investment Rating - The rating for the US dollar is "oscillating" [6] Group 2: Core View of the Report - Market risk appetite has declined, with most global stock markets falling, bond yields mostly dropping, the US dollar index slightly down, non - US currencies mostly depreciating, gold prices rising, and the VIX index increasing. The US is facing rising stagflation pressure, and the market is waiting for the details of US counter - tariffs on April 2nd [2][10] - Trump's tariff policies are disturbing the market, increasing inflation expectations and the risk of stagflation. The US economic data shows rising inflation pressure, and the inflation expectations have risen ahead of actual inflation [3][12] Group 3: Summary by Directory 1. Global Market Overview This Week - Market risk appetite decreased. Most stock markets fell, bond yields mostly declined with the US Treasury yield at 4.25%. The US dollar index slightly dropped to 104, non - US currencies mostly depreciated, gold rose 2.1% to $3085 per ounce, the VIX index rose to 21.6, and the spot commodity index increased with Brent crude oil up 2.7% to $74.4 per barrel [2][10] 2. Market Trading Logic and Asset Performance 2.1 Stock Market - Global stock markets mostly fell. In developed countries, the S&P 500 dropped 1.53%. In emerging markets, the Shanghai Composite Index fell 0.4%. Trump's tariff policies increased risk - aversion and pressured US stocks. US economic data showed rising inflation pressure, and the US manufacturing PMI declined while the service PMI improved. The eurozone's manufacturing PMI rose but the service PMI declined. The US core PCE rebounded, and inflation expectations increased [11][12] 2.2 Bond Market - Global bond yields mostly declined, with the 10 - year US Treasury yield at 4.25%. Eurozone countries' yields mostly fell, and emerging market bond yields varied. US tariff policies supported the bond market, but rising inflation expectations limited the decline of US Treasury yields. The US dollar's stabilization increased pressure on emerging market bonds and exchange rates [15][18] 2.3 Foreign Exchange Market - The US dollar index oscillated and slightly declined to 104, and most non - US currencies depreciated. The offshore RMB fell 0.18%, the euro and the pound rose slightly, the yen fell 0.35%, and commodity - related currencies mostly weakened [26][29] 2.4 Commodity Market - Gold rose 2.1% to a new high of $3085 per ounce as investors sought safety due to tariff policies and stock market declines. However, short - term gold prices may be volatile. Brent crude oil rose 2.7% to $74.4 per barrel, and commodities overall oscillated and increased. Overseas tariff expectations boosted non - ferrous metals, but weak demand pressured industrial products [30][32] 3. Hot - Spot Tracking - The US core PCE in February exceeded expectations, with a year - on - year increase of 2.8% and a month - on - month increase of 0.4%. This indicates high short - term inflation pressure. Trump's proposed 25% tariff on imported cars and the upcoming counter - tariffs are expected to intensify market concerns, leading to a continuous decline in global market risk appetite and rising inflation [33][35] 4. Next Week's Important Event Tips - Monday: China's official manufacturing PMI for March - Tuesday: Reserve Bank of Australia interest rate decision, eurozone's March CPI, US March ISM manufacturing PMI, and US February JOLTs job openings - Wednesday: US March ADP employment figures - Thursday: US weekly initial jobless claims, US March ISM non - manufacturing PMI, and ECB's March interest rate meeting minutes - Friday: US March non - farm payrolls, Fed Chairman Powell's speech, and China's Tomb - Sweeping Festival holiday [37]

Report Industry Investment Rating - The rating for treasury bonds is "oscillation" [4] Core Viewpoints - In the short term, the market is expected to oscillate as the stance of monetary policy remains unclear. The manufacturing PMI in March may perform well, weakening market sentiment at the beginning of the week. However, after the quarter - end, the pressure on the capital side will ease, and the bullish sentiment in the market will heat up again, with the yield curve likely to steepen [2][14]. - The bond market is in an oscillatory phase of transitioning from a bear to a bull market. The short - end varieties are expected to outperform the long - end ones. The probability of the long - end interest rate breaking through the mid - March high is low unless there is evidence of continuous economic recovery in Q2 [15][16]. - The second half of April is an important observation period to determine whether the monetary policy can continue to loosen. The bond market is expected to show an oscillatory trend [16]. Summary by Directory 1. One - Week Review and Views 1.1 This Week's Trend Review - From March 24th to March 30th, treasury bond futures rose slightly. The settlement prices of the main continuous contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures on March 28th were 102.448, 105.665, 107.885, and 116.080 yuan respectively, up 0.080, 0.345, 0.420, and 0.870 yuan from the previous weekend [13]. 1.2 Next Week's Views - The market is expected to oscillate. The manufacturing PMI in March may perform well, weakening market sentiment at the beginning of the week. After the quarter - end, the capital pressure will ease, and the bullish sentiment will rise again, with the curve likely to steepen [2][14]. - The long - end interest rate has upward momentum, but the probability of breaking through the mid - March high is low. The short - end varieties may outperform the long - end ones, and the bond market will show an oscillatory trend [15][16]. 2. Weekly Observation of Interest - Bearing Bonds 2.1 Primary Market - This week, 92 interest - bearing bonds were issued, with a total issuance of 822.801 billion yuan and a net financing of 691.865 billion yuan. The net financing of local government bonds and treasury bonds increased, while that of inter - bank certificates of deposit decreased [19][20]. 2.2 Secondary Market - Treasury bond yields declined. As of March 28th, the yields of 2 - year, 5 - year, 10 - year, and 30 - year treasury bonds were 1.53%, 1.66%, 1.81%, and 2.03% respectively, down 4.42, 3.25, 2.28, and 2.50 basis points from the previous weekend [24]. 3. Treasury Bond Futures 3.1 Price, Trading Volume, and Open Interest - Treasury bond futures rose slightly. The trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures this week were 37,714, 56,180, 75,843, and 120,289 lots respectively, down 5,100, 7,655, 12,821, and 21,531 lots from the previous weekend. The open interests were 108,554, 162,825, 190,066, and 113,822 lots respectively, up 4,609, 10,014, 672, and down 6,184 lots from the previous weekend [34][37]. 3.2 Basis and IRR - This week, the basis of each variety oscillated at a low level. In the short term, the market is oscillatory, and the basis is also in a low - level oscillation pattern. One can moderately focus on the positive arbitrage strategy of TS. After Q2, the capital side is expected to loosen, and the basis may gradually rise [41]. 3.3 Inter - Delivery and Inter - Variety Spreads - As of March 28th, the inter - delivery spreads of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures contracts 2506 - 2509 were - 0.032, - 0.020, - 0.040, and - 0.120 yuan respectively, up 0.010, 0.000, down 0.105, and up 0.010 yuan from the previous weekend [44]. 4. Weekly Observation of the Capital Side - This week, the central bank's open - market operations had a net injection of 30.36 billion yuan. As of March 28th, R007, DR007, SHIBOR overnight, and SHIBOR 1 - week were 2.26%, 2.05%, 1.73%, and 1.94% respectively, up 43.91, 28.21, down 3.20, and up 18.20 basis points from the previous weekend [49][50]. 5. Weekly Overseas Observation - The US dollar index and the 10 - year US Treasury yield oscillated. As of March 28th, the US dollar index fell 0.12% to 104.0336 from the previous weekend, the 10 - year US Treasury yield rose 2 basis points to 4.27%, and the yield spread between Chinese and US 10 - year treasury bonds was inverted by 245.6 basis points [57]. 6. Weekly Observation of High - Frequency Inflation Data - This week, industrial product prices and agricultural product prices both rose. As of March 28th, the Nanhua Industrial Product Index, Metal Index, and Energy and Chemical Index were 3,761.81, 6,431.0, and 1,780.64 points respectively, up 48.47, 83.56, and 22.40 points from the previous weekend. The prices of pork, 28 key vegetables, and 7 key fruits were 20.94, 4.84, and 7.58 yuan/kg respectively, up 0.05, 0.01, and 0.08 yuan/kg from the previous weekend [60]. 7. Investment Recommendations - In the short term, the market is expected to oscillate. Considering the relatively reasonable valuation of the bond market and the expected gradual loosening of the central bank's stance, it is recommended to focus on the opportunity of laying out medium - term long positions on the left side [19][61].

Report Industry Investment Rating - The investment rating for lithium carbonate is "Oscillation" [1] Core Viewpoints of the Report - Last week, lithium salt prices rebounded from the low level. The closing prices of LC2504 and LC2505 increased by 1.1% and 1% respectively. The spot average prices of battery - grade and industrial - grade lithium carbonate decreased by 0.2%. The prices of lithium hydroxide slightly decreased. The basic data still reflects the oversupply of lithium salt and the loosening of ore prices, but the pressure on lithium prices has weakened marginally. Core Lithium's Finnis project restart research is progressing smoothly, which may lead to a marginal decline in the cost support at the resource end. After the centralized cancellation of warehouse receipts next Monday, the generation speed of new warehouse receipts needs to be continuously monitored [2][3][11] Summary by Relevant Catalogs 1. Finniss Restart Research Progresses Smoothly, Focus on the Generation Rhythm of New Warehouse Receipts - Last week (03/24 - 03/28), lithium salt prices rebounded from the low level. The closing price of LC2504 increased by 1.1% to 73,900 yuan/ton, and that of LC2505 increased by 1% to 74,000 yuan/ton. The spot average prices of battery - grade (99.5%) and industrial - grade (99.2%) lithium carbonate decreased by 0.2% to 74,200 and 72,200 yuan/ton respectively. The closing price of the near - month contract of Liyang Zhonglian Gold lithium carbonate increased by 1.4% to 74,000 yuan/ton. The prices of lithium hydroxide slightly decreased. The electric - industrial price difference remained flat at 2,000 yuan/ton, and the price discount of battery - grade lithium hydroxide to battery - grade lithium carbonate remained flat at 4,500 yuan/ton [2][11] - Fundamentally, the weekly output of domestic lithium carbonate decreased by 628 tons to 17,300 tons, mainly due to the maintenance of some mica production lines and small fluctuations in salt lake output. The social inventory increased by 1,500 tons to 128,000 tons, and the inventory accumulation rate slowed down for the second consecutive week. The FMB ore price continued to decline to 837.5 US dollars/ton, and the price adjustment speed slowed down marginally compared with the previous week. In general, the fundamental data still reflects the two major negatives of salt - end oversupply and ore price loosening, but in the absence of new negatives, the pressure of fundamentals on lithium prices has weakened marginally. In terms of news, Core Lithium announced that the restart research of its Finnis project is progressing smoothly, and it is expected to reduce the subsequent operating costs through various means. The final restart research is expected to be completed in June 2025. During the industry downturn, the cost - reduction and efficiency - improvement measures of various projects may lead to a marginal decline in the cost support at the resource end. In terms of delivery game, the position of the main contract LC2505 decreased by 38,000 lots to 218,000 lots. It is estimated that the cumulative amount of warehouse receipts put into storage since February is about 18,000 lots. After the centralized cancellation of warehouse receipts next Monday, the generation speed of new warehouse receipts needs to be continuously monitored [3][12] 2. Weekly Industry News Review - Rio Tinto Group CEO Simon Trott said that the global annual demand for lithium may increase to 4 - 5 million tons in the future. Despite the current low lithium price, Rio Tinto is increasing its lithium industry layout. In March this year, Rio Tinto completed the acquisition of Allkem Limited for 6.7 billion US dollars [13] - ICE plans to launch battery - metal derivatives this year. An executive of the Intercontinental Exchange (ICE) said on March 25 that the exchange plans to launch derivatives of battery metals nickel, cobalt, and spodumene in London later this year [13] - Core Lithium announced that the restart research of its Finniss lithium mine project is progressing smoothly and is expected to be completed in the second quarter of 2025. The company has terminated the last operation contract during the Finniss operation period and completed all obligations to third - parties, which reduces the current maintenance cost and is expected to reduce future operating costs under the new operation mode [13] - Four Indian state - owned enterprises are negotiating with Chilean miner SQM to acquire a 20% stake in its two lithium projects in Australia for 600 million US dollars, which is India's biggest effort to ensure the supply of key electric - vehicle battery metals [14] 3. Monitoring of Key High - Frequency Data in the Industrial Chain 3.1 Resource End: Spot Quotes of Lithium Concentrate Loosen - The spot average price of spodumene concentrate (6%, CIF China) decreased from 831 US dollars/ton to 821 US dollars/ton, a decrease of 1.2% [12] 3.2 Lithium Salt: Futures Prices Rebound Slightly - The closing price of the near - month contract of Guangzhou Futures Exchange lithium carbonate (LC2504) increased by 1.1% to 73,940 yuan/ton, and the closing price of the main contract (LC2505) increased by 1% to 74,000 yuan/ton. The closing price of the main contract of Liyang Zhonglian Gold lithium carbonate increased by 1.4% to 74 yuan/kg [12] 3.3 Downstream Intermediates: Quotes Decline - The spot average price of power - type lithium iron phosphate decreased by 0.1% to 33,635 yuan/ton, and the spot average price of energy - storage type lithium iron phosphate increased by 0.1% to 29,805 yuan/ton. The prices of ternary materials increased slightly, with the spot average price of ternary material 523 increasing by 1.2% to 104,280 yuan/ton. The spot average price of cobalt - acid lithium decreased by 0.5% to 209,000 yuan/ton [12] 3.4 Terminal: The Penetration Rate of New Energy Vehicles in China Rebounded in February - The penetration rate of new energy vehicles in China rebounded in February, but specific data is not provided in the text [44]

美元二季度观点 东证衍生品研究院 元涛 从业资格号：F0286099 投资咨询号：Z0012850 美国经济-劳动力市场走弱速度不足 薪资增速继续维持韧性 服务业薪资增速边际回升 资料来源：Bloomberg 东证衍生品研究院 美国劳动力市场新增就业的水平中枢降低，但是薪资增速环比继续维持在较高水平，服务业薪资增 速边际回升。这意味着短期内劳动力市场走弱速度不够快，薪资增速对于通胀继续形成支撑。 美国经济-通胀明显上升 通胀预期上升 与此同时，通胀继续成为核心矛盾，通胀降低速度不及预期，尤其是核心服务通胀还在高位，通胀 预期持续上升。这表明了通胀粘性是个非常明显的问题，服务业通胀走弱速度太慢。 美国经济-滞胀压力明显上升 地产市场继续处于弱势 资料来源：Bloomberg 东证衍生品研究院 通胀压力回升 核心服务业通胀压力高企 资料来源：Bloomberg 经济下行压力明显上升，滞胀从无人问津转向趋向现实。 服务业PMI明显回落 消费者信心迅速走低 美国经济-美联储维持耐心 美联储降息非常犹豫 财政和货币政策边际效应递减 资料来源：Bloomberg 东证衍生品研究院 失业率维持低位，通胀压力上升，美联储不可 ...

季度报告——螺纹钢/热轧卷板 需求亮点不足，钢价重心下移 | [T走ab势le_评R级an：k] | 螺纹钢/热轧卷板:看跌 | | | | | | --- | --- | --- | --- | --- | --- | | 报告日期： | 2025 3 月 | 年 | 28 | 日 | [Table_Analyser] | [★Ta需bl求e_：Su关mm注a制ry]造业和外需边际走弱程度： 黑 色 金 春节后成材需求虽然恢复较快，但强度整体一般，3 月份以来建 材需求的季节性回升明显放缓。地产投资延续疲弱，基建方面 资金增量相对有限，超长期特别国债和地方政府专项债新增额 度略不及预期。我们也将基建需求预期下修至同比持平左右。 制造业终端需求延续韧性，而考虑到今年"两新"相关补贴下 发较早，后期政策影响边际减弱，尤其下半年需求有下滑风险。 同时制造业外需仍面临关税风险。由于海外贸易政策的变化， 钢材出口品种和目的地结构已经有所变化，3 月以后出口开始温 和边际回落，双反范围扩大的风险依然存在。 属 ★供应：压产预期仍需谨慎，铁水复产接近峰值： 我们认为对政策性刚性减产的预期仍需谨慎，政策更有可能通 过产能压 ...

Group 1: Report Industry Investment Rating - The rating for thermal coal is "Bearish" [1] Group 2: Core View of the Report - Since 2025, coal prices have been in a continuous decline, and the bottom is yet to be reached. The annual coal price may find strong support around the cost line of imported coal from Indonesia at 650 yuan/ton, with the bottom expected to appear in the middle of the year and remain low throughout the year [2][10] - The current decline in coal prices is a "real test of the coal mine cost line." When coal prices fall to the full cost line, coal mines may have a strong demand to actively reduce production to protect profits [2][14] - Under the continuous inversion of prices, the volume of imported coal may start to shrink, and in 2025, it may turn negative for the first time. Attention should be paid to the short - term impact of Indonesia's policy on coal prices [3][29] - The growth rate of thermal power demand has declined, and the performance of non - power sectors continues to diverge. The overall coal demand is expected to maintain a 0.5% growth rate, and the supply - demand pressure will continue [4] - Before large - scale and continuous production cuts occur, the coal supply - demand side will remain weak and continue to seek the bottom. Policy is the biggest driver for price rebound, and potential supply - side production cuts and import policy changes should be watched out for [65] Group 3: Summary by Relevant Catalogs 2025 Coal Price Decline and Bottom - Seeking - Since 2025, coal prices have fallen as expected, with the decline and smoothness exceeding market expectations. The price of 5500K coal at ports dropped from 770 yuan/ton at the beginning of the year to 685 yuan/ton in mid - March. The 700 - yuan/ton mark provided little support [2][10] - From January to February, the daily average domestic raw coal output was 13.05 million tons, a year - on - year increase of 7.7%, while thermal power demand decreased by 5.8% cumulatively, highlighting the deterioration of supply - demand growth [10] - Since March, due to the inversion of domestic and foreign price differences and changes in Indonesia's pricing policy, there may be a small amount of extrusion of imported coal. Considering the high domestic supply and inventory, coal prices will continue to seek the bottom [10] Domestic Coal: Testing the Real Cost Line - From January to February, the national raw coal output was 770 million tons, a year - on - year increase of 7.7%, with a daily average output of about 13 million tons. After the Spring Festival, coal mines resumed work normally, and some state - owned coal mines even increased production time [12] - Although the coal supply - demand situation is weak, some production areas maintain high production to support the economy, exacerbating the already fragile supply - demand situation [12] - Compared with the production cuts in mid - 2023, which were mainly due to downstream full inventories and long - term contract defaults, the current decline may be a "real test of the coal mine cost line" [2][14] Imported Coal: Potential Reduction in Volume - From January to February, the cumulative import of coal and lignite was 76.12 million tons, a year - on - year increase of 2.1%. Since March, with the continuous decline of domestic prices and the inversion of Indonesian coal prices, the volume of imported coal has decreased slightly month - on - month [3][29] - Under the suppression of high domestic inventory and supply, the volume of imported coal may turn negative for the first time in 2025. Attention should be paid to the short - term impact of Indonesia's policy on coal prices [3][29] - In 2024, the global coal export volume remained high and stable. Indonesia's coal export volume increased by about 37 million tons in 2024, while that of Australia and Russia decreased slightly. Indonesia plans to reduce coal exports by 30 million tons in 2025 [36] Demand: Divergent Performance - Since the first quarter of 2025, thermal power demand has been in negative growth, further suppressing the weak market. Thermal power demand is affected by high winter temperatures and the continuous squeeze of new energy power generation [52] - Non - power industries' coal demand continues to diverge. The growth rate of coal use in the chemical industry remains stable, with a 10% high - growth rate from January to March. The cement industry performs poorly, with a 5.7% decline in cumulative output from January to February. The coal consumption of electrolytic aluminum is stable, with a 2.6% year - on - year increase in output in the first two months of 2025 [52] Coal Price Outlook and Policy Risks - Before large - scale and continuous production cuts occur, the coal supply - demand side will remain weak and continue to seek the bottom. The biggest driver for price rebound depends on policy [65] - Since February - March, as domestic coal prices have continued to fall, the call for restarting the imported coal quota has increased. However, the restart of the quota policy faces many obstacles and may require coal mine losses to cooperate [65]

Report Industry Investment Rating - The investment rating for iron ore is "Bearish" [6] Core Viewpoints - In Q2 2025, iron ore prices are expected to be weak due to the resonance decline of internal and external demand. The supply side is expected to have an excess of about 30 million tons under the assumption of a -1% domestic demand. The long - term supply side is mainly under bearish pressure, and the concentrated commissioning of mines from the end of 2025 to the first half of 2026 may cause the ore price to break through the current 90 - 100 US dollars oscillation range [3][4] Summary by Directory 1. 2025Q1 Supply - Demand Review: Peak at the Beginning, with Fundamentals Gradually Weakening - In Q1 2025, the supply - demand situation of iron ore started strongly. After the Spring Festival, the demand for plate products recovered early, and the hot metal increased slightly year - on - year. However, the supply side was affected by hurricanes, with a year - on - year decline of 10 million tons from January to February. The short - term supply - demand mismatch did not drive the ore price to rise continuously. The Platts Index reached a high of 109 US dollars at the end of February and then dropped sharply [2][11] - Since mid - February, after Vietnam officially launched an anti - dumping investigation on China's hot - rolled coils, the entire black series turned pessimistic. From January to March, the apparent demand growth rate of crude steel production was 1.6%. Under the consistent expectation of "domestic and foreign troubles" in demand, the market started to decline ahead of schedule since March [2][11] - Since Q4 2024, the positive elasticity of demand (hot metal) improvement on iron ore prices has been significantly weakened. The ore price has been oscillating between 90 - 110 US dollars, and the bearish pattern continues but lacks the power to break through [11] 2. Supply: Few Variables This Year, and the Flexible Adjustment of the Supply Side Weakens Fundamental Contradictions - After the hurricane season in Q1, the iron ore supply side returned to calm. According to the existing mine shipping plans, it is expected that the incremental supply of iron ore in transit in 2025 will be 20 million tons. Under the assumption of a -1% domestic demand, the supply - demand surplus will be about 30 million tons. In the long run, the supply side of iron ore is still mainly under bearish pressure. The concentrated commissioning time of mines is from the end of 2025 to the first half of 2026, which may cause the ore price to break through the current 90 - 100 US dollars oscillation range [3][19] - Potential incremental supply at the end of 2025 includes: the first - phase 60 million - ton project of Simandou is expected to ship the first batch of ore by the end of 2025 and start commercial operation in mid - 2026; the restart of domestic mines in Shanxi's Daixian County, with an annual production capacity of about 20 million tons, but the progress is unclear; the resumption of production in Goa, India, which is expected to increase India's iron ore production by about 10 million tons per year, and the probability of on - schedule implementation is relatively high [20] 3. Demand: Synchronous Weakening at Home and Abroad, and May Significantly Decline in Q2 - Since 2025, the factors of demand deterioration that the market has worried about have been gradually verified. Domestically, the infrastructure demand in Q1 failed to effectively support the market. Considering that policy windows such as the Two Sessions have passed, it is difficult for the physical volume of infrastructure projects in Q2 to improve significantly. The next policy expectation window will be in July [4][33] - Abroad, after the implementation of Vietnam's anti - dumping tariffs, the external market may have shifted from "rushing for exports" to "pausing and waiting", and there is even a possibility of "potential recession - driven demand contraction". The negative impact of tariffs on direct and indirect exports is certain, but the magnitude and rhythm are not clear. Attention should be paid to the downstream order - receiving situation after April [4][44] - Since the official start of tariff frictions in January, steel prices in Europe and the United States have strengthened, while those in traditional steel - exporting countries such as China, Vietnam, and Turkey have weakened. The total demand is also weak. From January to February, the global crude steel production decreased by 2% year - on - year, and the hot metal production decreased by 1% year - on - year. Excluding China, the global crude steel production decreased by 3% from January to February, and the hot metal production decreased by 2.6% year - on - year [48] 4. Oscillating Weakly in Q2, but Difficult to Break Through the Range - The concerns about future demand weakening expressed in the futures market since February are expected to gradually become a reality. However, due to the large changes in tariff policies, the actual impact intensity and rhythm are variable. The overall price center will move down periodically, but the decline lacks smoothness [55] - If the annual demand decline rate is within 5%, the cost line of about 90 US dollars on the supply side still has strong support. After the second half of 2025, the commissioning speed of multiple new production capacities at home and abroad needs to be observed, which may affect the ore price center in 2026 [55]

日度报告——综合晨报 PPI 低迷，前两个月工企利润同比下降 [T报ab告le_日R期an：k] 2025-03-28 宏观策略（股指期货） 前两个月规上工企利润同比下降 0.3% 前 2 个月工企利润增速同比负增，拆分来看，量涨价跌，利润率 持续拖累。PPI 低迷下，上游企业利润承压，拖累全部工企。该 数据应引起市场的重视。 多晶硅关注逢低做多机会。 农产品（豆油/菜油/棕榈油） GAPKI：印尼 1 月棕榈油期末库存环比增加 13.93% 印尼 1 月库存小幅增加，美生柴消息刺激美豆油暴涨。 综 黑色金属（焦煤/焦炭） 合 华东市场炼焦煤持稳运行 晨 报 焦炭合约规则变化，主要为湿熄焦和干熄焦转化，J2604 合约后 执行。虽然现货方面有所恢复，补库增加。但盘面受整体需求 以及仓单压制影响较大，维持震荡运行。 有色金属（多晶硅） 德国新一轮光伏拍卖授予 317MW 容量 中标电价上涨 重要事项：本报告版权归上海东证期货有限公司所有。未获得东证期货书面授权，任何人不得对本报告进行任何形式的发布、复制。本报告的信息均来源于 公开资料，我公司对这些信息的准确性和完整性不作任何保证，也不保证所包含的信息和建议不会 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The duration-neutral interest rate curve strategy for Treasury bond futures has stable returns. Its main drawback is sensitivity to slippage, especially when market volatility is low. However, it offers significant return potential and certainty during large market fluctuations and can hedge the volatility risks of futures timing strategies or spot bond long strategies. In the market adjustment in Q1 2025, the timing strategy for bond futures suffered large negative impacts and significant net value drawdowns, while the combination of the cross - variety arbitrage strategy and the timing strategy for bond futures still achieved positive returns, with a maximum drawdown of only 0.8% in Q1 2025 [1][34]. - The return sources of the duration - neutral cross - variety arbitrage strategy for Treasury bond futures are interest rate curve fluctuations and basis Carry income. The cross - variety arbitrage strategy is split into two sub - strategies: the spot bond net price duration - neutral spread for predicting the interest rate curve and the bond futures duration - neutral spread considering basis impacts [2][11]. 3. Summary by Directory 3.1 Main Content - The report focuses on the daily arbitrage strategy of the duration - neutral interest rate curve based on Treasury bond futures. The strategy dynamically adjusts the long - short ratio of cross - variety combinations daily based on duration - neutral matching to meet the dynamic duration - neutral requirement and obtain arbitrage income after removing unilateral risks. The return sources are interest rate curve fluctuations and basis Carry income. The strategy is constructed based on basis Carry factors, volume - price factors, interest rate spread factors, and institutional trading behavior and funding factors. Each cross - variety combination is independently modeled, and the single cross - variety combination timing prediction strategy is split into two sub - strategies. Also, due to the low volatility and high slippage cost of Treasury bond futures, the strategy construction needs to reduce turnover [11]. 3.2 Duration - Neutral Combination Construction and Influencing Factor Analysis - Calculate the duration - neutral matching ratio for Treasury bond futures cross - variety combinations and spot bond cross - variety combinations. For Treasury bond futures, select active bonds and the CTD from the basket of deliverable bonds, approximate the Treasury bond futures duration as the CTD duration, and get the ratio of the high - duration to the low - duration for the cross - variety combination. For the active bond spot bond combination, determine the ratio directly based on its duration. Calculate the cumulative spread of the duration - neutral combination based on the dynamic neutral matching ratio and contract return difference/return rate. For the rounding of the duration - neutral matching ratio, retain decimals in the factor signal modeling part and round to integer lots after factor compounding, adding leverage scaling and contract multiples for backtesting. The spread trend of the futures duration - neutral combination is affected by interest rate curve and basis Carry. The basis Carry is positively correlated with the difference between the futures and spot bond duration - neutral cumulative spreads. A widening basis trend benefits the steepening combination, while a converging basis trend benefits the flattening combination [12][13]. 3.3 Duration - Neutral Strategy Modeling 3.3.1 Strategy Factor Pool - The factor pool for the duration - neutral cross - variety arbitrage strategy of bond futures includes basis Carry factors, volume - price factors, and third - party factors. Basis Carry factors have basic and deep basis factors, with deep basis factors optimized from four aspects. Volume - price factors consist of four sub - categories. Third - party factors, sourced from third - party data procurement and simple processing, are valuable in timing strategies. To control slippage, factor frequency is reduced by smoothing the factor original value with the LLT model and then calculating changes, aiming to keep the strategy turnover below 50 times per year [18][20][21]. 3.3.2 Strategy Construction - Build independent strategies for different duration - neutral paired combinations of Treasury bond futures. Split the single cross - variety combination timing prediction strategy into two sub - strategies: predicting the change in the active bond combination duration - neutral spread based on interest rate curves, institutional trading, funding, and volume - price factors, and predicting the change in the futures duration - neutral combination spread based on basis factors and bond futures volume - price indicators. Combine the signals of the two sub - strategies to get the final strategy signal. Provide details on prediction targets, sample sets, factor pools, signal models, factor synthesis, sub - strategy synthesis, and backtesting settings [23]. 3.3.3 Strategy Effect Analysis - Construct medium - short - duration (TS - T) and medium - long - duration (T - TL) combinations. The TS - T strategy outperforms the T - TL strategy. The TS - T combination is affected by basis, volume - price, interest rate curve, and institutional behavior factors, while the T - TL combination is less affected by the basis. From 2021 to the present, the TS - T strategy has a sample - out - of - sample rolling net value Sharpe ratio of 1.31, a Calmar ratio of 1.95, an annualized return of 4%, and a maximum drawdown of 2%. From 2023 to the present, the T - TL strategy has a sample - out - of - sample rolling net value Sharpe ratio of 0.8, a Calmar ratio of 0.96, an annualized return of 6.6%, and a maximum drawdown of 6.9%. The TS - T combination has more stable annual net value performance, while the T - TL combination is more volatile [3][24]. 3.4 Timing Strategy and Cross - Variety Strategy Superposition - The duration - neutral interest rate curve strategy for Treasury bond futures can hedge the volatility risks of futures timing strategies or spot bond long strategies. In the market adjustment in Q1 2025, the combination of the cross - variety arbitrage strategy and the timing strategy for bond futures achieved positive returns, with a maximum drawdown of only 0.8% [34].

季度报告——集装箱运价 需求存修复预期，关注阶段性做多机会 | [走Ta势bl评e_级Ra：nk] | | --- | 报告日期： [Table_Summary] ★欧线需求存在阶段性修复预期 欧线需求在后续月份存在阶段性修复预期，4-8 月货量将呈增长 态势。2025 年欧线需求季节性有望向常规节奏回归，但较红海 危机前仍存 1-2 周左右的节奏错位，预计 6 月中旬前后或逐步过 渡至旺季周期。欧洲财政转为宽松，但能否转化为经济增长动 能存在不确定性，欧线需求动能不足，旺季需求同比增幅或收 窄。 ★供应是核心约束 航 运 OA 恢复 FAL7 航线的影响，基本被 MSC 对欧线运力的二次优 化所抵消，欧线周度运力上限仍显著高于 2024 年。而 MSC 船舶 调度灵活，供应上限存在扩容空间。此外，被动停航比例下降 导致运力均值水平亦有抬升，在需求增长乏力的情况下，阶段 性挺价能否成功主要取决于船司的主动停航规模。空班成本高 昂，实现有效挺价的难度相对较大。 ★潜在扰动因素评估 301 调查提案若落地，短期将直接推高美线运输成本，规避费用 的手段涉及航线调整与船队重新配置，可能会引发短期的运营 网络混乱，且波 ...