2025年06月12日 星期四 期货研究 商品期货早班车 招商期货 黄金市场 招商评论 贵 金 属 【市场表现】 周三贵金属市场分化，黄金反弹而白银走弱 【基本面】 中美伦敦会谈结果一般，双方虽然解决中国留学生签证以及稀土问题，但关税问题依旧不变；特朗普表示， 他对美国与伊朗达成核协议的"信心减弱"；美国财政部拍卖 390 亿美元 10 年期国债，得标利率 4.421%， 投标倍数 2.52（前次为 2.60）。美国 5 月 CPI 同比 2.4%，核心 CPI 环比 0.1%，连续第四个月低于预期，全 线低于预期，能源主导整体 CPI 的放缓，汽车、服装价格均出现下滑，玩具、家电受关税影响更直接的品类 价格上涨。国内黄金 ETF 前一交易日重新流入，COMEX 黄金库存 11879 吨，减少 5 吨；上期所黄金库存 17 吨，小幅微增，伦敦 5 月黄金库存 8598 吨；上期所白银库存 1230 吨，比前一交易日增加 36 吨，金交所白 银库存上周库存减少 28 吨至 1319 吨，COMEX 白银库存 15401 吨，比前一交易日增加 26 吨；伦敦 5 月库 存增加 500 多吨至 23367 吨；印度 ...

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - The short - term strategy for stock index futures is short - cycle band trading, while in the long - term, it is recommended to go long on the economy by allocating IF, IC, and IM forward contracts at low prices. Near - month contracts of IC and IM need to be treated with caution due to the potential decline risk of micro - cap stocks [3]. - For treasury bond futures, it is suggested to take a short - term long and long - term short position. Short - term, buy T and TL contracts at low prices, and in the long - term, hedge T and TL contracts at high prices [4]. - High - frequency data shows a recent rebound in import and export business sentiment [11]. 3. Summary by Directory (1) Stock Index Futures and Spot Market Performance - On June 10, the four major A - share stock indexes declined. The Shanghai Composite Index fell 0.44% to 3384.82 points, the Shenzhen Component Index dropped 0.86% to 10162.18 points, the ChiNext Index decreased 1.17% to 2037.27 points, and the STAR 50 Index declined 1.47% to 982.9 points. Market turnover was 1451.4 billion yuan, an increase of 138.8 billion yuan from the previous day [2]. - In terms of industry sectors, beauty care (+1.1%), banking (+0.48%), and pharmaceutical biology (+0.33%) led the gains, while national defense and military industry (-1.97%), computer (-1.87%), and electronics (-1.65%) led the losses [2]. - The basis and basis annualized yields of IM, IC, IF, and IH next - month contracts are at relatively low levels, with three - year historical quantiles at 4%, 5%, 1%, and 1% respectively [3]. (2) Treasury Bond Futures and Spot Market Performance - On June 10, the yields of treasury bond futures showed mixed trends. Among the active contracts, the implied interest rate of the two - year bond increased by 0.13 bps to 1.348, the five - year bond increased by 0.12 bps to 1.47, the ten - year bond decreased by 3.65 bps to 1.581, and the thirty - year bond decreased by 0.42 bps to 1.949 [3]. - The current active contract is the 2509 contract. The yields, net basis, and IRR of CTD bonds for different - term treasury bond futures are provided [4]. - In terms of the money supply, the central bank injected 198.6 billion yuan and withdrew 454.5 billion yuan, resulting in a net withdrawal of 255.9 billion yuan [4]. (3) Economic Data - High - frequency data indicates a recent rebound in import and export business sentiment [11]. - Short - term capital interest rates, including SHIBOR overnight, DR001, SHIBOR one - week, and DR007, have shown certain changes compared to the previous day, one week ago, and one month ago [11].

2025年06月11日 星期三 商品期货早班车 招商期货 基本金属 | 招商评论 | | | | | --- | --- | --- | --- | | | 市场表现：昨日电解铝 2507 合约收盘价较前一交易日-0.23%，收于 19980 元/吨，国内 0-3 月差 325 元/吨， | | | | | LME 价格 2476.5 美元/吨。 | | | | | 基本面：供应方面，电解铝厂维持高负荷生产，运行产能小幅上升。需求方面，铝材开工率小幅下降。 | | | | 铝 | 交易策略：氧化铝价格下行，利润向电解铝端转移，供应或维持高负荷生产，而下游消费处于淡季，部分板 | | | | | 块开工率持续下滑。但低库存提供下方支撑，预计价格维持震荡走势。 | | | | | 操作建议：观望。 | | | | | 风险提示：海内外宏观政策变化。 | | | | | 市场表现：昨日氧化铝 2509 合约收盘价较前一交易日-0.21%，收于 2886 元/吨，国内 0-3 月差 367 元/吨。 | | | | | 基本面：供应方面，复产产能和新增产能持续释放，运行产能增加。需求方面，电解铝厂维持高负荷生产， | ...

Market Performance - On June 9, the four major A-share stock indices rose across the board, with the Shanghai Composite Index up 0.43% to 3399.77 points, the Shenzhen Component Index up 0.65% to 10250.14 points, the ChiNext Index up 1.07% to 2061.29 points, and the STAR 50 Index up 0.6% to 997.61 points [2]. - Market turnover was 1.3127 trillion yuan, an increase of 135.4 billion yuan from the previous day. Among industry sectors, medicine and biology (+2.3%), agriculture, forestry, animal husbandry and fishery (+1.72%), and textile and apparel (+1.61%) led the gains, while food and beverages (-0.43%), automobiles (+0.03%), and household appliances (+0.04%) led the losses [2]. - In terms of market strength, IM > IC > IF > IH, and the number of rising/flat/falling stocks was 4120/200/1092 respectively. Institutions, main players, large investors, and retail investors in the Shanghai and Shenzhen stock markets had net inflows of 5.7 billion, -5.9 billion, -7.3 billion, and 7.6 billion yuan respectively, with changes of +13.3 billion, +5.9 billion, -8.6 billion, and -10.7 billion yuan respectively [2]. Stock Index Futures Basis and Annualized Yield - The basis of the next-month contracts of IM, IC, IF, and IH was 142.36, 109.65, 53.05, and 40.83 points respectively, with annualized basis yields of -19.08%, -15.74%, -11.38%, and -12.66% respectively, and three-year historical quantiles of 5%, 6%, 3%, and 6% respectively. The futures-spot price difference remained at a low level [3]. Trading Strategy - Recently, small-cap stock indices have had a deep discount, presumably due to the expansion of neutral product scale since this year. As the bond bull market has not restarted, the proportion of short positions in neutral products may still be high, so the deep discount may continue, leading to market fluctuations. A short-term band strategy is recommended [3]. - In the medium to long term, the report maintains a bullish view on the economy. Buying IF, IC, and IM forward contracts on dips is recommended. For near-month contracts, there is a risk of a decline in micro-cap stocks, which may drag down the IC and IM indices, so caution is advised [3]. Treasury Bond Futures Market Performance - On June 9, most yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two-year bond was 1.344, up 0.53 bps from the previous day; the implied interest rate of the five-year bond was 1.472, up 0.12 bps; the implied interest rate of the ten-year bond was 1.617, up 2.45 bps; and the implied interest rate of the thirty-year bond was 1.95, down 1.63 bps [3]. Cash Bonds - The current active contract is the 2509 contract. The CTD bond of the two-year treasury bond futures is 250006.IB, with a yield change of +0.25 bps, a corresponding net basis of -0.093, and an IRR of 1.85%; the CTD bond of the five-year treasury bond futures is 240020.IB, with a yield change of +0 bps, a corresponding net basis of -0.083, and an IRR of 1.81%; the CTD bond of the ten-year treasury bond futures is 220010.IB, with a yield change of -0.75 bps, a corresponding net basis of -0.094, and an IRR of 1.86%; the CTD bond of the thirty-year treasury bond futures is 210005.IB, with a yield change of -1 bps, a corresponding net basis of -0.162, and an IRR of 1.94% [4]. Trading Strategy - The cash bond market has recently shown a pattern of strong supply and weak demand, but this pattern is expected to change. First, the maturity scale of government bonds in June has increased, and the net supply rhythm of government bonds may become more stable. Second, there is a possibility that the long-term liability cost of insurance companies will be lowered in July. Third, the domestic market risk preference has returned to a defensive style, and the allocation demand for the bond market may increase [5]. - For futures, the CTD bond price of the near-month contracts is low, and the recent IRR level is high, so short sellers have a strong willingness to deliver, putting pressure on the near-month contract prices and causing the far-month contracts to have a premium. The positions of T and TL have increased, while the positions of TF and TS have decreased, indicating strong long positions at the long end, possibly betting on a further decline in future policy interest rates. It is recommended to be short-term long and long-term short, buying T and TL on dips in the short term and hedging T and TL on rallies in the long term [5]. Economic Data - High-frequency data shows that the recent import and export sentiment has rebounded [12].

招商期货 2025年06月10日 星期二 商品期货早班车 黄金市场 | 招商评论 | | | --- | --- | | 贵 | 【市场表现】 | | 金 | 周一贵金属市场继续分化，黄金下跌而白银延续涨势 | | 属 | 【消息面】 | | | 中美经贸磋商机制首次会议 6 月 9 日在英国伦敦开始举行，10 日继续进行。 | | | 【经济数据方面】 | | | 纽约联储调查数据显示，5 月美国消费者未来通胀预期全面下降，为 2024 年来首次，其中一年期通胀预期降 | | | 幅最大，从 4 月的 3.6%降至 3.2%，三年期、五年期通胀预期也均有下降；中国 5 月 CPI 同比降 0.1%，环比 | | | 由增转降，PPI 同比降幅扩大至 3.3%；中国 5 月按美元计出口同比增长 4.8%，进口下降 3.4%。中国 5 月稀 | | | 土出口量环比增近 23%，大豆进口量环比增 129%创历史新高，煤炭和石油进口量下降。 | | | 【库存数据方面】 | | | 国内黄金 ETF 前一交易日重新流入，COMEX 黄金库存 1185 吨，减少 6 吨；上期所黄金库存 17 吨，小幅微 | | | ...

Investment Rating - No investment rating for the industry is provided in the report. Core Views - For stock index futures, short - term band strategies are advisable due to deep discounts on small - cap stock indices. In the medium - to - long - term, it's recommended to allocate IF, IC, and IM forward contracts on dips. Near - month contracts of IC and IM should be treated with caution [3]. - For bond futures, it's suggested to take short - term long and long - term short positions. Short - term, buy T and TL on dips; medium - to - long - term, hedge T and TL on rallies [4]. Summary by Directory 1. Stock Index Futures and Spot Market Performance - On June 6, A - share major indices mostly declined, with the Shanghai Composite Index rising 0.04% to 3385.36 points, while the Shenzhen Component Index, ChiNext Index, and STAR 50 Index fell 0.19%, 0.45%, and 0.48% respectively. Market trading volume was 1177.2 billion yuan, a decrease of 139.7 billion yuan from the previous day. Industries like non - ferrous metals, communication, and petroleum and petrochemical led the gains, while beauty care, textile and apparel, and food and beverage led the losses. In terms of market strength, IF>IH>IC>IM. The number of rising, flat, and falling stocks were 2600, 210, and 2602 respectively. Institutional, main, large - scale, and retail investors' net capital inflows were - 76, - 118, 12, and 182 billion yuan respectively, with changes of - 114, - 77, +38, and +153 billion yuan [2]. - The basis of IM, IC, IF, and IH next - month contracts were 146.64, 107.08, 55.98, and 46.05 points respectively, with annualized basis yields of - 19.22%, - 14.99%, - 11.65%, and - 13.81% respectively, and three - year historical quantiles of 5%, 7%, 2%, and 4% respectively. The futures - spot price difference remained at a low level [3]. 2. Bond Futures and Spot Market Performance - On June 6, bond futures yields declined across the board. Among active contracts, the implied yields of two - year, five - year, ten - year, and thirty - year bonds decreased by 0.93bps, 1.56bps, 6.03bps, and 4.02bps respectively compared to the previous day [3]. - For the current active 2509 contract, the CTD bonds, yield changes, net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year bond futures are provided. In the bond market, the current supply - strong and demand - weak pattern may change in the future. The short - term strategy is to buy T and TL on dips, and the medium - to - long - term strategy is to hedge T and TL on rallies [4]. 3. Economic Data - High - frequency data shows a recent rebound in import and export sentiment [11].

1. Report Industry Investment Ratings No industry investment ratings are provided in the reports. 2. Core Views - The de - dollarization logic remains unchanged, suggesting going long on gold; for silver, considering the increase in London inventory and the change in industrial demand, it is recommended to go short on silver at high prices or go long on the gold - silver ratio [1]. - For base metals, copper is recommended to be bought at low prices; aluminum is expected to fluctuate, and it is advisable to wait and see; alumina is expected to fluctuate weakly, and it is advisable to wait and see; industrial silicon is expected to fluctuate between 7000 - 7600 yuan, and it is advisable to wait and see; lithium carbonate may be short - sold at high prices in the long - term; polysilicon can consider anti - arbitrage strategies and short - selling on rebounds [1][2][3]. - For the black industry, it is recommended to chase long on the rebar 2510 contract in the short - term; for iron ore, it is advisable to wait and see; for coking coal, it is advisable to wait and see and try to chase long on the coking coal 2509 contract in the short - term [4]. - In the agricultural product market, soybeans are expected to fluctuate; corn futures prices are expected to fluctuate strongly; sugar is recommended to be short - sold at high prices; cotton is advisable to wait and see; palm oil has no major contradictions currently; eggs and hogs are expected to fluctuate, and apples are advisable to wait and see [5][6][7]. - In the energy and chemical industry, LLDPE is expected to fluctuate in the short - term and be short - sold at high prices in the long - term; PVC is advisable to wait and see and sell call options above 4850; PTA can be short - sold on processing fees at high prices; rubber is advisable to use an interval trading strategy; glass is recommended to sell call options above 1250; PP is expected to fluctuate in the short - term and be short - sold at high prices in the long - term; MEG is expected to be strong in the short - term, but long positions should be carefully considered; crude oil should be short - sold at high prices; styrene is expected to fluctuate in the short - term and be short - sold at high prices in the long - term; soda ash is expected to fluctuate at the bottom, and call options can be sold; caustic soda is expected to fluctuate at the bottom [8][9][10]. 3. Summary by Related Catalogs 3.1 Pre - market Commodity Futures 3.1.1 Precious Metals - **Market Performance**: Spot gold fell by more than 1% last Friday, while spot silver continued its upward trend, rising by more than 1.4% before a slight decline [1]. - **News**: Chinese Vice - Premier He Lifeng will visit the UK from June 8th to 13th and hold the first meeting of the China - US economic and trade consultation mechanism; the People's Bank of China has increased its gold holdings for the 7th consecutive month, with a month - on - month increase of 60,000 ounces, and the increase rate continues to slow down; Japan's chief trade negotiator and Minister of Economic Revitalization Akera Masaru is going to the US for the fifth round of Japan - US tariff negotiations [1]. - **Economic Data**: In May, the US non - farm payrolls increased by 139,000, the lowest since February, although higher than market expectations, but the data for the previous two months was revised down by a total of 95,000; the unemployment rate was 4.2%, with an unexpected increase in wages but a shrinking labor force; US consumer credit in April doubled to $17.9 billion, with student loans soaring to a record high of $1.8 trillion; from January to March 2025, the global real estate investment increased by 34% year - on - year, and the real estate investment in Japan exceeded 2 trillion yen, reaching a quarterly record high, a 23% increase compared with the same period last year [1]. - **Inventory Data**: Domestic gold ETFs flowed in again the previous day. COMEX gold inventory was 1191 tons with little change, SHFE gold inventory was 17 tons with a slight increase, and London's gold inventory in May was 8598 tons; SHFE silver inventory was 1107 tons, an increase of 20 tons from the previous day, SGE silver inventory decreased by 49 tons to 1347 tons last week, COMEX silver inventory was 15413 tons, a decrease of 13 tons from the previous day, and London's inventory in May increased by more than 500 tons to 23367 tons; India's silver imports in March decreased to about 120 tons. In April, Switzerland's gold imports from the US increased significantly, and the US market continued to outflow [1]. - **Operation Suggestion**: The de - dollarization logic remains unchanged, so it is recommended to go long on gold; for silver, considering the increase in London inventory and the change in industrial demand, it is recommended to go short on silver at high prices or go long on the gold - silver ratio [1]. 3.1.2 Base Metals - **Copper** - **Market Performance**: On Friday, copper prices fluctuated strongly [2]. - **Fundamentals**: Copper prices are in a state of strong overseas and weak domestic. The weakening of the US dollar index supports copper prices, but domestic demand has slowed down, the spot premium has weakened, and the structure has weakened. London inventory has continued to decline, with the cancellation ratio exceeding 60%, and the back has reached over $70. In addition, the phone call between Chinese and US leaders has boosted market risk appetite [2]. - **Trading Strategy**: It is recommended to buy at low prices [2]. - **Aluminum** - **Market Performance**: On Friday, the closing price of the electrolytic aluminum 2507 contract increased by 0.30% compared with the previous trading day, closing at 20,070 yuan/ton, with a domestic 3 - month spread of 310 yuan/ton, and the LME price was $2450/ton [2]. - **Fundamentals**: In terms of supply, electrolytic aluminum plants maintain high - load production, and the operating capacity has increased slightly. In terms of demand, the operating rate of aluminum products has decreased slightly [2]. - **Trading Strategy**: The price of alumina is falling, and profits are shifting to the electrolytic aluminum end. Supply may maintain high - load production, while downstream consumption is in the off - season, and the operating rate of some sectors continues to decline. However, low inventory provides support at the bottom, and prices are expected to fluctuate. It is advisable to wait and see [2][3]. - **Alumina** - **Market Performance**: On Friday, the closing price of the alumina 2509 contract decreased by 1.43% compared with the previous trading day, closing at 2901 yuan/ton, with a domestic 0 - 3 month spread of 335 yuan/ton [3]. - **Fundamentals**: In terms of supply, the复产 and new production capacities are continuously being released, and the operating capacity has increased. In terms of demand, electrolytic aluminum plants maintain high - load production, and the operating capacity is stable [3]. - **Trading Strategy**: The release of alumina's复产 and new production capacities and the accumulation of social inventory have increased supply pressure. Short - sellers are taking the opportunity to push down prices. In the short term, the game between buyers and sellers has intensified. Under the expectation of overall supply - demand surplus, prices may fluctuate weakly, and technical rebounds should be guarded against during the process. It is advisable to wait and see [3]. - **Industrial Silicon** - **Market Performance**: On Friday, the main 07 contract opened higher and then fluctuated, closing at 7290 yuan/ton, an increase of 155 yuan/ton compared with the previous trading day. The position decreased by 22,773 lots to 161,192 lots. Today, the warehouse receipt decreased by 746 lots to 60,573 lots [3]. - **Fundamentals**: Last week, the spot price continued to decline, with a narrowing decline. There was no obvious contraction in the supply end, and the number of open furnaces changed little this week. The market is pessimistic about the continuous decline of inventory. On the demand side, the output of polysilicon in June may increase slightly compared with May. Pay attention to the resumption of production and operation of enterprises after the holiday. The output of silicone has increased slightly, and the prices in the industrial chain have stopped falling. The operating rate of aluminum alloys is relatively stable [3]. - **Operation Suggestion**: In the short term, domestic macro - sentiment fluctuates greatly. When the valuation is low, it is easily disturbed by market sentiment. It is expected that the futures price will fluctuate between 7000 - 7600 yuan. It is advisable to wait and see [3]. - **Lithium Carbonate** - **Market Performance**: On Friday, the main 2507 contract closed at 60,440 yuan/ton, an increase of 0.6% compared with the previous trading day [3]. - **Fundamentals**: On the supply side, the output in June is high, and the expectation of production reduction is weak. SMM expects the output of lithium carbonate in June to be 78,875 physical tons, a month - on - month increase of 8.87%. The index of imported spodumene concentrate fell further to $626/ton yesterday, and the profit of producing lithium carbonate from purchased spodumene has been greatly repaired, with a weak expectation of production reduction. The output this week was 17,471 tons, a month - on - month increase of 5.37%. On the demand side, the overall demand is weak, and the long - term expectation is pessimistic. The consumption of new energy vehicles is lower than expected. According to the data of the Passenger Car Association, the wholesale sales of new energy vehicles in May were 1.24 million, a year - on - year increase of 38% and a month - on - month increase of 9%, while the wholesale sales in April were 1.14 million, a year - on - year increase of 42%. The consumption has recovered month - on - month, but the growth rate is still slow. The consumption electronics market is pessimistic due to the exhaustion of national subsidies in various regions. The demand for energy storage has been released in advance due to the "new - old cut - off" in Document No. 136, and the demand expectation in the second half of the year has weakened significantly. Social inventory is high and showing an upward trend, reaching 132,432 tons (+861 tons), and the warehouse receipt on Friday decreased slightly to 33,309 lots (-12 lots) [3]. - **Trading Strategy**: In the short term, the strong expectation of demand supports prices to fluctuate. The significant repair of lithium salt production profits and the weak reality of rapid production increase make it highly likely that there will still be a surplus in June. Attention should be paid to the fulfillment of demand; in the long term, the key to reversing the surplus pattern of lithium salts still lies in the supply side. In the short term, affected by capital and the macro - environment, prices may deviate from fundamentals and show a slight rebound. Short - term profit - taking can be considered, and then short - sell distant - month contracts at high prices [3]. - **Polysilicon** - **Market Performance**: On Friday, the main 07 contract opened higher and then fluctuated downward, closing at 34,740 yuan/ton, an increase of 200 yuan/ton compared with the previous trading day. The position decreased by 623 lots to 65,179 lots. The 06 contract has entered the delivery month, and liquidity has weakened. Currently, the contracts still maintain a contango structure. The warehouse receipt has increased to 2460 lots (7380 tons) [3]. - **Fundamentals**: Last week, the spot price remained stable. On the supply side, the output in the first week of June decreased slightly, and there is an expectation of production resumption in June, so the output may increase slightly. The industry still has nearly 270,000 tons of inventory. On the demand side, the silicon wafer production schedule data has recovered, but the overall procurement of polysilicon is limited. A photovoltaic industry conference will be held in Shanghai next week. Pay attention to the communication at the conference [3]. - **Operation Suggestion**: This week, the warehouse receipt has been increasing continuously, and the logic of warehouse receipt game has weakened. If the warehouse receipt registration exceeds expectations, an anti - arbitrage strategy between 07 and distant - month contracts can be considered. For a single - side position, if there is no further production reduction news, a short - sell on the rebound of the 07 contract can be considered [3]. 3.2 Black Industry - **Rebar** - **Market Performance**: The main rebar 2510 contract fluctuated weakly, closing at 2965 yuan/ton, a decrease of 27 yuan/ton compared with the previous trading day's closing price [4]. - **Fundamentals**: The supply and demand of steel may deteriorate seasonally. The supply and demand of building materials are both weak, but benefiting from low production, the inventory pressure is small; the demand for plates has deteriorated slightly. In the environment of the withdrawal of national subsidies, domestic demand may further weaken, but direct exports remain high. Overall, the supply and demand of steel are relatively balanced, and the contradiction is not significant. Steel futures have been at a discount for two consecutive weeks, and the margin has widened. The news of the upcoming China - US economic and trade consultation is expected to slightly improve market sentiment. It is expected that steel futures prices will fluctuate strongly this week [4]. - **Trading Strategy**: It is recommended to chase long on the rebar 2510 contract in the short - term. The reference range for RB10 is 2950 - 3000 [4]. - **Iron Ore** - **Market Performance**: The main iron ore 2509 contract fluctuated weakly, closing at $704/ton, a decrease of $4.5/ton compared with the previous trading day's night - session closing price [4]. - **Fundamentals**: The supply and demand of iron ore remain moderately strong. According to the data of the Steel Union, the pig iron output has decreased slightly month - on - month but still maintains a certain year - on - year increase. After the third round of price cuts, the profit margin of steel mills has expanded, and subsequent production will be mainly stable; the supply is in line with seasonal rules, with a slight year - on - year decrease. The supply and demand of iron ore are moderately strong in the short - term, but the medium - term surplus pattern remains unchanged. Iron ore maintains a forward discount structure, but the absolute level remains at a relatively low level in the same period of history, with a neutral valuation. The news of the upcoming China - US economic and trade consultation is expected to slightly improve market sentiment. It is expected that iron ore futures prices will fluctuate strongly this week [4]. - **Trading Strategy**: It is advisable to wait and see. The reference range for I09 is 700 - 720 [4]. - **Coking Coal** - **Market Performance**: The main coking coal 2509 contract fluctuated weakly, closing at 778 yuan/ton, a decrease of 11.5 yuan/ton compared with the previous trading day's night - session closing price [4]. - **Fundamentals**: Pig iron output decreased slightly by 0.1 million tons to 2.418 million tons month - on - month, with a year - on - year increase of 61,000 tons. The profit margin of steel mills has narrowed, and subsequent production will be mainly stable. The second round of price cuts has been implemented, and the third round of price cuts has been proposed. In terms of supply, the inventory at each link is differentiated. The coking coal inventory and inventory days of steel mills and coking plants remain at a relatively low level in the same period of history, while the inventory at the mine mouth, ports and other links continues to remain at a historical high. At the same time, production has decreased month - on - month, and overall supply and demand are still relatively loose, but the fundamentals are gradually improving. Futures are basically at par with the spot, and the forward curve is gradually flattening. The news of the upcoming China - US economic and trade consultation is expected to slightly improve market sentiment [4]. - **Trading Strategy**: It is advisable to wait and see and try to chase long on the coking coal 2509 contract in the short - term. The reference range for JM09 is 770 - 810 [4]. 3.3 Agricultural Product Market - **Soybean Meal** - **Market Performance**: Last Friday, CBOT soybeans continued to rise, digesting the optimistic expectation of China - US trade [5]. - **Fundamentals**: On the supply side, the supply in South America is loose in the short - term, while the sowing of new US soybeans is in the later stage. On the demand side, South America dominates in the short - term, and the high - frequency demand for US soybeans is seasonally weak [5]. - **Trading Strategy**: US soybeans are expected to fluctuate; in China, there will be more soybean arrivals in the later stage, with a weak basis, and the single - side price will follow the international market. Attention should be paid to later trade policies and US soybean production [5]. - **Corn** - **Market Performance**: The corn 2507 contract rose

Report Summary 1. Market Performance - On June 5, A-share's four major stock indices rose across the board: Shanghai Composite Index rose 0.23% to 3384.1 points, Shenzhen Component Index rose 0.58% to 10203.5 points, ChiNext Index rose 1.17% to 2048.62 points, and STAR 50 Index rose 1.04% to 996.41 points. Market turnover was 1317 billion yuan, an increase of 139.5 billion yuan from the previous day [2]. - In terms of industry sectors, communication (+2.62%), electronics (+2.31%), and computer (+2.12%) led the gains; beauty care (-3.07%), textile and apparel (-1.81%), and agriculture, forestry, animal husbandry and fishery (-1.79%) led the losses [2]. - In terms of market strength, IM>IC>IF>IH, and the number of rising/flat/falling stocks was 2675/197/2540 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of 38, - 41, - 26, and 30 billion yuan respectively, with changes of +14, - 15, +19, and - 18 billion yuan respectively [2]. - For Treasury bond futures on June 5, most yields declined. Among active contracts, the implied interest rate of the two - year bond was 1.356, down 2.79bps from the previous day; the five - year bond was 1.495, down 1.21bps; the ten - year bond was 1.658, down 0.08bps; and the thirty - year bond was 2.012, up 2.99bps [3]. 2. Futures Basis and Yield - The basis of the next - month contracts of IM, IC, IF, and IH was 158.21, 118.37, 64.36, and 49.13 points respectively, with annualized basis yields of - 20.04%, - 16.03%, - 12.97%, and - 14.26% respectively, and three - year historical quantiles of 4%, 5%, 1%, and 3% respectively. The futures - spot price difference remained at a low level [2]. 3. Trading Strategies - **Stock Index Futures**: Recently, small - cap stock indices have had a deep discount, presumably due to the expansion of neutral product scale this year. Since the bond bull market has not restarted, the proportion of short positions in neutral products may still be high, so the deep discount may continue, leading to market fluctuations. A short - cycle band strategy is recommended. In the medium - to - long term, it is recommended to go long on the economy. It is recommended to allocate IF, IC, and IM forward contracts on dips. For near - month contracts, there is a risk of a decline in micro - cap stocks, which may drag down the IC and IM indices, so caution is advised [3]. - **Treasury Bond Futures**: The current bond market shows a pattern of strong supply and weak demand, but this pattern is expected to change. In June, the maturity scale of government bonds increases, and the net supply rhythm may slow down. In July, there is a possibility of a reduction in the long - term liability cost of insurance. The domestic market risk preference has returned to a defensive style, which may increase the demand for bond market allocation. For futures, the CTD bond price of near - month contracts is low, and the recent IRR level is high, so short - sellers have a strong willingness to deliver, putting pressure on near - month contract prices and causing far - month contracts to have a premium. T and TL positions are increasing, while TF and TS positions are decreasing, indicating strong long - term bullish power, betting on a further decline in policy interest rates. It is recommended to be short - term long and long - term short, buying T and TL on dips in the short term and hedging T and TL on rallies in the long term [4]. 4. Specific Market Data - **Stock Index Futures and Spot Markets**: Detailed data on the performance of various stock index futures contracts (such as IC2506 - IC2512, IF2506 - IF2512, IH2506 - IH2512, IM2506 - IM2512) and their corresponding spot indices (such as CSI 500, SSE 50, etc.) are provided, including price, trading volume, open interest, basis, and basis annualized yield [6]. - **Treasury Bond Futures and Spot Markets**: Data on the performance of various Treasury bond futures contracts (such as TS2506 - TS2512, TF2506 - TF2512, T2506 - T2512, TL2506 - TL2512) and their corresponding spot bonds (such as 250006, 250003, etc.) are presented, including price, trading volume, open interest, net basis, and CTD bond implied interest rate [7]. - **Short - term Funding Rates**: The current, previous, one - week - ago, and one - month - ago prices of SHIBOR overnight, DR001, SHIBOR one - week, and DR007 are shown, indicating relatively stable short - term funding rates [11]. 5. Economic Data - High - frequency data shows that in May, the prosperity of imports and exports and social activities declined, while the prosperity of the real estate market increased [11].

Report Title - Private Equity Weekly Performance is Good, Remain Cautious about Small-cap Exposure and Basis Convergence Risk in the Future (May 26, 2025 - May 30, 2025) - Weekly Tracking Report on Private Equity Strategies of China Merchants Futures [2] Report Industry Investment Rating - Not provided in the report Core Viewpoints - As of May 30, 2025, three types of private equity index enhancement strategies had positive returns this week. Approximately 50% of stock neutral strategy funds had positive returns, with the 75th percentile of weekly returns at 0.13%. The median return of two types of cycle-labeled dimension neutral strategies was positive, and the performance of the partial holding Alpha neutral strategy was relatively good, with a median return of 0.15%. Approximately 75% of option strategy pool funds had positive returns, and the partial selling option strategy had relatively good returns, with the 75th percentile return at 0.58%. [5] - From the perspective of the monthly performance of sub - strategies, the top three sub - strategies were CSI 1000 Index Enhancement (+4.35%), Quantitative Stock Selection (+3.65%), and CSI 500 Index Enhancement (+3.21%); the bottom three were Full Replication Neutral T (+0.23%), Partial Arbitrage (+0.40%), and 300 Neutral (+0.58%). [5] - As of May 30, 2025, most private equity index enhancement strategies rose this week. Specifically, CSI 1000 Index Enhancement rose 1.15%, Quantitative Stock Selection rose 0.68%, CSI 500 Index Enhancement rose 0.67%, and SSE 500 Index Enhancement fell 0.64%. From the perspective of the track - labeled dimension index enhancement strategies, the excess returns of the four types of index enhancement strategies were all positive, with Quantitative Stock Selection at 0.77%, CSI 1000 Index Enhancement at 0.55%, SSE 300 Index Enhancement at 0.48%, and CSI 500 Index Enhancement at 0.35%. [5] - The component stock monitoring model shows that small and micro - cap stocks had the highest investment return rate in the past three months, and one should remain cautious about the retracement risk of small and micro - cap stocks in the future. [5] Summary by Directory 01 Private Equity Review - **Private Equity Index Enhancement Fund Performance Tracking** - Three types of private equity index enhancement strategies had positive returns this week. Specifically, CSI 1000 Index Enhancement rose 1.15%, Quantitative Stock Selection rose 0.68%, CSI 500 Index Enhancement rose 0.67%, and SSE 300 Index Enhancement fell 0.64%. [12] - From the perspective of the track - labeled dimension index enhancement strategies, the excess returns of the four types of index enhancement strategies were all positive, with Quantitative Stock Selection at 0.77%, CSI 1000 Index Enhancement at 0.55%, SSE 300 Index Enhancement at 0.48%, and CSI 500 Index Enhancement at 0.35%. [19] - From the perspective of the cycle - labeled dimension index enhancement strategies, the median excess returns of the four types of cycle - labeled dimension index enhancement strategies were all positive. Specifically, the partial holding type index enhancement excess median was 0.45%, the holding type index enhancement excess median was 0.43%, the trading type index enhancement excess median was 0.31%, and the partial trading type index enhancement excess median was 0.18%. [25] - **Track - Labeled Dimension Neutral Strategy Tracking** - Approximately 50% of the stock neutral strategy funds had positive returns this week, with the 75th percentile of weekly returns at 0.13%. After deducting the basis impact, the median weekly return of the 300 neutral strategy was 0.27%, the median weekly return of the 500 neutral strategy was 0.60%, and the median weekly return of the 1000 neutral strategy was 0.23%. [28] - **Cycle - Labeled Dimension Neutral Strategy Tracking** - The median returns of two types of cycle - labeled dimension neutral strategies were positive. Specifically, the partial holding Alpha neutral median was 0.15%, the holding Alpha neutral median was 0.05%, the partial trading Alpha neutral median was -0.01%, and the trading Alpha neutral median was -0.05%. [32] - **Track - Labeled Dimension Option Strategy Tracking** - Approximately 75% of the option strategy pool funds had positive returns this week. From the 75th percentile, the fund pool's weekly return was 0.37%, and the one - year return was 13.17%. From the track - labeled dimension, the partial selling option strategy had relatively good returns, with the 75th percentile return at 0.58%. [36] 02 Performance Attribution - **Private Equity Index Enhancement Strategy Component Stock Disassembly** - The small and micro - cap exposure is large, and one should remain cautious about the retracement risk of small and micro - cap stocks in the future. [38] - The investment cost - effectiveness of CSI 1000, CSI 2000, and other (including small and micro - cap) stocks is relatively high. Specifically, the return rate of unit SSE 300 component stocks in the past three months was -1.28%, the return of unit CSI 500 component stocks was -3.22%, the return of unit CSI 1000 component stocks was -3.90%, and the return of unit other (including small and micro - cap) stocks was over 28%. [46] 03 Risk Monitoring - **Private Equity Index Enhancement Risk Monitoring - SSE 300 Index Enhancement Fund** - As of May 30, 2025, the three factors with the largest excess exposure of the SSE 300 index enhancement fund were the leverage factor, the mid - cap factor, and the growth factor, which were -1.28, 1.15, and -0.61 respectively. Generally speaking, the SSE 300 index enhancement fund has relatively large excess risk exposure in the leverage factor and the mid - cap factor. [51] - **Private Equity Index Enhancement Risk Monitoring - CSI 500 Index Enhancement Fund** - As of May 30, 2025, the three factors with the largest excess exposure of the CSI 500 index enhancement fund were the residual volatility factor, the BETA factor, and the momentum factor, which were 0.65, -0.63, and 0.55 respectively. Generally speaking, the excess risk exposure of the CSI 500 index enhancement fund is not large. [60] - **Private Equity Index Enhancement Risk Monitoring - CSI 1000 Index Enhancement Fund** - As of May 30, 2025, the three factors with the largest excess exposure of the CSI 1000 index enhancement fund were the BETA factor, the residual volatility factor, and the momentum factor, which were -0.59, 0.54, and 0.48 respectively. Generally speaking, the excess risk exposure of the CSI 1000 index enhancement fund is not large. [69]

招商期货有限公司 市场表现：6 月 4 日，A 股四大股指全线上涨，其中上证指数上涨 0.42%，报收 3376.2 点；深成指 上涨 0.87%，报收 10144.58 点；创业板指上涨 1.11%，报收 2024.93 点；科创 50 指数上涨 0.45%， 报收 986.11 点。市场成交 11,774 亿元，较前日增加 136 亿元。行业板块方面，美容护理(+2.63%)， 综合(+2.53%)，纺织服饰(+2.41%)涨幅居前；交通运输(-0.58%)，国防军工(-0.24%)，公用事业 (-0.12%)跌幅居前。从市场强弱看，IM>IC>IF>IH，个股涨/平/跌数分别为 3,964/211/1,237。沪深两 市，机构、主力、大户、散户全天资金分别净流入 23、-26、-45、48 亿元，分别变动+49、+40、-27、 -62 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 160.37、120.01、65.54 与 47.42 点，基差年化收益率 分别为-19.84%、-15.84%、-12.83%与-13.35%，三年期历史分位数分别为 4%、5%、1%及 5%。 期- ...