中国铁矿石期货基差复盘

1. Report Industry Investment Rating There is no information provided in the report regarding the industry investment rating. 2. Core Viewpoints of the Report - PB Fines most active contract basis values mostly fall within the range of [0, 200] yuan/ton. The basis is highest when a new contract is first listed and gradually narrows to around zero as the delivery month approaches. There is an expectation for the basis to strengthen in September, a peak season, while it tends to decline during the off - season and invariably as the delivery month approaches. In the delivery month, the basis for the September and January contracts is slightly higher than that of the May contract. When price spreads between different ore grades widen, the basis may deviate quickly from normal ranges [4]. - After standardizing the monthly average basis data of the three major contracts by delivery month, the basis is highest when the contract is newly listed and gradually narrows to around zero as it approaches delivery. This is because iron ore futures typically exhibit a long - term backwardation structure. The 09 and 01 contracts have stronger spot demand and their basis remains above zero at delivery, while the May contract's basis at delivery is lower due to weaker demand [71][77]. 3. Summary According to the Table of Contents 3.1 Concept - Basis = Adjusted Spot Futures Equivalent Price – Futures Price; Spread = Spot Price – Futures Price. The divergence in spot - futures price movements arises from different pricing benchmarks and the fact that futures prices reflect both spot fundamentals and market expectations. Spot price is defined as the lowest tax - included PB FINES price across all ports; futures price is the DCE iron ore main contract closing price for January, May, and September. Well - designed delivery systems should lead to basis near zero at delivery, but multiple deliverable brands cause basis to reflect additional price differences. Data from 2021 is excluded to show the normal seasonal pattern of basis [15][16][17]. 3.2 Contract Basis 3.2.1 PB Fines January Contract Basis - The maximum value of the PB Fines January contract basis is 518.9 yuan/ton, the minimum is - 28.9 yuan/ton, the average is 89.7 yuan/ton, and the 80% range is [2.9, 188.1] yuan/ton. The basis slightly widened in September (peak season) and tended to contract more rapidly in November and December (off - season) [35][38]. 3.2.2 PB Fines May Contract Basis - The maximum value of the PB Fines May contract basis is 619.1 yuan/ton, the minimum is - 57.5 yuan/ton, the average is 85.5 yuan/ton, and the 80% range is [- 1.8, 204.7] yuan/ton. The basis narrowed rapidly in April (ahead of delivery and seasonal transition) and strengthened in September (traditional peak season). The decline in October was limited [45]. 3.2.3 PB Fines September Contract Basis - The maximum value of the PB Fines September contract basis is 398.1 yuan/ton, the minimum is - 28.1 yuan/ton, the average is 80.1 yuan/ton, and the 80% range is [2.1, 201.7] yuan/ton. The basis declined rapidly in July (off - season and close to delivery). The basis in January was relatively strong, possibly due to longer time to delivery and market expectations of increased supply [58]. 3.3 Conclusion 3.3.1 Normalization - The monthly average basis of the three major contracts is highest when the contract is newly listed and gradually narrows to around zero as it approaches delivery. The 09 and 01 contracts have stronger spot demand and positive basis at delivery, while the May contract's basis at delivery is lower due to weaker demand [71][77].