Report Overview - Report Name: Nanhua Futures Daily Report on Risk Management of Pig Enterprises - Date: August 19, 2025 - Author: Dai Hongxu (Investment Consulting License No.: Z0021819) - Investment Consulting Business Qualification: CSRC License [2011] No. 1290 1. Report Industry Investment Rating - No information provided in the report. 2. Report's Core View - The current supply increase trend in the pig market is obvious, and both the industry and funds are aware of it. The futures market has priced in the expectation of oversupply. The fundamental situation remains one of oversupply, while policy expectations provide an opportunity for arbitrage to hedge risks [3]. 3. Summary by Relevant Catalogs 3.1 Pig Price Range Forecast - The strong support level for the main contract price is 13,400. The current 20 - day rolling volatility is 10.94%, and the historical percentile of the current volatility over 3 years is 0.75% [2]. 3.2 Pig Enterprise Risk Management Strategy Recommendations Inventory Management - For enterprises with high product inventory and concerns about inventory impairment, they can short - sell LH2511 pig futures at a recommended ratio of 20% to lock in finished - product profits, sell call options (either over - the - counter or exchange - traded) at a 20% ratio, and buy out - of - the - money put options [2]. Procurement Management - For enterprises with future procurement plans and concerns about rising raw material prices, they can buy pig forward contracts according to the procurement plan to lock in procurement costs, sell put options (either over - the - counter or exchange - traded) according to the procurement plan, and buy out - of - the - money call options [2]. 3.3 Core Contradictions - Frequent policy disturbances may affect the long - term supply of pigs. The supply increase trend is well - recognized, and the futures market has reflected the oversupply expectation. The fundamental situation is oversupply, and policy expectations offer an opportunity for arbitrage [3]. 3.4利多解读 - No information provided in the report. 3.5利空解读 - Positive factors: Improved macro - sentiment boosts market confidence, the standard - fat price spread is at a relatively high level in the same period of history, and there is a medium - to - long - term expectation of production capacity reduction from the policy side [5]. - Negative factors: The inventory of breeding sows remains high, the inventory of large - scale enterprises is at a three - year high, the slaughter volume of slaughtering enterprises remains high with losses in slaughtering profit, and downstream terminal consumption is weak [5]. 3.6 Pig Spot Prices - The national average pig spot price is 13.62 yuan/kg, with a daily increase of 0.01 yuan and a growth rate of 0.07%. Prices vary by region, such as 13.63 yuan/kg in Henan (up 0.04 yuan, 0.29%), 13.65 yuan/kg in Hunan (down 0.02 yuan, - 0.15%), etc. [8]. 3.7 Pig Futures Prices - The closing prices of different pig futures contracts are as follows: Pig 01 is 14,200 yuan/ton, Pig 03 is 13,330 yuan/ton, Pig 05 is 13,810 yuan/ton, Pig 07 is 14,260 yuan/ton, Pig 09 is 13,780 yuan/ton, and Pig 11 is 13,900 yuan/ton, all with no daily change [9]. 3.8 Pig Price Spreads and Basis - For example, the spread of LH01 - 03 is 870 yuan/ton, down 20 yuan (- 2.25%); the basis of Henan - 01 contract is - 570 yuan/ton, with no change [17][19].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - Policy disturbances may affect the future supply of live pigs. Although the fundamentals are still in a situation of oversupply, the policy expectations provide an opportunity for arbitrage to hedge risks [3] - There are both positive and negative factors in the live pig market. Positive factors include improved macro - sentiment, a high standard - fat price difference, and medium - to - long - term policy - driven capacity reduction expectations. Negative factors include a high inventory of sow stocks, high inventory of large - scale enterprises, high slaughter volume with losses in slaughter profits, and weak downstream consumption [4][5] 3. Summary by Relevant Catalogs 3.1 Pig Price Forecast and Risk Management - The strong support level for the main contract price is 13,400, with a current volatility (20 - day rolling) of 10.94% and a current volatility historical percentile (3 - year) of 0.75% [2] - For inventory management when product inventory is high, strategies include shorting live pig futures (LH2511, sell 20%), selling call options (20%), and buying out - of - the - money put options [2] - For procurement management when there are future procurement plans, strategies include buying live pig forward contracts according to the procurement plan, selling put options according to the procurement plan, and buying out - of - the - money call options [2] 3.2 Pig Spot and Futures Prices - Spot prices vary by region. The national average is 13.72 yuan/kg, with a daily increase of 0.02 yuan and a growth rate of 0.15%. Prices in different regions show different changes [8] - Futures prices of different contracts (pig 01, 03, 05, 07, 09, 11) remain unchanged on the day [9] 3.3 Pig Price Spreads and Basis - Different contract spreads and basis show various changes, such as LH01 - 03 with a spread of 835 yuan, a decrease of 65 yuan, and a decline rate of 7.22% [17] - Seasonal charts of basis and spreads for different contracts are provided, including pig 01, 03, 05, 07, 09, 11 contracts [10][16][19] 3.4 Dalian Commodity Exchange Pig Warehouse Receipt Inventory - Seasonal data of Dalian Commodity Exchange pig warehouse receipt inventory is presented [27]

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core Viewpoints - Policy - end disturbances may affect the long - term supply of live pigs. Although the fundamentals show an oversupply situation, the policy expectations offer an opportunity for arbitrage to hedge risks [3]. - There are both positive and negative factors in the live pig market. Positive factors include improved macro - sentiment boosting market confidence and a high historical standard - fat price spread. Negative factors involve a high inventory of breeding sows, high inventory of large - scale enterprises, high slaughter volume with losses in slaughter profits, and dull downstream consumption [4][5]. 3. Summary by Relevant Catalogs 3.1 Price Forecast - The strong support level for the main contract price is 13,400. The current 20 - day rolling volatility is 10.94%, and its historical percentile over three years is 0.75% [2]. 3.2 Risk Management Strategies - **Inventory Management**: For enterprises with high product inventory worried about inventory impairment, strategies include short - selling live pig futures (LH2511) at a recommended ratio of 20%, selling call options, and buying out - of - the - money put options [2]. - **Procurement Management**: For enterprises with future procurement plans worried about price increases, strategies include buying long - term live pig contracts according to the procurement plan, selling put options, and buying out - of - the - money call options [2]. 3.3 Spot and Futures Prices - **Spot Prices**: The national average live pig spot price is 13.65 yuan/kg, down 0.02 yuan (- 0.15%). Prices in different regions vary, with prices in Henan rising 0.02 yuan (0.15%) to 13.68 yuan/kg, and prices in other regions either stable or slightly down [8]. - **Futures Prices**: Closing prices of various live pig futures contracts on the day remained unchanged, with no price fluctuations [9]. 3.4 Spreads and Basis - **Spreads**: Spreads between different futures contracts show various changes. For example, the spread of LH01 - 03 is 1,005 yuan, up 25 yuan (2.55%), while the spread of LH03 - 05 is - 540 yuan, up 25 yuan (- 4.42%) [17][19]. - **Basis**: The basis between the Henan spot price and different futures contracts also shows different changes. For example, the basis of Henan - 01 contract is - 745 yuan, down 40 yuan (5.67%) [19].