| | 操作评级 | 2026年02月24日 | | --- | --- | --- | | 铜 | ☆☆☆ | 肖静 首席分析师 | | | | F3047773 Z0014087 | | 铝 | ☆☆☆ | | | | | 刘冬博 高级分析师 | | 氧化铝 | ななな | F3062795 Z0015311 | | 铸造铝合金 文文文 | | 吴江 高级分析师 | | 锌 | な☆☆ | | | | | F3085524 Z0016394 | | 错 | な女女 | 张秀睿 中级分析师 | | 镇及不锈钢 ☆☆☆ | | | | | | F03099436 Z0021022 | | 锡 | な女女 | | | | | 孙芳芳 中级分析师 | | 碳酸锂 | な女女 | F03111330 Z0018905 | | 工业硅 | ななな | | | 多晶硅 | 女女女 | 010-58747784 | | | | gtaxinstitute@essence.com.cn | 【铜】 节后首日沪铜加权增仓收阳,价格博弈在中短期均线密集区。国内现铜报101455元,上海升水250元,广东贴水 扩至150元，节后 ...

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Group 1: Report Core View - This week, domestic financial data declined due to seasonal factors, but the market didn't focus on it. The personal consumer loan interest - subsidy policy had limited impact. The main market drivers were news - related, like the shutdown of CATL's important lithium mine boosting the ChiNext and Sino - US chip competition strengthening domestic substitution expectations and driving up the STAR Market. The Shanghai - Shenzhen Composite Index and STAR Market Index led the gains among core indices [2]. - Overseas, the Stockholm economic and trade talks between China and the US postponed reciprocal tariffs and counter - measures for 90 days, having a small impact on the market. The US July CPI was lower than expected, while the PPI exceeded expectations, causing repeated expectations of a September interest rate cut in the US, large fluctuations in the US dollar index, and increased disturbances to global assets [2]. - Leveraged funds continued to flow in this week, with the margin trading balance exceeding 2 trillion on Monday and then having a net inflow of over 40 billion. The market trading volume increased rapidly, with the total A - share trading volume exceeding 2 trillion for three consecutive days. The market divergence widened, and the excess returns of heavy - weight stocks relative to the index were significant. The performance of individual stocks was far inferior to the prosperity shown by the index. The Shanghai Composite Index repeatedly touched the key level of 3,700 points and then fell back, losing the 3,700 - point level again at the end - of - day call auction on Friday [2]. - Large - cap sectors were still dragged down by sectors such as banks and coal. The Shanghai 50 and CSI 300 had small gains, while small - and medium - cap stocks performed better. The CSI 500 and CSI 1000 rose nearly 4%, and micro - cap stocks fell continuously, significantly underperforming small - and medium - cap stocks [2]. - In terms of basis, the annualized basis of each variety strengthened significantly. IF returned to a premium state, and the annualized discounts of IC and IM converged from 10% to around 7%, moving out of the historical bottom range. As the basis strengthened, the near - month contracts in the term structure rose significantly. After the August contracts expired, the September contracts had obvious hedging cost advantages. The September contracts of IH and IF had large premiums, providing large profit margins for cash - and - carry arbitrage. Meanwhile, the inter - term spread increased significantly this week, and the inter - term reverse arbitrage had realized considerable returns, with the strategy's cost - effectiveness further declining [2]. Group 2: Weekly Forecast Conclusion - The model's judgment on the movement directions of the bases of IH, IF, IC, and IM next week is: strengthening, weakening, strengthening, and weakening respectively [3] Group 3: Recent Forecast Conclusion - There are historical data on the real basis changes and predicted basis changes of IH, IF, IC, and IM, but no specific conclusions are clearly summarized from the data presented [4]

Report Information - Report Title: Non-ferrous Metal Arbitrage Weekly Report 20250707 [2] - Researchers: Zhang Jiefu, Wang Yanhong [2] Industry Investment Rating - No relevant information provided Core Views - For aluminum in the inter - period strategy, domestic demand has entered the off - season with reduced orders, aluminum rods are starting to accumulate inventory, and the inflection point of social inventory is approaching, so there is a risk of aluminum price rising and then falling. After the off - season, demand is expected to support the aluminum price again. It is recommended to participate in the inter - period reverse arbitrage of aluminum by rolling at low prices [4]. - For the cross - variety strategy of aluminum and zinc, domestic refined zinc output has significantly recovered, and new zinc mine projects globally are expected to gradually release incremental output this year. While aluminum social inventory is low, which supports the price, and its fundamentals are stronger than zinc. It is recommended to participate in the long - aluminum and short - zinc strategy by rolling at low prices [4]. Summary by Directory Part I: Weekly Price Performance Review and Fund Flow - **Price Review**: From June 27, 2025, to July 4, 2025, LME copper decreased by 0.27% (from 9879 to 9852), LME aluminum increased by 0.10% (from 2595 to 2597.5), LME zinc decreased by 1.55% (from 2778.5 to 2735.5), LME lead increased by 0.76% (from 2041.5 to 2057), LME nickel increased by 0.46% (from 15190 to 15260), LME tin increased by 0.61% (from 33565 to 33770). SHFE copper decreased by 0.24% (from 79920 to 79730), SHFE aluminum increased by 0.27% (from 20580 to 20635), SHFE zinc remained unchanged (at 22410), SHFE lead increased by 0.99% (from 17125 to 17295), SHFE nickel increased by 1.49% (from 120480 to 122270), and SHFE tin decreased by 0.60% (from 268870 to 267250) [8]. - **Fund Flow**: The unilateral positions of most non - ferrous metals are at relatively low levels in recent years. The unilateral positions of aluminum and lead increased by 3.0% and 4.3% respectively this week, while those of zinc, nickel, and tin decreased by 2.8%, 7.3%, and 7.2% respectively. Except for tin, major non - ferrous metals had net capital outflows this week [10]. Part II: Non - ferrous Metal Inventory and Profit - **Inventory**: From June 27, 2025, to July 4, 2025, LME copper inventory increased by 4.38% (from 91275 to 95275), LME aluminum inventory increased by 5.42% (from 345200 to 363925), LME zinc inventory decreased by 5.79% (from 119225 to 112325), LME lead inventory decreased by 3.71% (from 273425 to 263275), LME nickel inventory decreased by 0.89% (from 204294 to 202470), and LME tin inventory decreased by 2.99% (from 2175 to 2110) [27]. - **Profit**: For copper, the processing fee increased slightly this week, and smelters had a loss of 2592 yuan/ton, with the loss narrowing slightly compared to last week. For aluminum, the theoretical smelting cost this week was 18348 yuan/ton, and the smelting profit decreased slightly to 2402 yuan/ton. For zinc, the import processing fee increased slightly this week, and the theoretical smelting profit of domestic mines was 1112 yuan/ton [43]. Part III: Non - ferrous Metal Basis and Term Structure - **Basis**: As of July 4, 2025, the copper basis was 790 (compared to 420 on June 27), with a basis premium rate of 0.99%, a one - year basis quantile of 92.98%, and a three - year basis quantile of 85.12%. The aluminum basis was 115 (compared to 360 on June 27), with a basis premium rate of 0.56%, a one - year basis quantile of 80.79%, and a three - year basis quantile of 76.03%. The zinc basis was 80 (compared to 280 on June 27), with a basis premium rate of 0.36%, a one - year basis quantile of 35.54%, and a three - year basis quantile of 36.78%. The lead basis was - 35 (compared to 135 on June 27), with a basis premium rate of - 0.20%, a one - year basis quantile of 33.26%, and a three - year basis quantile of 36.43%. The nickel basis was 1590 (compared to 2060 on June 27), with a basis premium rate of 1.30%, a one - year basis quantile of 77.07%, and a three - year basis quantile of 42.70%. The tin basis was 570 (compared to 1340 on June 27), with a basis premium rate of 0.21%, a one - year basis quantile of 59.71%, and a three - year basis quantile of 56.47% [46]. - **Term Structure**: This week, nickel was in the Contango structure, while copper and zinc were in the Back structure. The spread between the first - nearby contract and the nearby contract of copper was - 260, a decrease of 100 compared to last week; that of aluminum was - 180, an increase of 20 compared to last week; that of zinc was - 30, an increase of 50 compared to last week; that of lead was 55, an increase of 5 compared to last week; that of nickel was 120, a decrease of 40 compared to last week; and that of tin was 260, a decrease of 60 compared to last week [62]. Part IV: Comparison of Domestic and Overseas Metal Prices - The Shanghai - London ratios of zinc and lead are at relatively high historical levels. This week, the Shanghai - London ratios of major non - ferrous metals showed mixed trends. The Shanghai - London ratios of basic metals were 1.13 for copper, 1.11 for aluminum, 1.14 for zinc, 1.17 for lead, 1.12 for nickel, and 1.10 for tin. This week, the import profit and loss of lead and nickel were 155 and 46 respectively, while those of other major metals were negative. Cross - market arbitrage can focus on factors such as the Fed's interest - rate cut policy, the comparison of domestic and overseas inventories, and the expectation of domestic growth - stabilizing policies [79]. Part V: Changes in Cross - variety Ratios of Non - ferrous Metals - The report provides the current values, values three months ago, and values one year ago of cross - variety ratios and differences for various non - ferrous metal combinations, including copper - aluminum, copper - zinc, copper - lead, etc., as well as their corresponding quantiles [96].