Group 1: Arbitrage Strategy Overview - The term "IRR" refers to the Implied Repo Rate, which indicates the theoretical annualized return from buying cash bonds and shorting futures for delivery[12] - The two main arbitrage strategies are "positive arbitrage" (shorting futures while buying cash bonds) and "negative arbitrage" (going long on futures while shorting cash bonds)[11] - Positive arbitrage is considered to have a near risk-free nature, and it is compared with high-grade interbank deposit yields[13] Group 2: Performance and Backtesting - In the first half of 2025, there were periods of high positive arbitrage yields, particularly for the TS2506 and TF2506 contracts, with IRR values of 2.20% and 2.05% respectively[18][25] - Backtesting results show that constructing a positive arbitrage strategy for TS2506 yielded higher returns than holding cash bonds until delivery, while TF2506 underperformed compared to directly holding 5-year cash bonds[26] - The IRR for the T2312 contract was 3.93% on October 31, 2023, significantly higher than the 1-month deposit yield of 2.50%[17] Group 3: Market Outlook and Recommendations - The market is expected to remain volatile, with a focus on the TL2603 contract for shorting basis opportunities as it approaches delivery[4] - The IRS strategy shows limited upside potential, while interbank deposits are considered to have better value[5] - Current IRR levels for various contracts are fluctuating, with T2603's IRR ranging from 1.13% to 1.76%, indicating no significant advantage over 3-month interbank deposit rates[73]

下游刚需采购 市场分析 价格与基差：2026-02-02，尿素主力收盘1787元/吨（-3）；河南小颗粒出厂价报价：1770 元/吨（0）；山东地区小 颗粒报价：1770元/吨（-20）；江苏地区小颗粒报价：1800元/吨（+0）；小块无烟煤800元/吨（+0），山东基差：-17 元/吨（-17）；河南基差：-17元/吨（+3）；江苏基差：13元/吨（+3）；尿素生产利润205元/吨（-20），出口利润936 元/吨（+8）。 供应端：截至2026-02-02，企业产能利用率88.28%（0.08%）。样本企业总库存量为94.49 万吨（-0.11），港口样本 库存量为14.40 万吨（+1.00）。 需求端：截至2026-02-02，复合肥产能利用率41.34%（-1.62%）；三聚氰胺产能利用率为66.45%（+2.80%）；尿素 企业预收订单天数6.59日（+0.71）。 尿素日报 | 2026-02-03 尿素价格窄幅震荡，农业需求跟进，春节收单压力较小，预计春节前价格坚挺维持为主。供应端1月部分气头叠加 技改企业恢复，供应量增加。需求端农需冬腊肥和返青肥持续采购中，厂家陆续进行春节收单。淡储采购进入 ...

尿素日报 | 2026-01-28 订单有支撑 市场分析 价格与基差：2026-01-27，尿素主力收盘1790元/吨（-1）；河南小颗粒出厂价报价：1750 元/吨（0）；山东地区小 颗粒报价：1760元/吨（+10）；江苏地区小颗粒报价：1770元/吨（+10）；小块无烟煤800元/吨（+0），山东基差： -30元/吨（+11）；河南基差：-40元/吨（+11）；江苏基差：-20元/吨（+11）；尿素生产利润195元/吨（+10），出口利 润965元/吨（-4）。 供应端：截至2026-01-27，企业产能利用率86.39%（0.08%）。样本企业总库存量为94.60 万吨（-4.01），港口样本 库存量为13.40 万吨（+0.00）。 国内出口政策、装置检修情况、库存变动情况、农业需求情况。 2026年期货市场研究报告 第1页 请仔细阅读本报告最后一页的免责声明 需求端：截至2026-01-27，复合肥产能利用率42.96%（+2.88%）；三聚氰胺产能利用率为63.65%（+1.47%）；尿素 企业预收订单天数5.88日（-0.18）。 尿素现货降价企业成交较好。供应端1月部分气头叠加技改企业恢复， ...

Report Industry Investment Rating - Not provided Core Viewpoints - Urea prices in some regions have increased after improved transactions, but new orders are being followed up cautiously. Supply is expected to increase in January as some gas-based and technical renovation enterprises resume production. Demand is picking up as winter and spring fertilizer procurement begins, and compound fertilizer and melamine production are recovering. Factory inventories are stable, and port inventories are slightly decreasing. The Indian urea import tender has boosted the international market sentiment. Attention should be paid to export dynamics, national off-season storage rhythm, and the sustainability of spot procurement sentiment [2] Summary by Directory 1. Urea Basis Structure - Figures include Shandong and Henan urea small particle market prices, Shandong and Henan main contract basis, urea main continuous contract price, and 1 - 5, 5 - 9, 9 - 1 spreads [1][6][7] 2. Urea Production - Figures show urea weekly production and urea plant maintenance loss volume [18][19] 3. Urea Production Profit and Operating Rate - Figures cover production cost, spot production profit, disk production profit, national capacity utilization rate, coal - based capacity utilization rate, and gas - based capacity utilization rate [27][28][34] 4. Urea FOB Price and Export Profit - Figures involve urea small particle FOB price in the Baltic Sea, urea large particle CFR price in Southeast Asia, price differences between international and Chinese FOB prices, and urea export profit and disk export profit [38][41][49] 5. Urea Downstream Operating Rate and Orders - Figures display compound fertilizer operating rate, melamine operating rate, and urea enterprise advance order days [51][52] 6. Urea Inventory and Warehouse Receipts - Figures include upstream in - factory inventory, port inventory, raw material inventory days of downstream urea manufacturers in Hebei, futures warehouse receipts, and main contract trading volume and open interest [55][58][60] Market Data - On January 13, 2026, the closing price of the urea main contract was 1774 yuan/ton (-9). The ex - factory price of small particles in Henan was 1740 yuan/ton (0), in Shandong was 1740 yuan/ton (+10), and in Jiangsu was 1750 yuan/ton (+10). The price of small lump anthracite was 800 yuan/ton (+0). Shandong basis was - 34 yuan/ton (+19), Henan basis was - 34 yuan/ton (+9), and Jiangsu basis was - 24 yuan/ton (+19). Urea production profit was 175 yuan/ton (+10), and export profit was 867 yuan/ton (+16) [1] - As of January 13, 2026, the enterprise capacity utilization rate was 83.28% (0.08%). The total inventory of sample enterprises was 102.22 million tons (+0.30), and the port sample inventory was 13.50 million tons (-3.70) [1] - As of January 13, 2026, the capacity utilization rate of compound fertilizer was 37.17% (+3.28%); the capacity utilization rate of melamine was 54.35% (+6.70%); the advance order days of urea enterprises were 6.41 days (+0.41) [1] Strategy - Unilateral: Oscillation - Inter - delivery spread: Go long on the UR05 - 09 spread when it is low - Inter - commodity spread: None [3]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The nickel market is influenced by the tense situation in Venezuela and Indonesian policies, with funds flowing into the nickel sector, causing the price of the Shanghai nickel futures contract to hit a new high since June 2024. Although the fundamentals show high inventory and oversupply, it is expected to remain strong due to favorable policies from Indonesia and attention from profitable funds in the precious metals and non - ferrous sectors [1][3]. - The stainless - steel market is affected by the cost transmission of the sharp rise in Shanghai nickel and Indonesian nickel export restrictions. The short - term trend depends on the performance of Shanghai nickel, and the medium - to - long - term trend needs to focus on the improvement of spot trading and policy implementation [4][6]. Summary by Related Catalogs Nickel Variety Market Analysis - **Futures**: On January 7, 2026, the Shanghai nickel main contract 2601 opened at 143,500 yuan/ton and closed at 147,720 yuan/ton, up 8.00% from the previous trading day. The trading volume was 1,132,256 (+393,922) lots, and the open interest was 132,955 (+1,474) lots. The price hit a new high since June 2024, and the bullish sentiment of funds reached a climax [1]. - **Nickel Ore**: The nickel ore market has limited resources, and the price is stable with an upward trend. The 1.25 - grade nickel ore tender in the Philippines' Benguet mine was settled at $32.5, up from the previous level. In Indonesia, the first - phase domestic trade benchmark price in January 2026 increased by $0.05 - 0.08 per wet ton, and the second - phase domestic trade base price is expected to rise by $3 - 5 [1]. - **Spot**: The sales price of Jinchuan Group in the Shanghai market was 153,300 yuan/ton, up 5,600 yuan/ton from the previous trading day. The downstream acceptance of high prices was limited, and spot trading was cold. The premium of Jinchuan nickel changed by 500 yuan/ton to 9,250 yuan/ton, the premium of imported nickel remained unchanged at 600 yuan/ton, and the premium of nickel beans was 2,450 yuan/ton. The previous trading day's Shanghai nickel warehouse receipt volume was 38,776 (-612) tons, and the LME nickel inventory was 275,634 (+20,088) tons [2]. Strategy - The operation strategy is mainly range trading for the single - side, and no operations are recommended for the inter - period, cross - variety, spot - futures, and options [3][4]. Stainless - Steel Variety Market Analysis - **Futures**: On January 7, 2026, the stainless - steel main contract 2602 opened at 13,450 yuan/ton and closed at 14,025 yuan/ton. The trading volume was 288,456 (+151,355) lots, and the open interest was 112,880 (-4,171) lots. Affected by the cost transmission of Shanghai nickel and Indonesian policies, it showed a one - way upward trend and closed at the daily limit. The spot price increased synchronously, but the market was in a state of "high price but few transactions" [4]. - **Spot**: The futures price hit the daily limit, and the spot price increased significantly. The downstream inquiry was active, but the transaction was cautious. Some steel mills suspended orders. The stainless - steel price in the Wuxi market was 13,900 (+600) yuan/ton, and in the Foshan market was also 13,900 (+600) yuan/ton. The premium of 304/2B was 100 - 300 yuan/ton. The ex - factory tax - included average price of high - nickel pig iron changed by 12.50 yuan/nickel point to 947.5 yuan/nickel point [5]. Strategy - The short - term trend depends on the performance of Shanghai nickel, and the medium - to - long - term trend needs to focus on the improvement of spot trading and policy implementation. The operation strategy is neutral for the single - side, and no operations are recommended for the inter - period, cross - variety, spot - futures, and options [6].

Report Industry Investment Rating No relevant information provided. Core Viewpoints - The steel market is strongly rising due to the increase in raw material costs. The short - term performance of black commodities is strong, but the fundamentals need to be tested after the sentiment fades. The iron ore market is rising under the improvement of macro - sentiment, but there is a large supply - demand contradiction. The double - coking market is rising, with the demand for coke expected to improve, and the coking coal supply recovering quickly. The thermal coal market is rising due to the reduction of production capacity in the producing areas [1][3][5][8]. Summary by Related Categories Steel - **Market Analysis**: The steel futures and spot markets rose strongly yesterday. National building material prices generally increased by 20 - 40 yuan, and the market's enthusiasm for purchasing increased, with a national building material turnover of 12530 tons. The building materials market maintains a state of low production, low consumption, and low inventory, while the plate market is still restricted by high inventory [1]. - **Supply - Demand and Logic**: There is no contradiction in the supply - demand fundamentals of building materials for the time being. After the New Year's Day, the building materials will enter the winter storage market. The plate inventory pressure still exists. In the short term, black commodities are strong, but the fundamentals need to be tested later. Attention should be paid to the resumption of production of steel mills [1]. - **Strategy**: Unilateral trading is expected to be oscillating and strengthening [2]. Iron Ore - **Market Analysis**: The iron ore futures market was strong yesterday. The 2605 contract of iron ore rose significantly. In the spot market, the prices of mainstream port varieties followed the upward trend of the futures, but the market trading was cold [3]. - **Supply - Demand and Logic**: There is a large supply - demand contradiction in the iron ore market, and the overall inventory has increased significantly. The downstream replenishment willingness is insufficient. The market gives a high valuation to the iron ore price, but the price may face a downward risk after the negotiation. In the short term, the price is expected to maintain a high - level and strong oscillation [3]. - **Strategy**: Unilateral trading is expected to be oscillating and strengthening [4]. Double - Coking - **Market Analysis**: The main contracts of double - coking rose significantly yesterday. The spot price of Shanxi coking coal was relatively stable, and the spot price of Mongolian coal rose to 1000 - 1010 yuan/ton. The output of 523 coal mines increased slightly yesterday, and the mine inventory increased month - on - month [5]. - **Supply - Demand and Logic**: After the New Year's Day, with the resumption of blast furnace production and the winter storage of steel mills before the Spring Festival, the demand for coke is expected to improve. The coking coal supply is relatively loose, and the inventory accumulation trend has not been alleviated. In the short term, the coal price is strong, but the change in the production - increasing capacity in the producing areas needs to be further verified [6]. - **Strategy**: Both coking coal and coke are expected to be oscillating and strengthening [7]. Thermal Coal - **Market Analysis**: In the producing areas, the coal price rebounded slightly, and the demand for replenishment from local and surrounding power plants improved. The port market was relatively stable, with strong upstream quotations and weak downstream demand. The import coal market rose steadily [8]. - **Supply - Demand and Logic**: Yulin City plans to reduce the supply - guarantee coal mines and cut the production capacity by 19 million tons. The daily consumption of thermal coal has improved, and the coal price is oscillating and strengthening. Attention should be paid to the consumption and replenishment of non - thermal coal [8].

Group 1 - The report highlights that the bond market experienced significant volatility at the end of 2025, with a notable increase in trading volume contrary to typical year-end trends, indicating a dominant position of short positions and profit-taking strategies [7][8]. - The report identifies two main reasons for the observed market behavior: persistent bearish sentiment and speculative trading strategies that exploit low trading volumes to create market fluctuations [8][9]. - It suggests that in a low-interest-rate and high-volatility environment, such phenomena are likely to increase, recommending two strategies for investors: hedging strategies for those seeking to smooth volatility and reverse trading strategies for those looking to capitalize on price corrections [9][11]. Group 2 - The report discusses the outlook for government bond futures, indicating that the cost-effectiveness of positive spread strategies is currently low due to a significant bearish sentiment, with IRR values for main contracts showing a decline [16]. - It emphasizes the importance of monitoring long-end basis convergence opportunities, as recent market conditions have led to a widening of basis spreads, suggesting potential for mean reversion [19]. - The report notes limited short-term trading opportunities in cross-period strategies due to consistent price movements across contracts, recommending a cautious approach [21]. Group 3 - The report outlines a curve strategy that suggests potential for flat trading opportunities post-holiday, as the long-end and ultra-long-end segments have shown significant declines, indicating a possible rebound [24].

Report Summary 1) Report Industry Investment Rating No investment rating is provided in the report. 2) Core View of the Report The supply - side increment continues to suppress the market price of propylene. The supply of propylene remains loose, the demand support is limited, and the cost - side support has weakened. In the short term, the market is expected to fluctuate weakly, and it is recommended to wait and see until marginal device maintenance occurs [1][2][3]. 3) Summary by Directory I. Propylene Basis Structure - Propylene main contract closing price is 5647 yuan/ton (-48), East China spot price is 5925 yuan/ton (+0), North China spot price is 5890 yuan/ton (-25), East China basis is 278 yuan/ton (+48), and North China basis is 4 yuan/ton (+15) [1] II. Propylene Production Profit and Capacity Utilization - Propylene capacity utilization rate is 74% (+0%), China CFR propylene - Japan CFR naphtha is 211 US dollars/ton (+4), and propylene CFR - 1.2 propane CFR is 53 US dollars/ton (+6) [1] III. Propylene Import and Export Profit - Propylene import profit is - 324 yuan/ton (-48) [1] IV. Propylene Downstream Profit and Capacity Utilization - PP powder capacity utilization rate is 37% (-2.62%), production profit is - 160 yuan/ton (+5); epoxy propane capacity utilization rate is 76% (+0%), production profit is - 276 yuan/ton (-30); n - butanol capacity utilization rate is 78% (+9%), production profit is 236 yuan/ton (+65); octanol capacity utilization rate is 82% (+5%), production profit is 487 yuan/ton (+18); acrylic acid capacity utilization rate is 79% (+0%), production profit is 343 yuan/ton (+0); acrylonitrile capacity utilization rate is 81% (+0%), production profit is - 557 yuan/ton (+44); phenol - acetone capacity utilization rate is 76% (-4%), production profit is - 927 yuan/ton (+0) [1] V. Propylene Inventory - Propylene factory inventory is 46560 tons (+600) [1]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The risk of a significant adjustment or bear market in the bond market is limited, and the low - interest - rate environment will continue next year. However, short - term policy implementation may be difficult, increasing market volatility. If market sentiment improves, futures may have room to rise. In the short term, the economic slowdown supports the bond market, but the configuration is still cautious [56]. - For the shipping index, the price increase by shipping companies is inconsistent, and the upward space for freight rates is limited. The spot high of freight rates may appear in early January. Attention should be paid to short - selling opportunities for the April contract in the off - season and positive - spread arbitrage opportunities between the February and April contracts [79]. 3. Summary by Directory 3.1国债 3.1.1 This Week's Market Review - **Treasury Futures Market**: The trading data of treasury futures this week shows that different contracts have different price trends and trading volumes. For example, the TL2603 contract closed at 112.25, with a weekly decline of 0.39 and a decline rate of 0.35%. The trading volume was 55,449,100, and the open interest was 142,795. The overall performance of the market was affected by various factors such as economic data and market sentiment [7]. - **Bond Spot Market**: Most spot yields of treasury bonds declined this week. The short - term yields decreased slightly, and the long - term yields first rose and then fell. US bond yields declined across the board due to rising unemployment and falling inflation in the US [34]. - **Funding Situation**: The inter - bank funding situation remained stable and loose this week. The central bank's open - market operations achieved a net withdrawal of 9.1 billion yuan. The funding rates fluctuated, with short - term rates showing some changes and medium - to long - term rates remaining stable [41]. - **Interest Rate Derivatives**: In the interest rate swap market, the yields of swap varieties fluctuated, and the liquidity expectation was stable [49]. 3.1.2 Market Analysis - **Recent Market Logic**: Since mid - year, the domestic economic fundamentals have weakened, and the policy is moderately loose. However, short - term policy implementation is difficult, increasing market volatility. Currently, the bond market is in the process of reasonable pricing, and futures may have room to rise if sentiment improves [56]. - **This Week's Fundamental Situation**: The November national economic activity data released this week was lower than expected, indicating a further slowdown in domestic demand. Industrial production, consumption, and investment all showed signs of slowdown [57][59]. - **Next Week's Bond Market Outlook**: After the release of economic data, attention should be paid to the cross - year funding situation. It is expected that the central bank will continue to support the market, and the liquidity will remain loose, which may support the bond market [61]. 3.1.3 Next Week's Open - Market Maturities and Important Economic Calendar - Next week, there will be 87.75 billion yuan of open - market maturities, including reverse repurchases and MLF. The LPR quote will be announced on Monday [63]. 3.2 Shipping Index 3.2.1 Market Review - Shipping companies announced price increases, but the online opening prices were lower than expected. The EC futures first rose and then fell. For example, the MSC announced a price increase for January, but the actual online opening price was lower than the announced price, which dampened market sentiment [64]. 3.2.2 Container Shipping Market Situation - **Spot Market**: During the year - end contract signing season, freight rates on most ocean routes increased, especially on the European and US routes. Shipping companies announced price increases for January, but the actual opening prices were lower than the announced ones. It is expected that the spot high may appear in early January [70][71]. - **Container Shipping Supply - Demand Fundamentals**: On the supply side, the European container capacity in December is at a relatively high level in the off - season. The potential capacity is expected to increase with the delivery of new ships. The actual capacity is tight in the first half of December and will return in the second half. The possibility of full resumption of navigation in the Red Sea in the first quarter of next year is low, but if the cease - fire is stable, there is a high probability of gradual resumption. On the demand side, the European demand is expected to improve slowly, and the boost to container shipping prices may be limited [76][77]. 3.2.3 Market Outlook - The price increase by shipping companies is inconsistent. Considering the return of capacity in January and the attempt to resume navigation in the Red Sea, the upward space for freight rates is limited. The spot high of freight rates may appear in early January. Attention should be paid to short - selling opportunities for the April contract in the off - season and positive - spread arbitrage opportunities between the February and April contracts [79].

1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report - Urea new order transactions have slowed down, and spot prices have loosened. In the fourth - quarter, gas - based plant maintenance starts in December, while coal - based plant maintenance has gradually recovered. All new production capacities in 2025 have been put into operation, so the urea supply remains stable. Currently, off - season storage procurement is ongoing. The operating rates of compound fertilizers in the Northeast and Hubei regions continue to rise, and production scheduling in Shandong has increased, leading to an overall increase in the operating rate. Melamine plants have resumed production, and the operating rate has rebounded with rigid demand for procurement. As off - season storage, compound fertilizer procurement, and export procurement activities progress, urea enterprises' shipments have improved. Factory inventories have decreased, while port inventories have slightly increased. However, the subsequent procurement pace may slow down. Currently, new order procurement has slightly slowed down. Attention should be paid to the operating rate of compound fertilizers in the Northeast, the raw material procurement pace, the national off - season storage pace, and the sustainability of spot procurement sentiment [2]. 3. Summary by Relevant Catalogs I. Urea Basis Structure - On December 8, 2025, the urea main contract closed at 1,646 yuan/ton (-27). The ex - factory price of small - sized urea in Henan was 1,690 yuan/ton (unchanged), in Shandong it was 1,690 yuan/ton (-30), and in Jiangsu it was 1,690 yuan/ton (-20). The basis in Shandong was 44 yuan/ton (-3), in Henan was 44 yuan/ton (+7), and in Jiangsu was 44 yuan/ton (+7) [1]. II. Urea Output - As of December 8, 2025, the enterprise capacity utilization rate was 81.82% (0.08%). The total inventory of sample enterprises was 1.2905 billion tons (-73.4 million), and the port sample inventory was 0.105 billion tons (+5 million) [1]. III. Urea Production Profit and Operating Rate - As of December 8, 2025, the urea production profit was 160 yuan/ton (-30), and the export profit was 859 yuan/ton (-52). The capacity utilization rate of compound fertilizers was 40.53% (+3.47%), and the capacity utilization rate of melamine was 61.66% (+0.86%) [1]. IV. Urea FOB Price and Export Profit - No specific data summary other than the export profit of 859 yuan/ton (-52) on December 8, 2025, is provided. V. Urea Downstream Operating Rate and Orders - As of December 8, 2025, the capacity utilization rate of compound fertilizers was 40.53% (+3.47%), the capacity utilization rate of melamine was 61.66% (+0.86%), and the pre - received order days of urea enterprises were 7.35 days (+0.70) [1]. VI. Urea Inventory and Warehouse Receipts - As of December 8, 2025, the total inventory of sample enterprises was 1.2905 billion tons (-73.4 million), and the port sample inventory was 0.105 billion tons (+5 million) [1]. Strategy - Unilateral: Oscillate and correct, and close the cash - and - carry arbitrage positions opportunistically. - Inter - delivery: Wait and see. - Inter - commodity: None [3].