投资咨询业务资格：证监许可【2012】669号 Investment Consulting Business Qualification： CSRC License [2012] No. 669 China Commodity Futures Cross-Border Arbitrage Weekly Report 中国商品期货跨境套利周报 November 25, 2025 桂晨曦 Gui Chenxi CFA PhD 从业资格号 ：F3023159 Qualification No. 投资咨询号：Z0013632 Investment consulting No. 姜婧 Jiang Jing CFA 从业资格号：F3018552 Qualification No. 投资咨询号：Z0013315 Investment consulting No. 王含章 Wang Hanzhang 从业资格号：F03121254 Qualification No. 投资咨询号：Z0022985 重要提示：本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人的投资建议。我司不会因为关注、收到或阅读本 ...

资金面继续转松；市场情绪仍弱，债市震荡调整 【内容摘要】11 月 21 日，资金面继续转松，主要回购利率延续下行；市场情绪仍弱，债市震 荡调整；转债市场主要指数集体跟跌，转债个券多数下跌；各期限美债收益率普遍下行，主要 欧洲经济体 10 年期国债收益率普遍下行。 一、债市要闻 （一）国内要闻 【储蓄国债（电子式）将纳入个人养老金产品范围】财政部、央行 11 月 21 日发布《关于储蓄 国债（电子式）纳入个人养老金产品范围有关事宜的通知》，明确自明年 6 月起，个人养老金 储蓄国债（电子式）业务开办机构开办个人养老金储蓄国债（电子式）业务，即为在本机构开 立个人养老金资金账户的养老金投资者，提供购买储蓄国债（电子式）的相关服务。 【前 10 月全国新设外商投资企业增长 14.7%】11 月 21 日，商务部数据显示，今年前 10 个月， 全国新设立外商投资企业 53782 家，同比增长 14.7%；实际使用外资金额 6219.3 亿元人民币， 同比下降 10.3%。 【国债密集发行积极财政政策持续发力】据中国证券报，当前，国债发行进入密集期。11 月 24 日，财政部招标发行 970 亿元记账式附息国债和 60 ...

近期，市场对美联储降息的预期出现显著逆转。据CME"美联储观察"最新数据显示，美联储12月降息25个基点的概率已跌破 50%，降至44.4%，而维持当前利率不变的概率则升至55.6%。展望至明年1月，市场预计累计降息25个基点的概率为48.6%，维 持利率不变的概率为34.7%，累计降息50个基点的概率仅为16.7%。这一变化显示，交易员正在重新评估美联储的货币政策路 径。 关联市场：金价短期承压于强势美元与高利率预期 美联储降息预期的推迟，对国际金价形成了明显的短期压力。较高的利率环境通常将提振美元并增加持有黄金等非生息资产的 机会成本，令金价承压。近期，国际金价在美元走强的利率预期下震荡偏弱。市场分析认为，除非后续经济数据显著恶化，再 次点燃市场的避险与降息预期，否则金价短期内恐难摆脱当前的高利率压制格局。 百利好（Plotio）是一家专注于为全球投资者提供在线交易服务的品牌。百利好注册于巴哈马，受巴哈马证券委员会（SCB）监 管（编号：SIA-F212），持有香港黄金交易所AA牌照 ，是一家正规的交易平台。 有分析指出，这些言论集中反映了美联储内部对美国通胀进展可能放缓甚至停滞的担忧，这为年底再次降息的 ...

Core Insights - The arrival of frosty weather in the eastern U.S. has led to a significant increase in natural gas futures, reaching multimonth highs, indicating potential heating cost implications for the upcoming winter [1] Industry Summary - Natural gas futures have surged due to the first frosty weather of the season, highlighting the sensitivity of energy prices to seasonal weather changes [1] - The current weather conditions serve as a preview of potential heating costs if the winter proves to be particularly harsh, which could impact consumer spending and energy sector performance [1]

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - On November 11, the central bank significantly increased net investment, leading to a balanced capital market. The bond market showed a generally warm and volatile trend, while the convertible bond market's major indices declined collectively, with most individual convertible bonds falling. The yields of 10 - year government bonds in major European economies generally decreased [1]. 3. Summary by Directory 3.1 Bond Market News 3.1.1 Domestic News - The central bank's Q3 2025 monetary policy implementation report proposed to implement a moderately loose monetary policy, use various tools to keep social financing conditions relatively loose, and improve the monetary policy framework [3]. - The National Development and Reform Commission supported more private investment projects to issue infrastructure REITs. As of October 29, 500 billion yuan of new policy - based financial instrument funds were fully disbursed. 18 private investment projects were recommended to the CSRC, 14 of which were listed, with a total fund issuance of nearly 30 billion yuan. 105 infrastructure REITs projects were recommended in total, 83 of which were listed, covering 10 industries and 18 asset types, with a total fund issuance of 207 billion yuan, expected to drive new project investment of over 1 trillion yuan [4]. - On November 11, the director of the National Development and Reform Commission, Zheng Shanjie, held a private enterprise symposium to listen to suggestions on service industry development during the "15th Five - Year Plan" period [5]. 3.1.2 International News - As of October 25, the number of private - sector jobs in the US decreased by 45,000, the largest decline since March 2023. However, the number of initial unemployment claims remained low [7]. 3.1.3 Commodities - On November 11, international crude oil futures prices continued to rise, and the increase in international natural gas prices widened. WTI December crude oil futures rose 1.51% to $61.04 per barrel, Brent January crude oil futures rose 1.72% to $65.16 per barrel, COMEX gold futures rose 0.28% to $4,133.50 per ounce, and NYMEX natural gas prices rose 3.43% to $4.525 per ounce [8]. 3.2 Capital Market 3.2.1 Open Market Operations - On November 11, the central bank conducted 403.8 billion yuan of 7 - day reverse repurchase operations at a fixed - rate and quantity - tender method, with an operating rate of 1.40%. With 117.5 billion yuan of reverse repurchases maturing on the same day, the net investment was 286.3 billion yuan [10]. 3.2.2 Capital Interest Rates - On November 11, the central bank's net investment increased significantly, and the capital market became balanced. DR001 rose 2.52bp to 1.509%, and DR007 rose 1.33bp to 1.513% [11]. 3.3 Bond Market Dynamics 3.3.1 Interest - Rate Bonds - On November 11, the bond market was generally warm and volatile. As of 20:00, the yield of the 10 - year treasury bond active bond 250016 decreased by 0.10bp to 1.8040%, and the yield of the 10 - year CDB bond active bond 250215 increased by 0.10bp to 1.8750% [14]. - Several bonds were tendered on November 11, including 25Guokai02 (Increment 19), 25Guokai18 (Increment 6), etc., with different issuance scales, winning yields, full - field multiples, and marginal multiples [15]. 3.3.2 Credit Bonds - On November 11, the trading price of one industrial bond, "20 Vanke 08", deviated by more than 10%, falling by more than 17% [15]. - There were multiple credit bond events, such as Shenzhen Metro Group providing up to 1.666 billion yuan in loans to Vanke, and some companies' bond redemption and credit rating adjustment announcements [18]. 3.3.3 Convertible Bonds - On November 11, the A - share market was weak, with the Shanghai Composite Index, Shenzhen Component Index, and ChiNext Index falling 0.39%, 1.03%, and 1.40% respectively, with a full - day trading volume of 2.01 trillion yuan. The convertible bond market followed the equity market down, with the CSI Convertible Bond, Shanghai Convertible Bond, and Shenzhen Convertible Bond indices falling 0.16%, 0.15%, and 0.16% respectively, and a trading volume of 66.308 billion yuan, a decrease of 7.876 billion yuan from the previous trading day [19]. - Among individual convertible bonds, 168 rose, 225 fell, and 10 remained flat. Dongshi Convertible Bond continued to reach the daily limit of 20%, while Hangyu Convertible Bond fell by more than 3% [19]. - On November 11, Huate Convertible Bond announced that it was about to trigger the condition for downward revision of the conversion price, and Lizhong Convertible Bond and Chutian Convertible Bond announced that they might meet the early redemption conditions [23]. 3.3.4 Overseas Bond Markets - The US bond market was closed on November 11 due to Veterans Day [22]. - On November 11, the yields of 10 - year government bonds in major European economies generally decreased. Germany's 10 - year government bond yield decreased by 1bp to 2.66%, and France, Italy, Spain, and the UK's yields decreased by 2bp, 1bp, 2bp, and 8bp respectively [23][24]. - The daily price changes of Chinese - funded US - dollar bonds as of the close on November 11 showed different increases and decreases among various bonds [26].

1. Report Industry Investment Rating The report does not explicitly provide an overall industry investment rating. However, for specific strategies, some are rated as "Potential" (关注), such as the strategies for copper, zinc, and soybean in the "Opportunity to Watch" section [4]. 2. Report's Core View The report comprehensively analyzes the cross - border arbitrage opportunities in the Chinese commodity futures market. It assesses various factors including inventory levels, price differentials, market supply and demand, and macro - economic policies in different sectors such as forex, precious metals, non - ferrous metals, ferrous metals, energy, and agriculturals. Based on these analyses, it provides trading suggestions for each commodity, mainly including "on hold" and specific long - short strategies [4][6][11]. 3. Summary by Relevant Catalogs 3.1 Forex Market - Last week, the US Dollar Index rose because Powell signaled that a December rate cut is not certain. However, the Fed's expectation of strong US consumption may be overly optimistic, and it is expected to continue rate cuts in the first half of 2026. The US Dollar may rise in the short - term due to factors like a weak yen, but the potential for further increases is limited and there is no trend reversal [6]. 3.2 Precious Metals 3.2.1 Gold - Last week, the SHFE - COMEX and COMEX - LBMA gold price differentials fluctuated, with valuations at a neutral level. Currently, the gold price is in an adjustment period, and the arbitrage strategy is to hold [11]. 3.2.2 Silver - Last week, the silver price spread was range - bounded, and the overseas COMEX - LBMA spread recovered to neutrality. In the short - term, silver is expected to fluctuate, and the arbitrage strategy is to hold [16]. 3.3 Non - Ferrous Metals 3.3.1 Copper - Last week, the spot discount for LME copper narrowed, LME copper inventories slightly decreased, while Chinese copper social inventories continued to accumulate, and the spot copper import window was at a loss. The cross - market arbitrage strategy is to hold [22]. 3.3.2 Aluminum - The traditional peak demand season has passed in China, with inventory accumulating, while LME inventory declined. The price ratio fluctuated within a range, and the cross - market arbitrage strategy is to hold [28]. 3.3.3 Zinc - Currently, the window for exporting Chinese zinc is open, and inventory accumulation has slowed. LME plans to limit large open interest in near contracts to ease the squeeze pressure. The strategy is to short LME zinc and long SHFE zinc [37]. 3.3.4 Lead - Last week, domestic social inventory rose slightly, smelters' inventory remained low, and LME lead inventory decreased with a high canceled warrants ratio. The cross - market arbitrage strategy is to hold [38]. 3.3.5 Nickel - The import window is currently closed, with price differences fluctuating within a range and the extreme difference situation improved. The cross - market arbitrage strategy is to hold [45]. 3.3.6 Tin - Last week, the tin ratio rebounded, the spot tin import window remained closed with an import loss of 16,292 yuan/ton, and the driving force behind the price spread was not obvious. The cross - market arbitrage strategy is to hold [49]. 3.4 Ferrous Metals 3.4.1 Iron Ore - Last week, the iron ore price spread remained in a narrow range with no significant drivers. The strategy is to hold [55]. 3.5 Energy 3.5.1 Crude Oil - Last week, the SC - Brent price spread edged higher. Due to relatively stable Chinese inventory, large freight fluctuations, and uncertain Russian crude supply, the strategy is to hold [59]. 3.5.2 Natural Gas (TFU - HH) - Last week, the spread fluctuated. The US gas price was pushed up by cold wave expectations and increased exports, while the European price declined due to a loose LNG market and warm temperature expectations. In the short - term, be cautious about shorting; in the medium - term, there is an expectation of the spread rising in winter [94]. 3.6 Agriculturals 3.6.1 Soybean - Last week, import crushing margins were at the bottom and oscillating. With the improvement of Sino - US trade relations, the margins are expected to recover. The strategy is to long CBOT and short DCE [65]. 3.6.2 Sugar - Last week, import crushing margins increased, and the overseas market is expected to be stronger. The short - term strategy is to hold [69]. 3.6.3 Natural Rubber - Last week, there was little change, and the spread was in the non - arbitrage zone. With the approaching of the global tapping season, supply is expected to increase, but demand remains weak. The strategy is to hold [72]. 3.7 Overseas Arbitrage 3.7.1 COMEX - LME Copper - Last week, the spread between COMEX and LME copper widened due to the strong performance of COMEX gold and silver. In the short - term, gold and silver prices are expected to adjust, COMEX copper inventory will accumulate, and LME inventory will decline, so the spread may narrow. The strategy is to short COMEX and long LME [79]. 3.7.2 Brent - Dubai EFS - Last week, the Brent - Dubai EFS fluctuated lower. With a weakening month - spread and oscillating Middle - East crude oil spot discounts, the short - term guidance is limited, and the strategy is to hold [84]. 3.7.3 WTI - Brent - Last week, the WTI - Brent spread fluctuated. With a continuously weak US refinery utilization rate, reduced refined oil inventory pressure, and expected production increase, the spread driving force is limited, and the strategy is to hold [90].

Commodity Market Overview - Soybean futures rallied over $11 per bushel, gaining 9.31% in October, forming a bullish key reversal on the monthly chart [1] - Corn futures increased by 3.85%, surpassing $4.30 per bushel, also forming a bullish key reversal [7] - Wheat futures rose 5.12%, moving from under $5 to over $5.30 per bushel, narrowly missing a bullish key reversal [8] Precious Metals Performance - Platinum declined by 1.89% in October, while palladium led with a 13.03% gain [3] - Gold and silver futures posted gains of 3.18% and 3.26% respectively, despite correcting from all-time highs of $4,398 and $53.765 per ounce [4][5] Other Commodities - FCOJ fell over 28%, and world sugar futures dropped more than 13% in October [6][13] - Copper recovered by 4.79%, while lumber futures fell by 8.84% due to elevated long-term interest rates [12] Energy Sector Insights - Natural gas futures were over $4.12 per MMBtu at the end of October, with January 2026 delivery prices settling at $4.369 per MMBtu [16] - U.S. natural gas inventories were 0.8% above last year's level and 4.6% over the five-year average [18] Economic and Geopolitical Factors - The U.S. stock market continued to rally, but the ongoing government shutdown poses potential risks to the economy [20] - The dollar index rose by 2.24%, which may create mixed signals for commodity prices [14]

Economic Overview - China's GDP grew by 5.2% year-on-year in the first three quarters, with a 4.8% increase in Q3 alone, accelerating by 0.2 percentage points compared to the full year of 2024[4] - The cumulative industrial added value for the first three quarters increased by 6.2% year-on-year, while the retail sales of consumer goods rose by 4.5% during the same period[4] Monetary Policy - The Loan Prime Rate (LPR) has remained unchanged for five consecutive months, with the 1-year LPR at 3.00% and the 5-year LPR at 3.50%[5] - The People's Bank of China conducted a 7-day reverse repurchase operation of 1890 billion yuan at a fixed rate of 1.40%[11] Real Estate Market - In September, new residential sales prices in first-tier cities fell by 0.3%, with significant declines in Guangzhou and Shenzhen by 0.6% and 1.0% respectively[5] - Second-tier cities saw a 0.4% decrease in new residential sales prices, while third-tier cities experienced the same decline[6] Bond Market Dynamics - The bond market showed weakness, with the yield on the 10-year government bond rising by 2.30 basis points to 1.7680%[15] - The Ministry of Finance announced support operations for government bonds, with a total operation amount of 6.1 billion yuan for various bond types[6] International Market Trends - U.S. Treasury yields showed mixed movements, with the 10-year yield decreasing by 2 basis points to 4.00%[24] - In the European market, the 10-year bond yields varied, with Germany's yield stable at 2.58% while Italy and the UK saw declines of 1 basis point[27]

Core Insights - On October 21, the Chicago Mercantile Exchange released trading volume and open interest data for WTI crude oil, Brent crude oil, and natural gas [1] WTI Crude Oil - WTI crude oil futures trading volume was 787,121 contracts, a decrease of 18,139 contracts from the previous period [1] - Open interest for WTI crude oil was 1,997,905 contracts, a decrease of 10,297 contracts from the previous period [1] Brent Crude Oil - Brent crude oil futures trading volume was 160,767 contracts, an increase of 37,363 contracts from the previous period [1] - Open interest for Brent crude oil was 220,859 contracts, an increase of 822 contracts from the previous period [1] Natural Gas - Natural gas futures trading volume was 642,779 contracts, a decrease of 154,394 contracts from the previous period [1] - Open interest for natural gas was 1,682,050 contracts, a decrease of 24,242 contracts from the previous period [1]

Group 1 - U.S. stock indices rose over 1%, with Apple reaching a historical high, and the Chinese concept index increasing by 2.39% [1] - Semiconductor company SMIC saw a reduction in southbound capital for eight consecutive days, totaling 9.4 billion HKD [1] - CATL reported a net profit of 18.549 billion CNY for Q3, representing a year-on-year growth of 41.21% [1][2] - Junsheng Electronics' subsidiary secured a new automotive smart electrification project, with an estimated total order value of approximately 5 billion CNY [2] Group 2 - The unemployment rate in Hong Kong rose to 3.9%, with 155,600 individuals unemployed [2]