报告日期：2026 年 1 月 5 日 申银万国期货研究所 首席点评： 公募基金销售新规正式落地 美军突袭加拉加斯，抓捕马杜罗夫妇并押往美国，美方宣布将暂时"管理"委内 瑞拉并深度介入石油产业。美国当周初请失业金低于预期，强化经济韧性，削弱 1 月降息概率，推升长端收益率，特朗普明确将于 1 月择时公布鲍威尔继任人选， 称已有心仪人选且未改变。国内 2 月官方制造业 PMI 为 50.1%，升至扩张区间， 经济景气水平总体回升。公募基金销售新规正式落地，放宽了债基赎回费，个人 持有债基超过 7 日、机构持有债基超过 30 日可免收赎回费，缓解市场对债基流 动性、交易属性弱化的担忧。 重点品种：原油、国债 原油： 节日期间油价小幅震荡回落。但收盘期间，美国入侵委内瑞拉对其发动 空袭，同时宣称已经抓获委内瑞拉总统马杜罗，并将其带离委内瑞拉。短期委内 瑞拉将陷入内乱，袭击发生前其石油出口已经受到美国封锁压制，袭击发生后在 美国代理人上台前预计将持续受到更大影响。短期油价受此影响偏多。中期影响 在于此前委内瑞拉石油生产主要依赖中国和俄罗斯，美国发动军事打击后预计开 始清场，产量将在一定时间内受到影响。长期而言，关注美 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents the daily arbitrage data of various futures varieties on November 11, 2025, including basis, inter - month spreads, and inter - commodity spreads for multiple sectors such as thermal coal, energy and chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures [1][4][19][25][36][47]. 3. Summary by Directory 3.1 Thermal Coal - The basis data of thermal coal from November 4 to November 10, 2025, are - 13.4, - 2.4, 6.6, 15.6, and 24.6 yuan/ton respectively, while the spreads of 5 - 1 month, 9 - 1 month, and 9 - 5 month are all 0.0 [2]. 3.2 Energy and Chemicals - **Energy Commodities**: The basis data of fuel oil, INE crude oil, and the ratio of crude oil to asphalt from November 4 to November 10, 2025, are presented, with the basis of INE crude oil being - 32.27, - 30.27, etc., and the ratio of crude oil to asphalt showing different values [6]. - **Chemical Commodities**: - **Basis**: The basis data of rubber, methanol, PTA, LLDPE, PVC, and PP from November 4 to November 10, 2025, are provided, such as the basis of rubber being - 275, - 500, etc. [8]. - **Inter - month Spreads**: The inter - month spreads of 5 - 1 month, 9 - 1 month, and 9 - 5 month for rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol are given, like the 5 - 1 month spread of rubber being 75 yuan/ton [9]. - **Inter - commodity Spreads**: The inter - commodity spreads of LLDPE - PVC, LLDPE - PP, PP - PVC, and PP - 3*methanol from November 4 to November 10, 2025, are shown, for example, the LLDPE - PVC spread on November 10 is 2182 yuan/ton [9]. 3.3 Black Metals - **Basis**: The basis data of rebar, iron ore, coke, and coking coal from November 4 to November 10, 2025, are presented, such as the basis of rebar being 146, 146, etc. [19]. - **Inter - month Spreads**: The inter - month spreads of 5 - 1 month, 9(10) - 1 month, and 9(10) - 5 month for rebar, iron ore, coke, and coking coal are given, for instance, the 5 - 1 month spread of rebar is 59.0 yuan/ton [18]. - **Inter - commodity Spreads**: The inter - commodity spreads of rebar/iron ore, rebar/coke, coke/coking coal, and rebar - hot rolled coil from November 4 to November 10, 2025, are shown, like the rebar/iron ore ratio on November 10 is 3.99 [18]. 3.4 Non - ferrous Metals - **Domestic Market**: - **Basis**: The domestic basis data of copper, aluminum, zinc, lead, nickel, and tin from November 4 to November 10, 2025, are provided, such as the basis of copper being 650, - 350, etc. [26]. - **London Market**: The LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss data of copper, aluminum, zinc, lead, nickel, and tin on November 10, 2025, are presented, for example, the LME spread of copper is (14.85) [31]. 3.5 Agricultural Products - **Basis**: The basis data of soybeans No.1, soybeans No.2, soybean meal, soybean oil, corn, etc. from November 4 to November 10, 2025, are shown, such as the basis of soybeans No.1 being - 35, - 103, etc. [37]. - **Inter - month Spreads**: The inter - month spreads of 5 - 1 month, 9 - 1 month, and 9 - 5 month for soybeans No.1, soybeans No.2, soybean meal, soybean oil, rapeseed meal, etc. are given, like the 5 - 1 month spread of soybeans No.1 is 42 yuan/ton [37]. - **Inter - commodity Spreads**: The inter - commodity spreads of soybeans No.1/corn, soybeans No.2/corn, soybean oil/soybean meal, soybean meal - rapeseed meal, soybean oil - palm oil, etc. from November 4 to November 10, 2025, are presented, for example, the soybeans No.1/corn ratio on November 10 is 1.91 [37]. 3.6 Stock Index Futures - **Basis**: The basis data of CSI 300, SSE 50, CSI 500, and CSI 1000 from November 4 to November 10, 2025, are provided, such as the basis of CSI 300 being 29.70, 30.66, etc. [48]. - **Inter - month Spreads**: The inter - month spreads of next month - current month and next quarter - current quarter for CSI 300, SSE 50, CSI 500, and CSI 1000 are given, for instance, the next month - current month spread of CSI 300 is - 15.0 [48].

Report Overview - This is the Baocheng Futures variety arbitrage data daily report for September 26, 2025, covering multiple commodity sectors including thermal coal, energy chemicals, black metals, non-ferrous metals, agricultural products, and stock index futures [1] 1. Thermal Coal - **Base Price Data**: From September 19 - 25, 2025, the base price of thermal coal remained at -95.4 yuan/ton (except -96.4 yuan/ton on September 22 and -97.4 yuan/ton on September 19), and the spreads of 5 - 1 month, 9 - 1 month, and 9 - 5 month were all 0.0 yuan/ton [2] 2. Energy Chemicals (1) Energy Commodities - **Base Price**: Base price data for fuel oil, crude oil/asphalt, INE crude oil from September 19 - 25, 2025 are provided, with specific values varying each day [7] (2) Chemical Commodities - **Base Price**: Base price data for rubber, methanol, PTA, LLDPE, V, PP from September 19 - 25, 2025 are provided, with values changing daily [9] - **Inter - period Spreads**: Inter - period spreads for rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol are presented, including 5 - 1 month, 9 - 1 month, and 9 - 5 month spreads [11] - **Inter - commodity Spreads**: Inter - commodity spreads for LLDPE - PVC, LLDPE - PP, PP - PVC, PP - 3 * methanol from September 19 - 25, 2025 are provided [11] 3. Black Metals - **Base Price**: Base price data for rebar, iron ore, coke, and coking coal from September 19 - 25, 2025 are provided [21] - **Inter - period Spreads**: Inter - period spreads for rebar, iron ore, coke, and coking coal are presented, including 5 - 1 month, 9(10) - 1 month, and 9(10) - 5 month spreads [20] - **Inter - commodity Spreads**: Inter - commodity spreads for rebar/iron ore, rebar/coke, coke/coking coal, and rebar - hot rolled coil from September 19 - 25, 2025 are provided [20] 4. Non - ferrous Metals (1) Domestic Market - **Domestic Base Price**: Domestic base price data for copper, aluminum, zinc, lead, nickel, and tin from September 19 - 25, 2025 are provided [28] (2) London Market - **LME Data**: LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit/loss data for copper, aluminum, zinc, lead, nickel, and tin on September 25, 2025 are provided [32] 5. Agricultural Products - **Base Price**: Base price data for soybeans No.1, soybeans No.2, soybean meal, soybean oil, corn, etc. from September 19 - 25, 2025 are provided [36] - **Inter - period Spreads**: Inter - period spreads for soybeans No.1, soybeans No.2, soybean meal, soybean oil, rapeseed meal, etc. are presented, including 5 - 1 month, 9 - 1 month, and 9 - 5 month spreads [36] - **Inter - commodity Spreads**: Inter - commodity spreads for soybeans No.1/corn, soybeans No.2/corn, soybean oil/soybean meal, etc. from September 19 - 25, 2025 are provided [36] 6. Stock Index Futures - **Base Price**: Base price data for CSI 300, SSE 50, CSI 500, and CSI 1000 from September 19 - 25, 2025 are provided [47] - **Inter - period Spreads**: Inter - period spreads for CSI 300, SSE 50, CSI 500, and CSI 1000, including next month - current month and next quarter - current quarter spreads, are presented [47]