Report Information - Report Date: March 16, 2026 [2] - Report Author: Ye Qianning [2] - Author's Qualification Number: Z0016628 [2] - Investment Consulting Business Qualification: CSRC License [2011] No. 1292 [2] Commodity Information Ferrous Metals - **Silicon Iron (SF603)**: Spot price is 5928, futures price is 5888, basis is 40, basis rate is 0.68%, historical quantile is 60.40% [1] - **Silicon Manganese (SM603)**: Spot price is 6170, futures price is 6176, basis is -6, basis rate is -0.10%, historical quantile is 23.80% [1] - **Rebar (RB2605)**: Spot price is 3250, futures price is 3142, basis is 108, basis rate is 3.44%, historical quantile is 50.10% [1] - **Hot Rolled Coil (HC2605)**: Spot price is 3270, futures price is 3505, basis is -25, basis rate is -0.76%, historical quantile is 9.10% [1] - **Iron Ore (I2605)**: Spot price is 850, futures price is 812, basis is 38, basis rate is 4.69%, historical quantile is 31.20% [1] - **Coke (J2605)**: Spot price is 1734, futures price is 1738, basis is -3, basis rate is -0.19%, historical quantile is 63.24% [1] - **Coking Coal (JM2605)**: Spot price is 1243, futures price is 1178, basis is 65, basis rate is 5.52%, historical quantile is 40.70% [1] Non - Ferrous Metals - **Copper (CU2604)**: Spot price is 100515, futures price is 100310, basis is 205, basis rate is 0.20%, historical quantile is 74.79% [1] - **Aluminum (AL2604)**: Spot price is 25120, futures price is 24960, basis is 160, basis rate is 0.64%, historical quantile is 90.62% [1] - **Alumina (AO2605)**: Spot price is 2695, futures price is 2956, basis is -261, basis rate is -8.81%, historical quantile is 2.86% [1] - **Zinc (ZN2604)**: Spot price is 24010, futures price is 24140, basis is -130, basis rate is -0.54%, historical quantile is 29.79% [1] - **Tin (SN2604)**: Spot price is 386600, futures price is 374110, basis is 12490, basis rate is 3.34%, historical quantile is 98.75% [1] - **Nickel (NISEOF)**: Spot price is 137950, futures price is 136930, basis is 1020, basis rate is 0.74%, historical quantile is 91.45% [1] - **Stainless Steel (SS2605)**: Spot price is 14450, futures price is 14190, basis is 430, basis rate is 3.03%, historical quantile is 76.39% [1] - **Lithium Carbonate (LC2605)**: Spot price is 159000, futures price is 152080, basis is 6920, basis rate is 4.55%, historical quantile is 98.45% [1] - **Industrial Silicon (SISEOF)**: Spot price is 9200, futures price is 8675, basis is 525, basis rate is 6.05%, historical quantile is 33.86% [1] Precious Metals - **Gold (AU2604)**: Spot price is 1131.3, futures price is 1133.00, basis is -1.8, basis rate is -0.15%, historical quantile is 48.20% [1] - **Silver (AG2606)**: Spot price is 20887.0, futures price is 20923.0, basis is -36.0, basis rate is -0.17%, historical quantile is 28.40% [1] Agricultural Products - **Palm Oil (P2605)**: Spot price is 9750, futures price is 9768.0, basis is -18.0, basis rate is -0.18%, historical quantile is 21.40% [3] - **Rapeseed Meal (RM605)**: Spot price is 2630, futures price is 2591.0, basis is 39.0, basis rate is 1.51%, historical quantile is 53.00% [3] - **Rapeseed Oil (Oleos)**: Spot price is 10540, futures price is 9821.0, basis is 719.0, basis rate is 7.32%, historical quantile is 95.60% [3] - **Corn (C2605)**: Spot price is 2430, futures price is 2386.0, basis is 44.0, basis rate is 1.84%, historical quantile is 57.90% [3] - **Corn Starch (CS2605)**: Spot price is 2800, futures price is 2729.0, basis is 71.0, basis rate is 2.60%, historical quantile is 30.20% [3] - **Live Hogs (LH2605)**: Spot price is 10150, futures price is 11150.0, basis is -1000.0, basis rate is -8.97%, historical quantile is 18.20% [3] - **Eggs (JD2605)**: Spot price is 3000, futures price is 3433.0, basis is -433.0, basis rate is -12.61%, historical quantile is 11.50% [3] - **Cotton (CF605)**: Spot price is 16650, futures price is 15415.0, basis is 1235.0, basis rate is 8.01%, historical quantile is 85.50% [3] - **White Sugar (SR605)**: Spot price is 5500, futures price is 5447.0, basis is 53.0, basis rate is 0.97%, historical quantile is 7.80% [3] - **Apples (AP605)**: Spot price is 9800, futures price is 9998.0, basis is -198.0, basis rate is -1.98%, historical quantile is 14.90% [3] - **Jujubes (C1605)**: Spot price is 7900, futures price is 9095.0, basis is -1195.0, basis rate is -13.14%, historical quantile is 36.60% [3] - **Soybean Meal (M2605)**: Spot price is 3390, futures price is 3128.0, basis is 262.0, basis rate is 8.38%, historical quantile is 68.50% [5] - **Soybean Oil (V2605)**: Spot price is 8900, futures price is 8690.0, basis is 210.0, basis rate is 2.42%, historical quantile is 44.00% [5] Energy and Chemicals - **Para - Xylene (PX605)**: Spot price is 10128.5, futures price is 10018.0, basis is 110.5, basis rate is 1.10%, historical quantile is 62.90% [3] - **PTA (TA605)**: Spot price is 6930.0, futures price is 6934.0, basis is -4.0, basis rate is -0.06%, historical quantile is 57.30% [3] - **Ethylene Glycol (EG2605)**: Spot price is 4560.0, futures price is 4729.0, basis is -169.0, basis rate is -3.57%, historical quantile is 3.90% [3] - **Polyester Staple Fiber (PF604)**: Spot price is 8400.0, futures price is 8382.0, basis is 18.0, basis rate is 0.21%, historical quantile is 48.70% [3] - **Styrene (EB2604)**: Spot price is 9865.0, futures price is 10000.0, basis is -135.0, basis rate is -1.35%, historical quantile is 9.80% [3] - **Methanol (MA605)**: Spot price is 2825.0, futures price is 2805.0, basis is 20.0, basis rate is 0.71%, historical quantile is 56.70% [3] - **Urea (UR605)**: Spot price is 1900.0, futures price is 1889.0, basis is 11.0, basis rate is 0.58%, historical quantile is 20.60% [3] - **LLDPE (L2605)**: Spot price is 8275.0, futures price is 8416.0, basis is -141.0, basis rate is -1.68%, historical quantile is 2.30% [3] - **PP (PP2605)**: Spot price is 8700.0, futures price is 8603.0, basis is 97.0, basis rate is 1.13%, historical quantile is 54.90% [3] - **PVC (V2605)**: Spot price is 5670.0, futures price is 5724.0, basis is -54.0, basis rate is -0.94%, historical quantile is 70.30% [3] - **Caustic Soda (SH605)**: Spot price is 2093.8, futures price is 2604.0, basis is -510.3, basis rate is -19.59%, historical quantile is 0.50% [3] - **LPG (PG2604)**: Spot price is 6148.0, futures price is 5734.0, basis is 414.0, basis rate is 7.22%, historical quantile is 58.40% [3] - **Asphalt (BU2604)**: Spot price is 3970.0, futures price is 4089.0, basis is -119.0, basis rate is -2.91%, historical quantile is 26.80% [3] - **Butadiene Rubber (BR2604)**: Spot price is 15600.0, futures price is 15725.0, basis is -125.0, basis rate is -0.79%, historical quantile is 18.90% [3] - **Glass (FG605)**: Spot price is 976.0, futures price is 1135.0, basis is -159.0, basis rate is -16.29%, historical quantile is 9.05% [3] - **Soda Ash (SA605)**: Spot price is 1257.0, futures price is 1277.0, basis is -20.0, basis rate is -1.59%, historical quantile is 46.94% [3] - **Pure Benzene (BZ2604)**: Spot price is 8270.0, futures price is 8288.0, basis is -18.0, basis rate is -0.22%, historical quantile is 86.10% [3] - **Propylene (PL2605)**: Spot price is 8050.0, futures price is 8342.0, basis is -292.0, basis rate is -3.50%, historical quantile is 6.40% [3] - **Bottle Chips (PR2605)**: Spot price is 8950.0, futures price is 8306.0, basis is 644.0, basis rate is 7.75%, historical quantile is 99.40% [3] - **Natural Rubber (RU2605)**: Spot price is 16900.0, futures price is 16765.0, basis is 135.0, basis rate is 0.80%, historical quantile is 98.32% [3] Financial Futures - **Stock Index Futures**: - **IF2603.CFF**: Spot price is 4669.1400, futures price is 4658.0, basis is -11.1400, basis rate is -0.24%, historical quantile is 36.70% [3] - **IH2603.CFE**: Spot price is 2956.8468, futures price is 2957.0, basis is 0.1532, basis rate is 0.01%, historical quantile is 56.20% [3] - **IC2603.CFE**: Spot price is 8239.7980, futures price is 8213.8, basis is -25.9980, basis rate is -0.32%, historical quantile is 44.70% [3] - **IM2603.CFE**: Spot price is 8214.2926, futures price is 8187.0, basis is -27.2926, basis rate is -0.33%, historical quantile is 50.70% [3] - **Treasury Bond Futures**: - **2 - Year Treasury Bond (TS2606)**: Spot price is 100.03, futures price is 102.47, basis is 0.00, basis rate is 0.00%, historical quantile is 29.80%, conversion factor is 0.9762 [3] - **5 - Year Treasury Bond (TF2606)**: Spot price is 100.17, futures price is 105.97, basis is 0.03, basis rate is 0.03%, historical quantile is 33.60%, conversion factor is 0.9450 [3] - **10 - Year Treasury Bond (T2606)**: Spot price is 99.85, futures price is 108.24, basis is 0.07, basis rate is 0.07%, historical quantile is 26.20%, conversion factor is 0.9219 [3] - **30 - Year Treasury Bond (TL2606)**: Spot price is 121.90, futures price is 111.11, basis is 0.40, basis rate is 0.36%, historical quantile is 58.00%, conversion factor is 1.0935 [3] Data Source - Wind, Mysteel, GF Futures Research Institute [3] Historical Quantile Calculation - Based on the basis levels of each variety in the

Report Date and Source - The report is dated December 4, 2025, and the data sources are Wind, Mysteel, and GF Futures Research Institute [2] Commodity Basis Information Ferrous Metals - For silicon iron (SF603), the spot price is 5528, the futures price is 5446, the basis is 82, and the basis rate is 1.51%, with a historical quantile of 85 [1] - For silicon manganese (SM603), the spot price is 5800, the futures price is 5724, the basis is 76, and the basis rate is 1.33%, with a historical quantile of 39.80% [1] - For rebar (RB2605), the spot price is 3169, and the basis and other information are not fully provided [1] - For hot - rolled coil (HC2605), the spot price is 3300, the futures price is 3319, the basis is - 19, and the basis rate is - 0.57%, with a historical quantile of 10.70% [1] - For iron ore (I2601), the spot price is 800, the futures price is 851, the basis is - 51, and the basis rate is - 6.48%, with a historical quantile of 41.80% [1] - For coke (J2601), the spot price is 1603, the futures price is 1625, the basis is - 22, and the basis rate is - 1.35%, with a historical quantile of 51.89% [1] - For coking coal (JM2601), the spot price is 1205, the futures price is 1071, the basis is 134, and the basis rate is 12.56%, with a historical quantile of 61.80% [1] Non - ferrous Metals - For copper (CU2601), the spot price is 88980, the futures price is 89210, the basis is - 230, and the basis rate is - 0.26%, with a historical quantile of 25.83% [1] - For aluminum (AL2601), the spot price is 21800, the futures price is 21940, the basis is - 140, and the basis rate is - 0.64%, with a historical quantile of 14.37% [1] - For alumina (AO2601), the spot price is 2824, the futures price is 2636, the basis is 188, and the basis rate is 7.14%, with a historical quantile of 74.88% [1] - For zinc (ZN2601), the spot price is 22720, the futures price is 22755, the basis is - 35, and the basis rate is - 0.15%, with a historical quantile of 55.20% [1] - For tin (SN2601), the spot price is 312370, the futures price is 309300, the basis is 3070, and the basis rate is 0.98%, with a historical quantile of 5.83% [1] - For nickel (NI2601), the spot price is 117950, the futures price is 117870, the basis is 80, and the basis rate is 0.07%, with a historical quantile of 56.87% [1] - For stainless steel (SS2601), the spot price is 12870, the futures price is 12465, the basis is 405, and the basis rate is 3.25%, with a historical quantile of 74.46% [1] - For lithium carbonate (LC2605), the spot price is 94350, the futures price is 93660, the basis is 690, and the basis rate is 0.74%, with a historical quantile of 67.84% [1] - For industrial silicon (SI2601), the spot price is 9500, the futures price is 8920, the basis is 580, and the basis rate is 6.50%, with a historical quantile of 38.14% [1] Precious Metals - For gold (AU2602), the spot price is 956.7, the futures price is 949.5, the basis is 7.2, and the basis rate is 0.75%, with a historical quantile of 0.30% [1] - For silver (AG2602), the spot price is 13582.0, the futures price is 13536.0, the basis is 46.0, and the basis rate is 0.34%, with a historical quantile of 12.00% [1] Agricultural Products - For soybean meal (M2605), the spot price is 3030, the futures price is 2847.0, the basis is 183.0, and the basis rate is 6.43%, with a historical quantile of 36.50% [1] - For soybean oil (Y2601), the spot price is 8470, the futures price is 8286.0, the basis is 184.0, and the basis rate is 2.22%, with a historical quantile of 38.00% [1] - For palm oil (P2601), the spot price is 8730.0, the futures price is 8700, the basis is 30.0, and the basis rate is 0.34%, with a historical quantile of 18.10% [1] - For rapeseed meal (RM601), the spot price is 2500, the futures price is 2408.0, the basis is 92.0, and the basis rate is 3.82%, with a historical quantile of 63.80% [1] - For rapeseed oil (OI601), the spot price is 10000, the futures price is 9711.0, the basis is 289.0, and the basis rate is 2.98%, with a historical quantile of 80.00% [1] - For corn (C2601), the spot price is 2300, the futures price is 2259.0, the basis is 41.0, and the basis rate is 1.81%, with a historical quantile of 62.50% [1] - For corn starch (CS2601), the spot price is 2600, the futures price is 2562.0, the basis is 38.0, and the basis rate is 1.48%, with a historical quantile of 19.20% [1] - For live hogs (LH2601), the spot price is 11490.0, the futures price is 11250, the basis is 240.0, and the basis rate is 2.09%, with a historical quantile of 36.80% [1] - For eggs (JD2601), the spot price is 3138.0, the futures price is 3020, the basis is - 118.0, and the basis rate is - 3.76%, with a historical quantile of 28.40% [1] - For cotton (CF601), the spot price is 14862, the futures price is 13780.0, the basis is 1082.0, and the basis rate is 7.85%, with a historical quantile of 71.20% [1] - For sugar (SR601), the spot price is 5545, the futures price is 5366.0, the basis is 179.0, and the basis rate is 3.34%, with a historical quantile of 32.10% [1] - For apples (AP605), the spot price is 9712.0, the futures price is 9000, the basis is 712.0, and the basis rate is 7.33%, with a historical quantile of 1.30% [1] - For red dates (CJ601), the spot price is 9055.0, the futures price is 8500, the basis is 555.0, and the basis rate is 6.13%, with a historical quantile of 68.20% [1] Energy and Chemicals - For paraxylene (PX603), the spot price is 6906.0, the futures price is 6872.0, the basis is 34.0, and the basis rate is 0.49%, with a historical quantile of 34.90% [1] - For PTA (TA601), the spot price is 4730.0, the futures price is 4700.0, the basis is 30.0, and the basis rate is 0.63%, with a historical quantile of 45.30% [1] - For ethylene glycol (EG2601), the spot price is 3822.0, the futures price is 3820.0, the basis is - 2.0, and the basis rate is - 0.05%, with a historical quantile of 58.90% [1] - For polyester staple fiber (PF602), the spot price is 6340.0, the futures price is 6284.0, the basis is 56.0, and the basis rate is 0.89%, with a historical quantile of 57.10% [1] - For styrene (EB2601), the spot price is 6710.0, the futures price is 6585.0, the basis is 125.0, and the basis rate is 1.90%, with a historical quantile of 54.00% [1] - For methanol (MA601), the spot price is 2128.0, the futures price is 2122.0, the basis is 6.0, and the basis rate is 0.28%, with a historical quantile of 34.60% [1] - For urea (UR601), the spot price is 1692.0, the futures price is 1680.0, the basis is - 12.0, and the basis rate is - 0.71%, with a historical quantile of 12.50% [1] - For LLDPE (L2601), the spot price is 6840.0, the futures price is 6808.0, the basis is 32.0, and the basis rate is 0.47%, with a historical quantile of 32.10% [1] - For PP (PP2601), the spot price is 6425.0, the futures price is 6382.0, the basis is 43.0, and the basis rate is 0.67%, with a historical quantile of 38.30% [1] - For PVC (V2601), the spot price is 4541.0, the futures price is 4500.0, the basis is - 41.0, and the basis rate is - 0.90%, with a historical quantile of 71.60% [1] - For caustic soda (SH601), the spot price is 2281.3, the futures price is 2165.0, the basis is 116.3, and the basis rate is 5.37%, with a historical quantile of 65.80% [1] - For LPG (PG2601), the spot price is 4598.0, the futures price is 4289.0, the basis is 309.0, and the basis rate is 7.20%, with a historical quantile of 51.50% [1] - For asphalt (BU2601), the spot price is 2952.0, the futures price is 2950.0, the basis is 2.0, and the basis rate is 0.07%, with a historical quantile of 51.80% [1] - For butadiene rubber (BR2601), the spot price is 10600.0, the futures price is 10575.0, the basis is 25.0, and the basis rate is 0.24%, with a historical quantile of 31.60% [1] - For glass (FG601), the spot price is 1020.0, the futures price is 984.0, the basis is 36.0, and the basis rate is 3.66%, with a historical quantile of 64.28% [1] - For soda ash (SA601), the spot price is 1165.0, the futures price is 1135.0, the basis is 30.0, and the basis rate is 2.64%, with a historical quantile of 28.99% [1] - For natural rubber (RU2605), the spot price is 15210.0, the futures price is 14850.0, the basis is - 360.0, and the basis rate is - 2.42%, with a historical quantile of 77.55% [1] Stock Index Futures and Treasury Bond Futures - For IF2512.CFE, the spot price is 4531.0, the futures price is 4518.2, the basis is - 12.8, and the basis rate is - 0.28%, with a historical quantile of 33.10% [1] - For IH2512.CFE, the spot price is 2958.4, the futures price is 2963.1, the basis is - 4.7, and the basis rate is - 0.16%, with a historical quantile of 35.30% [1] - For IC2512.CFE, the spot price is 6996.4, the futures price is 6950.4, the basis is - 46.0, and the basis rate is - 0.66%, with a historical quantile of 23.50% [1] - For IM2512.CFE, the spot price is 7248.3, the futures price is 7195.4, the basis is - 52.9, and the basis rate is - 0.73%, with a historical quantile of 38.30% [1] - For 2 - year Treasury bond (TS2603), the spot price is 102.42, the futures price is 100.05, the basis is - 0.06, and the basis rate is - 0.06%, with a historical quantile of 11.90% [1] - For 5 - year Treasury bond (TF2603), the spot price is 105.85, the futures price is 99.53, the basis is - 0.09, and the basis rate is - 0.09%, with a historical quantile of 16.00% [1] - For 10 - year Treasury bond (T2603), the spot price is 108.05, the futures price is 100.31, the basis is - 0.04, and the basis rate is - 0.03%, with a historical quantile of 11.70% [1] - For 30 - year Treasury bond (TL2603), the spot price is 128.29, the futures price is 113.63, the basis is 0.31, and the basis rate is 0.27%, with a historical quantile of 44.00% [1]