机构研究报告-中国铜期货跨境套利分析报告

中国铜期货跨境套利框架ChinaCopperFuturesCross-BorderArbitrageFrameworkJanuary

2025目录CONTENTF期u现tur套es-利Phy

sicalSpread跨TS

pimr期eea套d利SI跨nptr市eera-Md

ark

et套

利期现套利Futures-Physi跨期套利Time

02跨市套利03Inter-MarketSpread0ca1lSpreadSpreadClick

thehyperlink

tothe

specific

chapter点击链接跳转至相应章节01R返e回turnT录oContent目返回目录

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To

Content期现套利Futures-PhysicalSpread1.1

期现套利

Futures-PhysicalArbitrage基差=现货-期货◼◼套利原理：期现套利的理论基础是基差回归，实物交割机制是基差回归的基础。驱动因素：市场对于交割月基本面预期与当前现货基本面预期的差异造成了基差的波动，而距离交割月时间越短，这种差异也越小，交割品基差也会逐渐回归。◼◼基差扩大驱动因素：现货价格表现强势—市场对期货基本面预期悲观—基差扩大。基差缩小驱动因素：现货价格表现弱势—市场对远期货基本面预期乐观—基差缩小。◼◼Principleof

Arbitrage:The

theoretical

foundation

of

futures-spot

arbitrage

isbasis

convergence,

withthephysicaldelivery

mechanism

servingasthe

basis

for

this

convergence.Basis

=Physical

price

–

Futures

priceFactors:

The

fluctuation

inbasis

iscaused

by

the

differencebetween

the

market's

expectations

for

the

fundamentalsinthedelivery

month

and

the

spot

market.

Asthe

delivery

month

approaches,

this

difference

diminishes,

and

thebasis

for

deliverablegoods

gradually

converges.◼◼Basis

Expansion:Strong

spotprices—pessimistic

expectations

for

thefutures—basis

expansion.Basis

Contraction:Weak

spotprices—optimistic

expectations

for

thefutures—basis

contraction.Source:CITIC

FuturesThis

report

is

not

a

service

under

the

futures

trading

consulting

business.

The

opinions

and

information

provided

are

for

reference

only

and

do

not

constituteinvestment

advice

to

anyone.

CITICFutures

donot

consider

relevant

personnel

asclient

due

totheir

attention,

receipt,

orreading

ofthe

content

ofthis

report.1.2

交割品基差

Delivery

&Basis◼◼当前沪铜期货合约以阴极铜（符合国标GB/T467-2010中1号标准铜(Cu-CATH-2)规定，其中主成份铜加银含量不小于99.95%）为主要交割标的。沪铜月度滚动交割，铜基差通常不会偏离零轴太远，伴随着交割日的临近，基差会逐渐收敛。The

currentShanghai

copper

futures

contract

uses

cathode

copper

(meeting

theNo.1standard

copper

(Cu-CATH-2)as

specified

inthenational

standard

GB/T467-2010,

withamain

component

ofcopper

plus

silver

content

not

lessthan99.95%)

as

theprimary

delivery

target.

The

Shanghai

Copper

features

monthly

rolling

delivery,

and

the

basis

for

coppertypically

does

not

deviate

far

fromzero;itgradually

converges

asthe

delivery

date

approaches.沪铜基差

SHFE

Copper

Basis沪铜基差走势

SHFE

Copper

BasisTrendRMB/Ton30002500200015001000500基差中国:长江有色市场:平均价:铜:1#2022年1-12月合约期间现货升水均价走势80000750007000065000600005500050000450004000035000300002022

Janto

DecContracts

BasisBasisSpot

PriceAverage10008006004002000-200-4000T-21

T-19

T-17

T-15

T-13

T-11T-9T-7T-5T-3T-1-500-10001月合约5月合约9月合约2月合约6月合约10月合约3月合约4月合约8月合约12月合约7月合约11月合约Source:Wind,

CITIC

FuturesThis

report

is

not

a

service

under

the

futures

trading

consulting

business.

The

opinions

and

information

provided

are

for

reference

only

and

do

not

constituteinvestment

advice

to

anyone.

CITICFutures

donot

consider

relevant

personnel

asclient

due

totheir

attention,

receipt,

orreading

ofthe

content

ofthis

report.1.3

期现套利成本

Cost

of

Futures-Spot

Arbitrage◼持有成本：期现套利基于持有现货到期交割为基础，交易交割手续费、运输费、交割费、仓租费、增值税及资金利息等费用构成持有成本。◼无套利区间：期货价格±持有成本构筑无风险区间。◼

CostofCarry:

Futures

arbitrage

isbased

onholding

thespotfor

delivery

atexpiration,

with

costsincluding

transactionand

delivery

fees,

transportation

fees,

storage

charges,value-addedtax

(VAT),

and

interest

on

funds

constituting

thecostofcarry.◼

Arbitrage-Free

Range:

The

futures

price±

costof

carrycreates

arisk-freerange.期现套利成本

Cost

of

Futures-Spot

Arbitrage无套利区间

Arbitrage-Free

RangeCost6%0-1基差高值低值Interest

RateSpot

PriceDaysInterest3130002500200015001000500BasisUpperLower397550.01%233.364.16Transaction

AmountTransaction

FeesDeliveryCommissionYuan/Ton20Yuan/TonYuan/Ton/DayTax

Rate1Transfer

FeeStorage

Fee19.300.313%0Value

Added

TaxInventory

Entry

CostYuan/Ton-500-100018Storage

Fee15Outbound

CostMargin

Level15Packing

ChargeTotal

Cost20Jan-15

Jan-16

Jan-17

Jan-18

Jan-19

Jan-20

Jan-21

Jan-22

Jan-2313%262.83Source:Wind,

CITIC

FuturesThis

report

is

not

a

service

under

the

futures

trading

consulting

business.

The

opinions

and

information

provided

are

for

reference

only

and

do

not

constituteinvestment

advice

to

anyone.

CITICFutures

donot

consider

relevant

personnel

asclient

due

totheir

attention,

receipt,

orreading

ofthe

content

ofthis

report.1.4

期现套利案例

Case

ofFutures-Spot

Arbitrage◼

2016年11月11日，沪铜1611合约结算价为45390元/吨，铜现货价格为44900元/吨，基差为-490元/吨。持有成本测算：临近11月15日最后交易日，持有成本较低，测算为75元/吨。◼◼操作：买入注册品牌的铜现货，并在卖出CU1611期货。现货入库，申请注册为上海期货交易所仓单，期货申请进入交割。收益：0.9%，周期约10天，年化收益约30%。◼

OnNovember

11,

2016,

thesettlement

price

for

theShanghai

Copper

1611

contractwas

RMB45,390

per

ton,whilethespotprice

ofcopper

wasRMB44,900

per

ton.

The

basis

difference

was

-RMB490

per

ton.

Costofholding

estimation:Asitapproached

thelasttrading

day

on

November

15th,

holding

costswerelow

and

estimated

tobe

RMB75

per

ton.◼

Strategy:Purchase

registered

brand

copper

inthe

spotmarket

and

sell

CU1611futures

contracts.

Store

physical

copperinawarehouse

and

apply

for

registration

as

awarrantwiththe

Shanghai

Futures

Exchange;

proceed

withfuturesdelivery

application.◼

Return:

Approximately

areturn

of

about

+0.9%

overroughly

tendays;annualized

return

isapproximately

+30%.Source:Wind,

CITIC

FuturesThis

report

is

not

a

service

under

the

futures

trading

consulting

business.

The

opinions

and

information

provided

are

for

reference

only

and

do

not

constituteinvestment

advice

to

anyone.

CITICFutures

donot

consider

relevant

personnel

asclient

due

totheir

attention,

receipt,

orreading

ofthe

content

ofthis

report.02R返e回turnT录oContent目返回目录

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To

Content跨期套利Time

Spread2.1

跨期套利

Time

Spread

Arbitrage◼◼◼◼驱动因素：市场对于近月基本面预期与远月基本面预期的差异造成了近远月期差的波动的波动。市场因素：现货价格上涨/下跌—近月价格上涨/下跌—对远月供给增加/下降或需求下降/增加的预期—期差扩大/缩小。政策因素：增值税下调，降税实施的月份将其前后合约价差显著拉开，税点决定价差。黑天鹅因素：冶炼厂停产/复产—近期供给减少/增加—期差扩大/缩窄。◼◼◼◼Driving

Factors:

The

difference

inmarket

expectations

between

near-month

and

far-month

fundamentals

causesfluctuations

inthespread

between

these

months.Market:

Spot

priceincrease/decrease

→Near-month

priceincrease/decrease→

Expectations

of

increased/decreasedfuture

supply

ordecreased/increased

demand

→Spread

widens/narrows.Policy:

VAT

reduction

can

significantly

widenthe

spread

between

contracts

before

and

after

itsimplementation,

withtaxpoints

determining

the

spread.Black

Swan

Events:

Smelter

shutdown/resumption→

Recent

decrease/increase

insupply

→Spread

widens/narrows.Source:CITIC

FuturesThis

report

is

not

a

service

under

the

futures

trading

consulting

business.

The

opinions

and

information

provided

are

for

reference

only

and

do

not

constituteinvestment

advice

to

anyone.

CITICFutures

donot

consider

relevant

personnel

asclient

due

totheir

attention,

receipt,

orreading

ofthe

content

ofthis

report.2.2

跨期套利案例1

Case1of

Time

Spread

Arbitrage◼

2018年3月、2019年3月分别国务院宣布下调增值税税率。◼案例：3月4日，CU1903合约结算价50060元/吨，不含税价格为50060/1.16=43117元/吨，以下调增值税3%计算，含13%增值税价格为43117*1.13=48722元/吨。即近远月价差需在1338元/吨。买近卖远可实现税点套利。◼

InMarch2018

and

March2019,

the

StateCouncil

announced

reductions

inVAT

rates.◼

OnMarch4th,

thesettlement

price

for

CU1903

contract

wasRMB50,060

per

ton.

The

ex-VAT

pricewascalculated

asRMB50,060

/1.16

=RMB43,117

per

ton.

With

ananticipated

VAT

reduction

of3%,the

new

price

including

areducedVAT

rateof13%

would

beRMB43

,117*1.13

=RMB48,722perton

.The

near-far

month

spread

neededto

beat

leastRMB1338

per

ton.

Buying

near-month,

selling

thefar-month

allowed

for

arbitrage.沪铜的合约结构变化（元/吨）CU

Contracts

Structure

(RMB/Ton)2019-03-042019-02-2250050500004995049900498504980049750500004990049800497004960049500沪铜近月沪铜连一沪铜连二CUC3沪铜连三沪铜连四沪铜连五沪铜连六CUC1CUC2CUC4CUC5CUC6CUC6Source:Wind,

CITIC

FuturesThis

report

is

not

a

service

under

the

futures

trading

consulting

business.

The

opinions

and

information

provided

are

for

reference

only

and

do

not

constituteinvestment

advice

to

anyone.

CITICFutures

donot

consider

relevant

personnel

asclient

due

totheir

attention,

receipt,

orreading

ofthe

content

ofthis

report.2.3

跨期套利案例2

Case2of

Time

Spread

Arbitrage◼2016年上半年，在经历2015年对经济增速下调，铜行业出现亏损的背景下，国内铜冶炼企业联合减产，同时将部分精炼铜交仓到保税区，国内市场供应紧张，沪铜价格呈现近高远低的结构，走出一波正套行情。◼◼沪铜远期结构由2016年3月下旬的明显Contango，但在当年4月上旬逐步转为远期Back结构。Inthefirsthalf

of2016,

against

the

backdrop

of

theeconomic

slowdownin2015

and

losses

inthecopper

industry,domestic

copper

smelting

enterprises

jointly

reduced

production

and

delivered

some

refined

copper

tobonded

zones.The

domestic

market

supply

was

tight,and

Shanghai

copper

pricesshowed

astructureofnear

highand

far

low,

creatingapositivemarket

trend.◼The

structureof

CUgradually

shifted

from

aContango

inlateMarch2016

toaBack

structure

inearly

April

of

that

year.沪铜的合约结构变化（元/吨）CU

Contracts

Structure

(RMB/Ton)2016-03-242016-04-0837900378003770037600375003740035820358003578035760357403572035700沪铜近月沪铜连一沪铜连二CUC3沪铜连三沪铜连四沪铜连五沪铜连六CUC1CUC2CUC4CUC5CUC6CUC6Source:Wind,

CITIC

FuturesThis

report

is

not

a

service

under

the

futures

trading

consulting

business.

The

opinions

and

information

provided

are

for

reference

only

and

do

not

constituteinvestment

advice

to

anyone.

CITICFutures

donot

consider

relevant

personnel

asclient

due

totheir

attention,

receipt,

orreading

ofthe

content

ofthis

report.03R返e回turnT录oContent目返回目录

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Content跨市套利Inter-Market

Spread3.1

跨市套利

Inter-Market

Arbitrage◼◼◼驱动因素：汇率、分地域基本面、交割标的不同等原因共同造就了商品在不同市场不同的价格。现货进口利润跨市套利：现货价格上涨/下跌—进口利润扩大/缩小—贸易商进口增加/减少—进口利润缩小/扩大。LME与SHFE盘面套利：LME和SHFE铜的总体大势趋于一致，价格走势阶段性背离，阶段性的不一致，SHFE和LME的同期合约价格比值就会偏离正常水平。◼◼INE与SHFE盘面套利：INE和SHFE铜的总体大势趋于一致，价格走势阶段性背离，阶段性的不一致，SHFE和INE的同期合约价格比值就会偏离正常水平。LME与COMEX铜盘面套利：LME和COMEX铜的总体大势趋于一致，价格走势阶段性背离，阶段性的不一致，LME和Comex铜的同期合约价格比值就会偏离正常水平。◼◼DrivingFactors:Exchange

rates,regional

differences,

and

varying

delivery

standards.Spot

Import

Profit

Cross-Market

Arbitrage:

Spot

price

increase/decrease

→Import

profit

expands/contracts

→Traders

increase/decrease

imports

→Importprofit

contracts/expands.◼◼◼LMEand

SHFEMarket

Arbitrage:

LMEand

SHFEcopper

generally

follow

thesame

trend.However,temporarydivergences

inpricecan

cause

theratio

ofprices

between

SHFEand

LMEto

deviate

from

normal

levels.INEand

SHFEMarket

Arbitrage:INEand

SHFEcopper

alsotend

toalign

overall.

Temporary

inconsistencies

intheirpricecan

lead

todeviations

inprice

ratiobetween

INEand

SHFEfrom

typicallevels.LME

vs.

COMEXCopper

Market

Arbitrage:

The

general

trendfor

LMEversusCOMEXcopper

issimilar

aswell.Periodic

discrepancies

intheir

pricing

trends

may

result

indeviations

of

priceratios

from

standard.Source:Wind,

CITIC

FuturesThis

report

is

not

a

service

under

the

futures

trading

consulting

business.

The

opinions

and

information

provided

are

for

reference

only

and

do

not

constituteinvestment

advice

to

anyone.

CITICFutures

donot

consider

relevant

personnel

asclient

due

totheir

attention,

receipt,

orreading

ofthe

content

ofthis

report.3.2

主要步骤

Major

Elements市场及价差：阶段性国内供需情况及平衡；上海和伦敦两地库存及现货升贴水走势；价格走势研判MarketandSpread:

Aphased

analysis

ofdomestic

supply-demand

conditions

and

balance;

inventorylevelsin

Shanghai

and

London

along

withthe

trendof

spot

premiums/discounts;

price

trendassessment.价差跟踪：沪伦铜进口盈亏变动；各月份进口盈亏分布SpreadTracking:

Monitorchanges

in

theprofitability

of

importing

Shanghai-London

copper;

analyzethedistribution

of

import

profits

and

losses

across

different

months.择机锁比价：在各月份进口窗口处于打开时锁定远期比价；比价持续明显不利但必须进口时，货物直接进口，盘面反套头寸等待回归PriceLocking:

Secure

long-term

price

ratios

when

theimport

windowisopen;

iftheprice

ratioremains

unfavorably

high

but

imports

arenecessary,

proceed

withareversearbitrage.采购点价及付款：外盘采购点价时，平掉伦铜多头，同时及时做好调期；在银行购汇时，平掉USDCNH多头头寸PricingandPayment:

When

pricingontheforeignmarket,closeout

longinLME

copper

andhandlerollovers;

when

purchasing

FXwith

banks,

close

outlong

USDCNH.国内销售：货物到港前尽量及时锁定买家，毕竟现货升水无法锁定，可以通过跟下游签订长期订单的方式规避升水大幅波动风险Sales:

Securebuyersearly

beforethegoods

arrive,sincespotpremiumscannotbe

lockedin.Consider

signing

long-term

contractswith

clients.Source:CITIC

FuturesThis

report

is

not

a

service

under

the

futures

trading

consulting

business.

The

opinions

and

information

provided

are

for

reference

only

and

do

not

constituteinvestment

advice

to

anyone.

CITICFutures

donot

consider

relevant

personnel

asclient

due

totheir

attention,

receipt,

orreading

ofthe

content

ofthis

report.3.3

跨市套利案例1

Case1of

Inter-Market

Arbitrage◼◼进口盈亏=铜现货价格—{（LME三月期铜+现货升贴水+贸易升水）*（1+增值税率）*（1+关税税率）*人民币汇率+港杂费}。案例：2022年9-10月铜现货进口窗口打开较为极端，现货进口盈利在1000元以上，这为现货进口创造绝佳的机会。◼◼ProfitorLossfromImporting

=CopperSpotPrice-

{(LME3-Month

Copper+

SpotPremium/Discount

+TradePremium)

*(1+VAT

Rate)

*(1+

TariffRate)

*RMBExchange

Rate+PortFees}.Case:InSeptember

toOctober

2022,

the

window

for

copper

spot

imports

opened

significantly,

with

import

profitsexceeding

RMB1000.

This

created

an

excellent

opportunity

for

importing

spotcopper.铜现货进口利润（元/吨）Import

Margin

of

Spot

Copper

(RMB/Ton)6000500040003000200010000铜15点现货进口盈亏铜三月进口盈亏Spot

Copper

Import

Margin3M

Copper

Import

Margin-1000-2000Jan-20Jul-20Jan-21Jul-21Jan-22Jul-22Jan-23Jul-23Source:Wind,

CITIC

FuturesThis

report

is

not

a

service

under

the

futures

trading

consulting

business.

The

opinions

and

information

provided

are

for

reference

only

and

do

not

constituteinvestment

advice

to

anyone.

CITICFutures

donot

consider

relevant

personnel

asclient

due

totheir

attention,

receipt,

orreading

ofthe

content

ofthis

report.3.4

跨市套利案例2

Case2of

Inter-Market

Arbitrage◼案例：2022年3月美联储开启加息周期，理论上看美元指数将继续走强，人民币汇率将承压，这个时候从汇率的角度来看其实存在非常好的LME/SHFE内外盘反套机会，买SHFE铜抛LME铜（不锁汇），在2022年3月-10月期间，SHFE/LME铜比价从7.2攀升到8.4。◼Case:InMarch2022,

theFedbegan

itsinterest

ratehike.

Theoretically,

this

would

lead

toastronger

USDollar

andput

pressure

onthe

RMB.This

presented

afavorable

arbitrage

opportunity

between

LMEand

SHFEby

longing

SHFEcopper

and

shorting

LMEcopper

(withouthedging

against

currency

risk).FromMarchtoOctober

2022,

theSHFE/LMEcopper

priceratiorosefrom

7.2to8.4.SHFE铜与LME三月铜比值SHFE

Copper/LME

Copper铜三月比值平衡比值9.08.58.07.57.06.56.0Copper

PriceRatioNon-Arbitrage

PriceRatioJan-20Jul-20Jan-21Jul-21Jan-22Jul-22Jan-23Jul-23Source:Wind,

CITIC

FuturesThis

report

is

not

a

service

under

the

futures

trading

consulting

business.

The

opinions

and

information

provided

are

for

reference

only

and

do

not

constituteinvestment

advice

to

anyone.

CITICFutures

donot

consider

relevant

personnel

asclient

due

totheir

attention,

receipt,

orreading

ofthe

content

ofthis

report.3.5

跨市套利案例3

Case3of

Inter-Market

Arbitrage◼案例：2024年4月底，COMEX铜近月合约出现极端虚实比，但LME铜有中国铜出口的压制，并且当时投资者对美联储降息预期较强，这使得更具弹性的COMEX铜走势更强，COMEX-LME铜价差出现极端化走势，在5月中旬最高时接近50美分/磅。◼Case:Inlate

April

2024,

theCOMEXcopper

near-month

contractexperiencedan

extremedisparity

between

futuresand

spot.Meanwhile,

LMEcopper

was

under

pressure

due

toChinese

copper

exports.Investors

had

strongexpectations

ofaFed’sratecut,whichmade

themore

flexible

COMEXcopper

perform

better.

This

led

toanextrememovement

intheCOMEX-LMEcopper

pricespread,

reaching

nearly

50

cents

per

pound

atits

peak

inmid-May.COMEX铜与LME三月铜价差（美分/磅）Copper

PriceSpread

Between

COMEX

and

LME

(Cents/LB)Comex-LME铜50403020100COMEX-LME

CopperJan-24Apr-24Jul-24Oct-24-10Source:Wind,

CITIC

FuturesThis

report

is

not

a

service

under

the

futures

trading

consulting

business.

The

opinions

and

information

provided

are

for

reference

only

and

do

not

constituteinvestment

advice

to

anyone.

CITICFutures

donot

consider

relevant

personnel

asclient

due

totheir

attention,

receipt,

orreading

ofthe

content

ofthis

report.3.6

跨市套利风险

Risks

of

Inter-