中國(guó)期貨市場(chǎng)半年度展望VIP

目錄摘要ABSTRACT 1一、觀濟(jì)MacroEconomy 3中國(guó)經(jīng)濟(jì)ChinaEconomy 3海外經(jīng)濟(jì)OverseaEconomy 4二、融貨FinancialFutures 5股指EquityIndex 5國(guó)債China'sGovernmentBonds 6人民幣率RMBExchangeRate 7三、源工Energy&Chemicals 8原油CrudeOil 8液化石氣LiquefiedPetroleumGas 9動(dòng)力煤ThermalCoal 1011PP&PE 12四、屬M(fèi)etals 13黃金Gold 13銅Copper 14鋁Aluminum 15螺紋鋼SteelRebar 16鐵礦石Ironore 17五、產(chǎn)品Agricultures 18生豬LiveHog 18豆粕SoybeanMeal 19棕櫚油PalmOlein 20玉米Corn 21棉花Cotton 22附：格表FuturesPrice 23免責(zé)明 32Disclaimer 33一、宏觀經(jīng)濟(jì)MacroEconomy中國(guó)經(jīng)濟(jì)ChinaEconomy回顧：一季度中國(guó)經(jīng)濟(jì)恢復(fù)好于預(yù)期，但二季度經(jīng)濟(jì)增長(zhǎng)動(dòng)能明顯減弱。一季度經(jīng)濟(jì)表現(xiàn)較好主要因?yàn)榉e壓需求的釋放。二季度積壓需求釋放大幅減少，房地產(chǎn)預(yù)期有所走弱，而居民消費(fèi)信心恢復(fù)仍然緩慢；因此，經(jīng)濟(jì)增長(zhǎng)動(dòng)能明顯減弱。Review:Chinaeconomyrecoveredbetterthanexpectedin2023Q1,butthegrowthsloweddownin2023Q2.Thereleaseofbacklogdemandafterpandemicopeningupcontributedtotheinitialrecovery.Theslowdowninsecondquarteraccompaniedwiththedecreasedbacklogdemand,weakenedrealestateexpectation,andslowrecoveryofconsumerconfidence.展望：下半年國(guó)內(nèi)經(jīng)濟(jì)下行壓力有限，預(yù)計(jì)政策將適當(dāng)加力，經(jīng)濟(jì)溫和復(fù)蘇。房地產(chǎn)下行壓力已經(jīng)大體釋放，當(dāng)前房地產(chǎn)表現(xiàn)低于政府預(yù)期，預(yù)計(jì)下半年樓市政策支持力度適當(dāng)加大，房地產(chǎn)投資有望企穩(wěn)。下半年服務(wù)消費(fèi)有望繼續(xù)恢復(fù)。服務(wù)業(yè)對(duì)就業(yè)拉動(dòng)顯著，預(yù)計(jì)下半年居民收入增長(zhǎng)加快，進(jìn)一步拉動(dòng)消費(fèi)修復(fù)。海外經(jīng)濟(jì)放緩施壓出口，下半年中國(guó)出口預(yù)計(jì)總體弱穩(wěn)。Outlook:SupportivepoliciesmaycontributetothemoderaterecoveryofChinaeconomyin2023H2.Thedownwardpressureonrealestatehasgenerallybeenreleased,butthesectorisstillweakerthanthegovernmentexpectation.Moresupportivepoliciesareexpectedtobeintroducedtohelprevivetheinvestmentinrealestate.Serviceconsumptionispresumedtofurtherrecoverin2023H2,thismaydriveuptheemploymentandacceleratethegrowthofresidents’income,whichwillfurtherpushuptherecoveryofconsumption.WiththeslowdownofoverseaChinaexportsmayremainweakbutrelativelystablein2023H2.海外經(jīng)濟(jì)OverseaEconomy回顧上半年美歐經(jīng)濟(jì)增長(zhǎng)好于預(yù)期CPI6月暫停加息。Review:TheeconomicgrowthinUSandEUwerebetterthanexpectedin2023H1.TheeconomicgrowthinUSandEUwerebetterthanexpectedin2023H1.TherecoveringservicesectorinUSandEUcontributedtorelativelygoodemploymentandresilienteconomicgrowth.In2023Q2,theUScoreCPIofservicespeakedandfell,andthedownwardtrendofinflationbecamemorecertain,whichhelpedtheFeddecisiontopauseinterestratehikesinJune.展望勢(shì)，但相對(duì)仍偏高。美聯(lián)儲(chǔ)加息基本接近尾聲。加息對(duì)經(jīng)濟(jì)存在滯后影響，下半年美國(guó)經(jīng)濟(jì)增長(zhǎng)或繼續(xù)放緩。不過下半年美國(guó)服務(wù)業(yè)有望溫和擴(kuò)張；由于加息接近尾聲，高利率對(duì)經(jīng)濟(jì)的抑制也不會(huì)顯著加大。歐元區(qū)通脹與經(jīng)濟(jì)趨勢(shì)與美國(guó)類似，下半年經(jīng)濟(jì)增長(zhǎng)放緩但或可避免衰退。Outlook:TheeconomicgrowthinUSandEUareexpectedtoslightlyslowdownin2023H2,butrecessionsarelikelytobeavoided.USinflationisinthedownwardtrendbutremainrelativelyhigh.TheFedinterestratehikeoughttobeapproachingitsend.Theinterestratehikehasalaggingimpactontheeconomy;hencetheUSeconomicgrowthmayslowdownin2023H2.However,theUSserviceindustryisexpectedtocontinuetoexpandmoderately,andtheimpactofhighinterestrateontheeconomymaynotsignificantlyincreaseasinterestratehikesgraduallystops.Therefore,theUSeconomyislikelytoavoidarecession.TheinflationandeconomictrendsinEUaresimilartothoseintheUS,witheconomicgrowthslowingdownbutlikelytoavoidarecessionin2023H2.二、金融期貨FinancialFutures股指EquityIndex強(qiáng)政策預(yù)期遇上弱現(xiàn)實(shí)：內(nèi)需恢復(fù)不及預(yù)期，市場(chǎng)期待強(qiáng)政策干預(yù)。但政策發(fā)力空間受城投隱患和中美利差約束，預(yù)計(jì)穩(wěn)增長(zhǎng)政策可能依托于定向QE。Strongpolicystimulusexpectationmeetssoftfundamentals:Slowerthanexpectedeconomyrecoverydemandsstrongerpolicysupport.However,themagnitudeofstimulusmeasuresisconstrainedbytheriskofLGFVandCN-USTreasurySpread,thepossiblemeasurecouldbeQE".A投資濟(jì)預(yù)期和內(nèi)需向好。因此，下半年風(fēng)格偏向主題概念。SpeculativefundsleadtheA-sharemarket,thepricingpowerhasnotyettransferredtoinstitutionalinvestorswiththelackof2catalysts:1)ThedominantstrategychangestoProsperityInvestment,whichisnotsupportedbycurrentmacrogrowth.2)Speculativeforeigncapitalinflows,whicharewaitingforthesignsofupsideeconomyexpectationordomesticdemand.Therefore,theinvestmentstylein2023H2mightstillbeevent-driven.趨勢(shì)501000。增厚策略關(guān)注跨品種套利：低波動(dòng)率ICIHIMIH。期權(quán)策略：配置雪球期權(quán)的安全邊際較高。strategies1DirectionalLong50andCSI10002Arbitrage:Underlowvolatility,longIC/shortIHorlongIM/shortIH.3)Options:SafetoopenpositionsinSnowballoptions.國(guó)債China'sGovernmentBonds2023年下半年債市主線將圍繞政策博弈展開。三季度可能基于政策博弈呈現(xiàn)一定調(diào)整壓力，10Y國(guó)債收益率阻力位在2.7-2.75%附近。但此后仍有回落空間，存款利率進(jìn)一步下調(diào)目標(biāo)位在2.5-2.6%附近。真正反轉(zhuǎn)有待四季度進(jìn)一步觀察。Themainfocusofthebondmarketin2023H2willbeonTheChinabondmarketmaybeunderpressureinQ3.Theresistancelevelofthe10Yrtreasurybondyieldisaround2.7-2.75%.However,furtherratecutsarestillpossible.Thetargetleveloffurtherreductionsinthedepositinterestrateisaround2.5-2.6%.ArealreversalawaitsfurthereconomicrecoveryinQ4.（一）寬貨幣后寬財(cái)政可能性較大，這將給債市帶來一定的調(diào)整壓力。公共財(cái)政赤字使用率偏低以及專項(xiàng)債發(fā)行放緩，暗示二季度財(cái)政發(fā)力放緩更多受發(fā)力意愿而非發(fā)力空間約束。當(dāng)前發(fā)力必要性上升，財(cái)政端在三季度發(fā)力可能性較大。Thereisahighlikelihoodofexpansionaryfiscalpolicyfollowingaccommodativemonetarywhichcouldexertsomeadjustmentpressureonthebondmarket.TherelativelylowutilizationrateofthepublicfiscaldeficitandthedecelerationintheissuanceofspecialbondsindicatesthattheslowdowninfiscalstimulusinQ2ismoredrivenbythewillingnessofstimulusratherthanconstraintsofthespace.Ascurrentnecessityforstimulushasincreased,strongfiscalstimuluscouldbeexpectedinQ3.（二）融資需求偏弱，貸款利率不具有上行的基礎(chǔ)，緩解凈息差主要依賴于降低存款利率的形式。未來存貸款利率如果進(jìn)一步下行也將帶動(dòng)債市利率跟隨下行。債市能否真正反轉(zhuǎn)可能取決于四季度經(jīng)濟(jì)修復(fù)持續(xù)性。Financingdemandisweak,andloanratesdonothaveabasisforrising,sothereliefofnetinterestmarginmainlydependsontheformofloweringdepositrates.Ifthedepositandloanratescontinuetofallinthefuture,itwillalsodrivethebondmarketratetodecline.WhetherthebondmarketcantrulyreversemayhavetowaituntilQ4byfurtherobservingthesustainabilityofeconomic人民幣匯率RMBExchangeRate展望2023下半年，出口結(jié)售匯需求對(duì)人民幣影響偏中性。利率相對(duì)水平影響趨勢(shì)，風(fēng)險(xiǎn)偏好影響節(jié)奏，風(fēng)險(xiǎn)偏好能否落地為實(shí)際經(jīng)濟(jì)增長(zhǎng)決定拐點(diǎn)。Lookingaheadinto2023H2,theRMBisneutrallyimpactedbyexport-relatedforeignexchangedemand.withinterestratesdifferenceinfluencingtheoveralltrend,andriskpreferenceaffectingtradingpace.Theturningpointofthetrenddependsonwhetherriskpreferencecouldberealizedinrealeconomicgrowth.（一PMI下行周期至少延續(xù)至（二美國(guó)貨幣政策和利率水20242.6%PCEPI增速預(yù)FED（三7.37.1。(1)WithPMIandconsumerconfidencestilldeclining,thePBOCmonetarypolicyandinterestratesmaynotbottomoutuntilQ4.(2)USfinancialstabilityinterestrateisveryresilient,andundertheforecastofa2.6%corePCEPIannualgrowthratein2024,itisdifficulttoinduceaneconomicrecession,hencekeepingthepolicyinterestrateatarestrictivehighlevelisnecessary.(3)TheratesbetweenCNandUScontinuestobedeeplyinverted.ThedepreciationelasticityoftheRMBisgreaterthantheappreciationelasticity,withtheresistancelevelof7.3,andthesupportlevelof7.1.升值風(fēng)險(xiǎn)在于新一輪政策脈沖帶動(dòng)風(fēng)險(xiǎn)情緒快速走高，或?qū)㈦A段性拉升至7.17.3TheriskofRMBappreciationliesintherapidriseofrisksentimentdrivenbyanewroundofpolicyimpulses,whichmaytemporarilypullUSD/CNYtobelow7.1.WhiledepreciationriskcouldarisefromadovishshiftintheECBduetoacoolingEurozonelabormarket,whichcouldincentiveUSD/CNYbreakthrough7.3.三、能源化工Energy&Chemicals原油CrudeOil下半年原油價(jià)格基準(zhǔn)預(yù)期寬幅震蕩。原油供需邊際改善提振遠(yuǎn)端估值，但金融投機(jī)情緒偏弱施壓近端油價(jià)。風(fēng)險(xiǎn)在于極端金融或地緣事件。（一）金融屬性：經(jīng)濟(jì)放緩施壓需求。美國(guó)金融條件收緊誘發(fā)經(jīng)濟(jì)增長(zhǎng)擔(dān)憂，中國(guó)經(jīng)濟(jì)修復(fù)需要更多政策發(fā)力。經(jīng)濟(jì)下方回落空間有限，但在共振復(fù)蘇來臨前，暫時(shí)也缺乏趨勢(shì)向上動(dòng)力。（二）政治屬性：地緣減產(chǎn)支撐供應(yīng)。減產(chǎn)挺價(jià)。美國(guó)石油鉆機(jī)數(shù)量也已持續(xù)下降半年，產(chǎn)量增長(zhǎng)陷入停滯。美國(guó)戰(zhàn)略儲(chǔ)備庫(kù)存回購(gòu)啟動(dòng)，將進(jìn)一步加強(qiáng)油價(jià)底部支撐。（三）商品屬性：供需預(yù)期動(dòng)態(tài)均衡。全球經(jīng)濟(jì)增速放緩預(yù)期對(duì)油品需求和價(jià)供應(yīng)圍繞需求調(diào)整，從而維持動(dòng)態(tài)均衡。Crudeoilpriceisexpectedtoremainrange-boundin2023H2.Thefundamentalofcrudeoilhasbeenmarginallyimproving,butpessimisticmacro-economicprospectareputtingpressureonoilpricesatthenearend.Theriskliesintheextremefinancialorgeopoliticalevents.Financialfactorsaddpressureonoilprice.TheslowdownofglobaleconomyandUStighteningcycleledtothenetlongnon-commercialpositiononoilfuturesdroppedtoadecadelowlevel.Currentlyfurtherdownwardspaceislimited,butthemarketsalsolackofmomentumfortheupwardtrendbeforethesynchronousrecoveryofglobaleconomy.Geopoliticalfactorsprovideupwardsupports.OPECandRussiahavecontinuouslyexpandedandprolongedtheproductioncut.USoilrigshavebeendecreasingforsevenmonths,theshaleoilproductiongrowthalsosloweddown.Commodityfactorsimplydynamicbalanceofcrudeoilsupplyanddemand.Theslowdownintheglobaleconomyisexpectedtoputdownwardpressureonoildemand,butOPECandotheroilproducerssupportoilpricesbycuttingproduction.液化石油氣LiquefiedPetroleumGas三季度中國(guó)液化石油氣期貨價(jià)格預(yù)計(jì)仍將相對(duì)外盤維持偏弱。（一）LPGLPGLPGLPGLPGCP（二）海外進(jìn)口成本下降，國(guó)內(nèi)供需寬松，國(guó)產(chǎn)民用氣價(jià)格承壓。進(jìn)口成本對(duì)國(guó)產(chǎn)氣價(jià)格影響較大。三季度中國(guó)汽油預(yù)期需求較好，煉廠開工可能維持高位，但燃燒需求季節(jié)性淡季漸入，民用氣價(jià)格季節(jié)性承壓。（三PG月后修改為每年39ChinaLiquefiedPetroleumGasFuturespricemayremainrelativelyweakcomparedtotheoverseasLPGpricesinthethirdquarter.OverseaLPGpriceisunderpressureduetotheabundantsupplyandlowseasonaldemand.LPGexportsintheMiddleEastandUSwerehigherthaninpreviousyearsinQ2,butglobalLPGburningdemandfacedaseasonaldecline.SaudiArabiasharplylowereditspropane/butanecontractpricesinJuneandThedomesticLPGpricesmayremainunderpressurebecauseoflowerimportcostsandweakfundamentalsinChina.ThedomesticproductionwillremainhighinQ3duetohighrefineryoperatingrates,buttheseasonalLPGcombustiondemandwilldecline.Thenewrulesofwarehousereceiptsaggravatetheweakness.Itisnecessarytopayattentiontothechangeofwarehousereceiptsandmainplayersfuturespositions.動(dòng)力煤ThermalCoal2023有所緩解，海內(nèi)外煤炭?jī)r(jià)格中樞下降，煤炭進(jìn)口優(yōu)惠延至年底，預(yù)計(jì)全年煤炭進(jìn)口大幅增加。水力發(fā)電依舊低迷，火電補(bǔ)充作用凸顯。在長(zhǎng)協(xié)保障、進(jìn)口煤大量補(bǔ)充的情況下，電廠補(bǔ)庫(kù)節(jié)奏前置，環(huán)渤海港口以及電廠庫(kù)存顯著偏高。煤價(jià)承壓運(yùn)行。Coalpriceisexpectedtomovedowninthesecondhalfoftheyear.Withgrowingoutputandimportincrement,coaldisplaysasurplusbalancein2023.Withnewcapacityremainshigh,coaloutputcontinuestoAstheenergycrisishaseased,coalpricesabroadhavedeclined,importsareexpectedtoincreasesignificantlythroughouttheHydropowergenerationisstillsluggish,andthermalpowerplaysaprominentroleassupplementation.Inthecaseofplentydomesticlong-termcontractandlargeamountofimportedcoal,powerplantrestockingpaceisfront-loadedandtheBohaiSeaportandpowerplantinventoryissignificantlyhigh.Lookingforwardinto2023H2,asthermalpowerloadingrisesanddemandforpowercoalincreases,thesupplyanddemandofthermalcoalmayimproveduringthesummerandwinterpeakseasons,needtobecautiousofthesqueezeimpactofhydropowerimprovement.Withreliableassociationandlargeimportreplenishment,highinventoriesinthemiddleanddownstreamisdifficulttochangeintheshortterm,andcoalpricesarestillunderpressure.2023PTA（一上半年國(guó)內(nèi)紡服增速較快但出口乏力。10（二月聚酯總出口萬噸，同比增長(zhǎng)16.5；出口增量上，滌綸長(zhǎng)絲出口增加40.762（三PX低國(guó)內(nèi)PX供應(yīng)增速；另一方面，PTA產(chǎn)出的增加也提升PX需求的擴(kuò)張。PTA價(jià)格彈性大，但是加工費(fèi)的彈性在降低；另外PTA基差彈性過去兩年也明顯擴(kuò)張。（四）PTA價(jià)格受成本端變化主導(dǎo)，價(jià)格彈性看PX及PXN價(jià)差的修復(fù)路徑；PTA加工費(fèi)彈性低，建議區(qū)間思路對(duì)待；PTA基差彈性視供給沖擊及庫(kù)存結(jié)構(gòu)變化。WeholdanoptimisticviewtowardsPTApriceinthesecondhalfof2023.Thedomestictextileandapparelmarketgrewfastwhileexportsremainedweakin2023H1.Asdomesticconsumptionrecoverycontinues,thegrowthrateoftextileandapparelmarketin2023H2mayincreaseto10%Exportisexpectedtoshifttopositivegrowth(YOY)in2023Q4.Polyesterindustryperformedbetterthanexpectation.Domesticcapacityexpansionliftedpolyesterproduction.Polyesterexportalsoexceededexpectations.FromJanuarytotheexportsofpolyesterincreasedby16.5%Polyesterfilamentexportsaccountedfor62%ofpolyesterexportincrement.PXisthekeybetweentheupstreamanddownstreamofOnonehand,thereductionofimportshasloweredthegrowthrateofPXOntheotherhand,theincreaseinoutputaddsuptothePXdemand.Thepriceofislargelyinfluencedbythecost.ProcessingfeeelasticityisThebasisbetweenfuturesandspotpricedependsonthesupplypartandinventorystructure.PP&PE2023（一）價(jià)格上行核心驅(qū)動(dòng)，三季度進(jìn)入下游旺季，低庫(kù)存或可釋放需求彈性，推動(dòng)價(jià)格震（二（三）PEPP654202001397（四）2023九銀十或帶動(dòng)聚烯烴價(jià)格反彈。四季度隨價(jià)格修復(fù)供應(yīng)壓力增加，屆時(shí)預(yù)期可否刺激產(chǎn)業(yè)鏈補(bǔ)庫(kù)需求以平衡供應(yīng)有待觀察，目前謹(jǐn)慎樂觀。Polyolefinpricesmayreboundinthesecondhalfof2023.Therecoveryofdomesticdemandexpectationisthecoredriver.In2023Q3,thedownstreampeak-seasonandlowinventorymayreleasedemandelasticity.PolicysupportsofChinesegovernmentareontheway;Fed'sinterestratehikeisclosetoanend.Themacroeconomybottomoutmaysupporttheprice.Thesupplypressureofpolyolefinwillstillberelativelyhigh.Intermsofnewproductioncapacity,domesticPEandPPhave0.65millionand4.2milliontons,whileoverseashave2millionand1.39milliontons.Thedomesticstart-upinJulywillincreasesignificantly.Thereboundheightofpolyolefinsmaybelimited.SupportedbyundervaluationandlowpeakdemandseasoninSeptemberandOctobermaydrivethepricerebound.Thesupplypressuremayincreasein2023Q4asthepricegoesup,whichmayleadtotherebalanceofsupplyanddemand.四、金屬M(fèi)etalsGold貴金屬在三季度末或有走強(qiáng)機(jī)會(huì)（一（二6經(jīng)反映，美聯(lián)儲(chǔ)和美國(guó)政府開始關(guān)注長(zhǎng)期債務(wù)和美元信用問題。美國(guó)聯(lián)邦賬戶目前（三）1900美元/22美元/盎司，匯率端對(duì)（1）（）經(jīng)濟(jì)走弱&衰退風(fēng)險(xiǎn)。關(guān)注非農(nóng)就業(yè)數(shù)據(jù)和通脹數(shù)據(jù)帶來的波動(dòng)機(jī)會(huì)。Weseepotentialgainsforgoldattheendof2023Q3.USeconomymaycontinueslowdowninthesecondhalf.TheaccumulativeeffectoftheBidenadministration’sexpansionaryfiscalpoliciessupportedtherecentresilienceoftheUSeconomyandtheincreaseinFedratehikeexpectations.WhentheFedchoosestoachievepricestabilitybyaggressivetightening,itisdestinedthataggregatedemandfallsback→inflationfallsback→interestratecutsaretheinevitablepathahead.ThedebtceilingtalksandtheFed’sJunemeetingratehikingpausereflectedthegovernmentandthecentralbank’sattentiontoUSlong-termdebtproblem.TheUSfederalaccountcurrentlypayshighbenefitsinterest,buttaxrevenuesdonotreflecttheresilienceoftheeconomy.Therefore,goldisworthyofcontinuedattention.Weexpectgoldpricetoanchoraround$1,900/oz,silverat$22/oz.ExchangeratesupportsChinadomesticgoldprice.Thetimingofratecutandeconomicslowdownpacearethemainfactorsaffectinggoldprice,andwealsoviewmarketvolatilitycreatedbyjobandCPIdataasopportunities.銅Copper下半年銅價(jià)或維持震蕩走勢(shì)，重心可能略下移。倫銅大致區(qū)間為7600-8800美元，滬銅大致區(qū)間6.3-7萬元。20233%，8%(2)消費(fèi)端，海外消費(fèi)承壓，國(guó)內(nèi)銅消費(fèi)受經(jīng)濟(jì)復(fù)蘇帶動(dòng)，20231.5%3.9%(32023年全球銅市場(chǎng)可能小幅過剩，庫(kù)存偏低狀態(tài)延續(xù)。投資建議：?jiǎn)芜厑砜?，按震蕩偏空思路；結(jié)構(gòu)上來看，內(nèi)外盤滾動(dòng)參與反套。Weexpectcopperpricesonaslightlydownwardtrendinthesecondhalf.ThepricerangeofLMEcopperisapproximately7,600to8,800USdollars,andthepricerangeofShanghaicopperis63,000to70,000yuan.Onthesupplyside,globalcoppermineproductionhasincreasedslightly.Itisexpectedthatglobalcoppermineandrefinedcopperproductionwillincreaseby3%in2023,andChinarefinedcopperproductionwillincreaseby8%.Onthedemandside,overseaconsumptionisunderpressure;domesticcopperconsumptionisdrivenbyeconomybutthegrowthisslowingdown.Itisexpectedthatglobalcopperconsumptionwillincreaseby1.5%in2023,andChinacopperconsumptionwillincreaseby3.9%.In2023,theglobalcoppermarketmaybeslightlyoversupplied,andthestateoflowinventorywillcontinue.Investmentadvice:1)Directional:downwardtrend;2)Arbitrage:longChinacopper,shortLondoncopper.鋁Aluminum2700-2900元/16000-19000元/噸區(qū)間內(nèi)承壓下行。供應(yīng)方面，氧化鋁增量有限，預(yù)計(jì)2023年產(chǎn)量達(dá)8169萬噸，增速2.6%。電20420234183萬4.5%43223.2%14233萬噸。總體而言，氧化鋁需求在電解鋁產(chǎn)能加速釋放預(yù)期下，過剩情況將得以改善，預(yù)計(jì)下半年氧化鋁將維持小幅去庫(kù)趨勢(shì)，氧化鋁價(jià)格或止跌反彈，利潤(rùn)亦有一定改善預(yù)期。后續(xù)需要繼續(xù)重點(diǎn)留意云南產(chǎn)能釋放進(jìn)程，消費(fèi)驗(yàn)證及海外流動(dòng)性風(fēng)險(xiǎn)。Weexpectedthatinthesecondhalfof2023,thepriceofaluminawillfluctuatewithintherangeof2,700-2,900yuan/ton,andthepriceofelectrolyticaluminumwillbeunderpressurewithintherangeof16,000-19,000yuan/ton.Intermsoftheincreaseinaluminaislimited,andtheproductionisexpectedtoreach81.69milliontonsin2023,anannualincreaseof2.6%.Thenewinvestmentandresumedproductionofelectrolyticaluminumisabout2.04milliontons,mainlyinandGuizhou,andtheproductionisexpectedtoreach41.83milliontonsin2023,anannualincreaseof4.5%.Intermsofconsumption,aluminumconsumptionisestimatedtobe43.22milliontons,anincreaseof3.2%.Ingeneral,therewillbeanoversupplyof1.42milliontonsofaluminaand330,000tonsofelectrolyticaluminumin2023.Overall,thesurplussituationofaluminademandwillbeimprovedundertheexpectationofacceleratedreleaseofaluminumproductioncapacity.Theslightdestockingtrendwillbemaintained,aluminapricesmaystopfallingandrebound,andprofitsareexpectedtoimprovetoacertainextent.ItisnecessarytocontinuetofocusonthereleaseprocessofYunnan'sproductioncapacity,consumptionverificationandoverseasliquidityrisks.螺紋鋼SteelRebar下半年鋼材價(jià)格或呈現(xiàn)N型走勢(shì)，四季度存在上行空間。我國(guó)經(jīng)濟(jì)壓力加大，后續(xù)政策或陸續(xù)出臺(tái)，結(jié)構(gòu)性貨幣政策、以及基建相關(guān)增量工具或值得期待。（一）（二（三供給端：隨著鋼廠持續(xù)復(fù)產(chǎn)，鋼材預(yù)計(jì)再度轉(zhuǎn)為供求過剩，三季度鋼廠或需主動(dòng)減產(chǎn)，間接實(shí)現(xiàn)粗鋼平控目標(biāo)。進(jìn)入到四季度，政策或再次加碼，鋼材產(chǎn)量或根據(jù)現(xiàn)實(shí)需求情況，以銷定產(chǎn)。WeexpectsteelpricemayexhibitNshapemovement,withupwardpotentialinthefourthquarter.ThedownwardpressureonChinaeconomyhasincreased,follow-uppoliciessuchasstructuralmonetarypolicyandinfrastructure-relatedincrementaltoolscouldbeexpected.Onthedemandside:(1)Inrealestateareas,commercialhousingsaleshavedeclinedandthefundingofrealestateenterpriseshavebecometight.Steeldemandforcurrentconstructionandnewconstructionmayfallfurther,whilesteeldemandforrealestateaftercompletionislimited.(2)Ininfrastructureareas,becauseofinsufficientfiscalexpenditure,infrastructuredevelopmentreliesmoreonincrementaltools.(3)Inmanufacturingareas,theoverallmanufacturingindustryhasshowedadownwardtrend,andenterprisescontinuetotaketheinitiativetodestock.Overseaeconomicdownturnmayleadexportcontinuetofall.Onthesupplyside,assteelmillscontinuetoresumeproduction,steelisexpectedtoturnintooversupplyagain.Steelmillsmayneedtoactivelyreduceproductioninthethirdquarter,indirectlyachievingthegoalofcrudesteelbalance.Theindustrialcontrolpolicymaybetightenedagaininthefourthquarter,andsteelproductionmaydependontheactualdemand.鐵礦石Ironore20233.8億噸，4.5%1.1%2023年下半年鐵礦需求仍將下行。供給端，隨著新增產(chǎn)能逐步落地，海外供應(yīng)至中國(guó)體量約增加6100萬噸左右，3400萬噸，因此下半年鐵礦供給增量有所下降?？傮w而言，下半年海內(nèi)外鐵礦需求皆有下行趨勢(shì)；并且由于能源價(jià)格的回落，進(jìn)口礦成本下移，全球鐵礦供需過剩的格局明確。Orepriceslostgroundduetotheexcesssupplyanddemandbalancein2023.Policyexpectationsandactualeffectsonsteeldemandmaycontributetothestrengthenofironorepricesafterwards.Onthedemandside,assumingthetotalamountofpigironoftheStatisticsBureauisflatyear-on-year,thecumulativeoutputfromJanuarytoMayhasreached380milliontons,withanincreaseof4.5%year-on-year.overseasmoltenironproductionexcludingChinaisexpectedtodeclineby1.1%year-on-year.Therefore,ironoredemandwilldecreasein2023H2.Onthesupplyside,withthegraduallandingofnewproductioncapacity,thevolumeofoverseassupplytoChinawillincreaseabout61milliontons.AstheimportincreasefromJanuarytoMayhasreached34milliontons,weexpecttheincreaseinironoresupply2023H2willdecline.Ingeneral,thedemandforironoreinChinaandabroadmaybothshowadownwardtrendin2023H2.Becauseofthefallinenergyprices,thecostofimportedoredeclined.Globalironorehasdisplayedaclearsupplyanddemandsurpluspattern.五、農(nóng)產(chǎn)品Agricultures生豬LiveHog預(yù)計(jì)生豬價(jià)格處于盈虧平衡線附近波動(dòng)，但不乏階段性行情。（一）523年年初，疊加生產(chǎn)效（二（三總體來看，今年下半年生豬出欄壓力進(jìn)一步增長(zhǎng)，而需求端有旺季支撐，能夠承接部分供給增量。我們預(yù)計(jì)生豬價(jià)格將在盈虧平衡線附近波動(dòng)；考慮到二次育肥的可能性，豬價(jià)不排除階段性上漲。Livehogpriceisexpectedtofluctuatenearthebreak-evenline,butashort-termriseispossible.IntermsofthenumberofreproduciblesowsonhandhasbeenincreasingsinceMay2022,whichwillleadtotheincreaseoflivehogsin2023H2.Inaddition,duetotheoverallhighproductionefficiency,porksupplypressurewouldgraduallyincreasein2023H2.Intermsofdemand,theshrinkageofslaughteramountaftertheDragonBoatFestivalisobvious.Inaddition,thehightemperatureandhumiditywillreducedemandforpork.Thedemandmaybepoorintheshortterm.Astheweathercools,demandforporkwillreturn.Thebeginningofschools,theMid-AutumnFestival,NationalandtheSpringFestivalwillboostdemandin2023H2.Ingeneral,withthecontinuousrecoveryofproductioncapacity,theHogCyclehasalreadyenteredintodownwardphasein2023.In2023H2,theproductionwillaccelerate,inthemeanwhile,theconsumptionincrease.Therefore,livehogpriceisexpectedtofluctuatenearthebreak-evenline,butconsideringthepossibilityofsecondaryfattening,ashort-termriseisnotruledout.豆粕SoybeanMeal下半年豆粕下跌力量延續(xù)。天氣或備貨等可能帶來短期波動(dòng)，但難改下跌趨勢(shì)。（一（二23/24年度供需平衡表順利實(shí)現(xiàn)轉(zhuǎn)松。②美干旱升級(jí)，美豆盤面保持堅(jiān)1.6（三）中國(guó)進(jìn)口大豆榨利堪憂，芽麥替代和養(yǎng)殖虧損削減豆粕需求。風(fēng)險(xiǎn)提示：天氣；供應(yīng)增幅有限；需求超預(yù)期增長(zhǎng)；國(guó)際局勢(shì)惡化，進(jìn)口受阻。Soybeanmealpricemaycontinuethedownwardcyclein2023H2.Theremightbesmallfluctuationscausedbyweatherorrestocking,buttheoveralldownwardtrendremainsunchanged.Fromthemacroeconomicaspect,theUSinterestrateremainedstableinJunebutthereisstillapossibilityofinterestratehikesin2023H2.Onthesupplyside,short-termspeculationontheweatherleadstotwopossibleoutcomes,bothsuggestinganincreaseinglobalproduction.Theonlydifferenceiswhethertheincreasecomesearlyorlate.Thefocusisonthetemperatureandprecipitationsituationinthenexttwomonths.Possibleoutcomesinclude:①ThedroughtintheUnitedStatessignificantlyalleviates,andthesupplyissueofUSsoybeanfor2023and2024inUnitedStateswouldbeeased.②TheUSdroughtescalatesandtheUSsoybeanmarketremainsstrong,propellingBraziliansoybeantoincrease,withapossiblyexcessiveproduction160milliontonsmorethancurrentexpectation.Onthedemandside,theprofitsofsoybeanimportedbyChinawasupsetting,whilemaltsubstitutionandbreedinglossesreducedthedemandforsoybeanmeal.Risks:Weather;Limitedsupplygrowth;Demandexceedsexpectation;Theinternationalsituationdeterioratesandimportsbeinghindered.棕櫚油PalmOlein3季度棕油缺乏持續(xù)走強(qiáng)的產(chǎn)業(yè)基礎(chǔ)，但是天氣炒作或使棕油階段走強(qiáng)。隨著20244季度存在上漲的可能。62023/24年北半球的冬季厄爾尼諾將逐漸加強(qiáng)。通常情況下，北半球夏季202423今年美豆產(chǎn)區(qū)已有干旱跡象，且美豆優(yōu)良率偏低，若后期降水條件不能改善，則今年厄爾尼諾條件下的美豆單產(chǎn)或?qū)⑾抡{(diào)。In2023Q3,palmoilpricelacksthefundamentaldrivetorisetrendy,butweathermaycausethepricetoincreaseoccasionally.In2023Q4,palmoilpricemayhavepotentialtomoveupwardduetotheproductioncutandEINino.BoththeNationalWeatherService(NWS)andtheJapanMeteorologicalAgencyindicatedthatElNinohasalreadyoccurred,andtheNWSexpectsElNinotograduallystrengthenintheNorthernHemispherewinterof2023and2024.Generally,ElNinoinsummerofNorthernhemisphereleadstodroughtinSoutheastAsia,whichmeanstheprobabilityofdeclineinpalmoilproductionin2024Q2and2024Q3wouldbecomegreater.Besides,therearesignsofdroughtintheproducingareasofUSsoybeansthisyear,theyieldrateofUSsoybeanislow.Iftheprecipitationhasnotimprovedlater,theyieldofUSsoybeansmaybealsoreducedin2023.玉米Corn月持續(xù)干旱令市場(chǎng)下修美玉米新季單8-9月份小麥替代壓力將充分兌現(xiàn)，飼用玉米需求轉(zhuǎn)弱，加10米價(jià)格或得到一定支撐。國(guó)內(nèi)需求端，下半年傳統(tǒng)旺季需求預(yù)計(jì)好于上半年，飼用9月份達(dá)到需求旺季，或?qū)τ衩仔枨螽a(chǎn)生助推作用。綜合來看，國(guó)內(nèi)市場(chǎng)供應(yīng)壓力主要集中在三季度，主要有小麥替代，稻谷拍賣和進(jìn)口玉米到港增加。四季度進(jìn)口谷物將進(jìn)一步補(bǔ)充供應(yīng)，但是沖擊力難以和小麥替代對(duì)比，國(guó)產(chǎn)新季玉米上市效率能否匹配旺季需求的提升，儲(chǔ)備采購(gòu)動(dòng)態(tài)等將可能決定是否會(huì)有階段性行情反彈。Cornpricemayfirstdeclineandthenriseinthesecondhalf.Internationally,thelastingdroughtinJuneledtothedownwardrevisionofUScornyieldintheupcomingseason.TheweatherbetweenJulyandAugustisthetradefocusinthethirdquarter.Overallglobalcornmarketremainsease.OnChinasupplyside,pressurefromwheatsubstitutioninAugustandSeptembermaybefullyrealized,feedcorndemandwouldturnweak,coupledwiththearrivalofimportedcorn,themarketpricemaydecline.WheatsubstitutionwouldsubduesinceOctober,cornpricesmightgetsomesupport.OnChinademandside,corndemandnormallypeaksinthesecondhalfofthefeedingusageisexpectedtoimprove.FurtherprocessingneedisexpectedtoreachthepeakinSeptember,boostingcorndemand.Overall,wheatsubstitution,riceauctionsandincrementedimportedcornwouldaddpressureonChinacornpricein2023Q3.Importedgrainswilladdsupplyin2023Q4,buttheimpactisincomparablewithwheatsubstitution.Aphasedreboundincornmarketwoulddependonifnewdomesticallygrowncorncouldmeetrisingdemandandinventorypurchasesituation.棉花Cotton2023年下半年，鄭棉期貨價(jià)格存在上漲可能。2021風(fēng)險(xiǎn)關(guān)注下半年進(jìn)口增加及拋儲(chǔ)帶來的供應(yīng)增量。Cottonpricemayriseinthesecondhalfof2023.Demandisrecoveringandinventoryisshrinking.Commercialinventorieshavefallentohistoricallylowlevels,thesupplysituationshiftsfromsurplustoshortage.Althoughthesecondandthirdquartersaretheoff-peakseasonsfordemand,leadingtoadecreaseinthestartuprateoftextilesandanaccumulationoffinishedgoodsbuttheoverallpressureisnotsignificant.Productioncutsinthenextyearandharvestexpectationsmaydriveupcottonprices.Xinjiang'scottonproductionisexpectedtodeclineinthenextyear,combinedwithanexcessofginproduction,arushforharvestislikelyinevitable.Also,therisencostofplanting(comparedto2021)wouldsupportseedcottonpurchasepricewhenmassivepurchasebegins.Risks:apotentialincreaseinimportsin2023H2andanincrementalsupplyfrompotentialstoragerelease.102.5102.0101.5101.0100.5100.0數(shù)據(jù)來源：Wind中信期貨研究所2022/07/01 102.5102.0101.5101.0100.5100.0數(shù)據(jù)來源：Wind中信期貨研究所2022/07/152022/07/292022/08/122022/08/26 2022/09/09 2022/09/23 2022/10/072022/10/212022/11/042022/11/18 2022/12/022022/12/16 2022/12/302023/01/132023/01/272023/02/102023/02/24 2023/03/10 2023/03/242023/04/072023/04/212023/05/052023/05/1923/332023/06/0223/332023/06/16

1：460044004200400038001：4600440042004000380036003400中信期貨研究|CITICFuturesResearch300CFFEXCSI300IndexFuture數(shù)據(jù)來源：Wind中信期貨研究所圖中信期貨研究|CITICFuturesResearch300CFFEXCSI300IndexFuture數(shù)據(jù)來源：Wind中信期貨研究所圖2：103.0中金所五年期國(guó)債期貨價(jià)格走勢(shì)CFFEXCSI300IndexFuture2022/07/292022/08/122022/08/262022/09/092022/09/23附：價(jià)格圖表FuturesPrice附：價(jià)格圖表FuturesPrice2022/10/212022/11/042022/11/182022/12/022022/12/162022/12/302023/01/132023/01/272023/02/102023/02/242023/03/102023/03/242023/04/072023/04/212023/05/052023/05/192023/06/022023/06/162023/06/30750700650600550500450數(shù)據(jù)來源：Wind中信期貨研究所2022/07/01750700650600550500450數(shù)據(jù)來源：Wind中信期貨研究所2022/07/15 2022/07/292022/08/122022/08/262022/09/092022/09/23 2022/10/072022/10/212022/11/042022/11/18 2022/12/022022/12/162022/12/30 2023/01/13 2023/01/272023/02/10 2023/02/24 2023/03/10 2023/03/242023/04/072023/04/21 2023/05/05 2023/05/192023/06/02 24/332023/06/1624/332023/06/30

3：7.17.03：7.17.06.64：800中信期貨研究|CITICFuturesResearch港交所人民幣/美元匯率期貨價(jià)格走勢(shì)HKEXRMB/USDForeignExchangeFuture數(shù)據(jù)來源：Wind中信期貨研究所上期能源原油期貨價(jià)格走勢(shì)INECrudeOilFuture202