中國豆類期貨跨境套利框架ChinaSoybeanFuturesCross-BorderArbitrageFrameworkJanuary

2025目錄CONTENT基Bas本ic概Co念ncepts理The論or基ies礎(chǔ)市Ma場rket析Analy

sis分基本概念Basic

Concep理論基礎(chǔ)Theories

02市場分析Market

Analysis0ts103Click

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tothe

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Content基本概念BasicConcepts1.1

套利

Arbitrage??套利實(shí)際上是一種對沖交易，通常是指利用不同標(biāo)的的價格差異，扣除交易成本，從中獲得價差收益的交易模式。由于收益穩(wěn)定，風(fēng)險相對較小，套利交易目前已經(jīng)成為國際金融市場中的一種主要交易手段。隨著我國期貨市場的規(guī)范發(fā)展以及上市品種的多元化，套利交易已經(jīng)成為一些大機(jī)構(gòu)參與期貨市場的有效手段。??Arbitrage

is

essentiallyahedgingstrategy

that

typically

exploits

pricediscrepanciesamong

different

targets

toearn

profitfromthe

spread,

after

accounting

for

transaction

costs.Arbitrage

hasbecome

amajor

trading

method

in

international

financialmarkets

dueto

itsstable

returns

andrelatively

low

risk.With

the

standardizeddevelopmentanddiversificationof

futures

products

in

China,

ithasalso

become

aneffective

means

forlarge

institutions

toparticipate

in

the

futures

market.豆粕期現(xiàn)套利

Soybeans

Futures-Physical

Arbitrage期現(xiàn)套利

Futures-Physical

Arbitrage菜粕期現(xiàn)套利

Rapeseed

Meal

Futures-Physical

Arbitrage跨期套利

Calendar

SpreadArbitrage盤面壓榨利潤套利

Crushing

MarginArbitrage

InFuturesMarket套利

Arbitrage跨市套利

Cross

MarketArbitrage現(xiàn)貨壓榨利潤套利

Crushing

MarginArbitrage

InSpotMarket進(jìn)口利潤套利

Import

ProfitArbitrage豆菜粕價差套利

SoybeanMeal

-Rapeseed

Spread

Arbitrage油粕比套利

Oil-meal

RatioArbitrage跨品種套利

Cross-Product

ArbitrageSource: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

跨市場套利

Cross

Market

Arbitrage??在兩個或者兩個以上的市場同時建立方向相反的頭寸，以利用不同市場上資產(chǎn)價格的變化差異來賺取低風(fēng)險利潤的投資方式。低成本、同種（有關(guān)聯(lián)的同類）商品、一買一賣、利用相對價格變化獲利。形成跨市套利前提的兩個重要因素，第一，商品是同一種商品，而且具有相同的質(zhì)量品級；食糖、玉米、棉花看國內(nèi)外價差，進(jìn)口由進(jìn)口利潤決定；第二，進(jìn)出口貿(mào)易順暢，不存在限制因素（如進(jìn)出口配額等）??Establishing

offsetting

positionsintwoor

more

markets

to

profit

from

pricediscrepancieswith

lowrisk.

Lowcost、same

orrelated

commodity、buy

andsell、take

advantage

of

relativepricechanges.Twokey

factors

for

cross-market

arbitrage

preconditions:

First,

the

commodity

is

the

same

withidentical

qualitygrade;

asforsugar,

corn,

cotton:

domestic

andinternational

pricespreads

determine

import

profitability.

Second,smooth

import

andexport

trade

without

restrictive

factors

(e.g.,

quotas).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.02R返e回turnT錄oContent目返回目錄

Return

To

Content理論基礎(chǔ)Theories2.1

期現(xiàn)套利成本

Cost

of

Futures-Spot

Arbitrage??國際大豆定價中心在CBOT，中國是世界最大買家，生產(chǎn)企業(yè)、貿(mào)易商能夠在兩個市場完成完整的進(jìn)口套利和套期保值操作。International

Soybean

PricingCenter

is

at

CBOT,

andChina

isthe

world‘s

biggest

buyer,international

anddomestic

producersandtraders

cancomplete

import

arbitrage

andhedgingoperations

in

both

markets.全球大豆產(chǎn)量分布全球大豆進(jìn)口分布Global

Soybean

ProductionGlobal

Soybean

Import巴拉圭美國歐盟27國2.6%0.2%0.7%墨西哥其他其他美國0.0%11.5%巴拉圭23.0%29.1%阿根廷0.0%11.9%歐盟27國8.2%中國61.3%巴西39.4%墨西哥3.8%中國4.8%阿根廷3.4%巴西0.1%美國=

USA；巴西=Brazil；阿根廷=Argentina；墨西哥=Mexico;

歐盟27國=EU

27countries；巴拉圭=Paraguay；其他=OthersSource:Wind,

USDA,

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

大豆提油套利基礎(chǔ)

Soybean

Oil

Extraction

Arbitrage?大豆國內(nèi)市場和國際市場相互聯(lián)動，通過期貨市場進(jìn)行套利和套保，規(guī)避價格波動風(fēng)險，賺取穩(wěn)定盈利。Soybeandomestic

andinternational

markets

areinterlinked,

usingfutures

markets

for

arbitrage

andhedgingto

mitigate

pricevolatility

risks

andearn

stableprofits.?國際市場InternationalMarket期貨市場Future

Market國內(nèi)市場Domestic

Market采購運(yùn)輸倉儲加工銷售SalesPurchaseTransportStorageProcessing歷時3個月3months期間有龐大的管道庫存，包括：During

thisperiod,

there

isasubstantialpipelineinventory,

including:工廠庫存FactoryInventory在途庫存In-transitInventorySource: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

大豆提油套利的基礎(chǔ)

Soybean

Oil

Extraction

Arbitrage鎖定CBOT對應(yīng)合約大豆期貨價格、匯率、港口基差可以計算出對應(yīng)合約（一月、五月、九月）船期按照壓榨公式，計算出對應(yīng)合約的評估國內(nèi)期貨價格相對強(qiáng)弱推算壓榨虧損時折合生產(chǎn)成本推算油脂油料套保成本推算大豆到岸成本盤面壓榨利潤Locking

inCBOTsoybean

futuresprices,exchangerates,andport

basisallows

forcalculating

thelanded

costofsoybeans

forcorrespondingcontractmonths(Jan,May,

Sep).Assess

therelativestrength

ofdomesticfutures

prices.Calculate

thecorrespondingcontract'scrushmarginusing

theEstimateproductioncostswhencrushingis

ataloss.套保基差Estimate

thehedging

costsforoils

andmeals.Calculate

thehedgebasis.crushingformula.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.2.3

大豆現(xiàn)貨采購流程

Soybean

SpotPurchase?大豆現(xiàn)貨貿(mào)易生產(chǎn)環(huán)節(jié)眾多，物流和程序較長。?其中幾個非常重要的關(guān)注點(diǎn)（成本、利潤、升貼水）。??Soybeanspot

trade

hasmany

production

stages

andinvolves

lengthy

logisticsandprocedures.Keyareas

offocus

include

costs,

profits,

andbasisadjustments.SalesPlanPurchase

PlanConfirm

SailScheduleCrush

Margin

FollowPurchasing

OpportunityPriceEnquiryConfirm

Terms&ConditionsSail

Schedule

AdjustmentConfirm

PriceTrack

contract

executionSource: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.2.4

大豆提油套利成本

Soybean

Crush

Cost??完稅價（人民幣/噸）=到岸價格CIF（美元/噸）*1.09（9%增值稅）*1.03（3%關(guān)稅，其中美豆33%）*美元兌人民幣匯率Tax-inclusive

price(CNY/ton)=CIFprice(USD/ton)

*1.09

(9%VAT)

*1.03

(3%customsduty,

33%

forUSsoybeans)

*USD/CNYexchange

rate.??到岸價格（美元/噸）=離岸價格（美元/噸）+海運(yùn)費(fèi)（美元/噸）CIFprice(USD/ton)

=FOB

price(USD/ton)

+ocean

freight

(USD/ton).到岸價格（CNF）離岸價格（FOB）完稅價格到岸價格（CIF）??離岸價格（美元/噸）=（CBOT期貨價格（美分/蒲）+升貼水（美分/蒲））*0.36745（轉(zhuǎn)換系數(shù)）??到岸價格CIF=到岸價格CNF（美元/噸）+保險費(fèi)CIFprice=CNF

price(USD/ton)

+insurance

fee.FOB

price

(USD/ton)

=(CBOT

futures

price

(cents/bushel)

+basis(cents/bushel))

*0.36745

(conversion

factor)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.2.5

大豆提油套利成本

Soybean

CrushMargin進(jìn)口大豆成本

Import

Soybean

Cost壓榨利潤

CrushMargin?進(jìn)口大豆成本=進(jìn)口大豆大船艙底完稅價+100（港雜費(fèi)+短倒費(fèi)）?=產(chǎn)品產(chǎn)出-進(jìn)口大豆成本-壓榨費(fèi)用=豆粕出廠價格*0.79+豆油出廠價格*0.19-進(jìn)口大豆成本-180（壓榨費(fèi)、包裝費(fèi)、財務(wù)費(fèi)）?

Import

SoybeanCost

=

Tax-inclusiveprice

+100?=Product

output

-imported

soybean

cost-crushing

costs

=Soybeanmeal

ex-factoryprice

*0.79

+Soybean

oilex-factoryprice

*0.19-imported

soybeancost-180

(crushing,packaging,

and

financial

costs).關(guān)鍵要素

KeyFactors?

測算的壓榨利潤決定于：CBOT期貨點(diǎn)價，F(xiàn)OB

升貼水，海運(yùn)費(fèi);豆粕銷售價格、豆油銷售價格；生產(chǎn)成本及各項(xiàng)費(fèi)用。?

由于期貨定價時豆粕銷售價格和豆油銷售價格并不確定，油脂廠就用套期保值來采購并鎖定壓榨利潤。?

The

calculated

crushingmargin

dependson:

CBOTfutures

pricing,

FOBbasis,

ocean

freight;

soybean

meal

sales

price,soybeanoilsalesprice;production

costs

and

various

fees.?

Sincethemeal

and

oilsalespricesareuncertain

atthe

timeof

futures

pricing,

oilmills

use

hedgingto

secure

purchases

and

lockincrushing

margins.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.2.6

大豆提油套利升貼水

Soybean

CrushPremium公式

Formula??升貼水（期現(xiàn)基差）＝現(xiàn)貨價格－期貨價格。Premium=

spotprice-

future

price定義

Definition影響因素

Factors基差主要包括運(yùn)費(fèi)、運(yùn)輸期內(nèi)的倉儲、裝運(yùn)等費(fèi)用。受供求狀況（天氣與產(chǎn)量、市場需求量，匯率因素，稅收政策，碼頭狀況等）影響。還受大豆品質(zhì)影響。各地的基差也是每天變化。??現(xiàn)貨升貼水也稱為期現(xiàn)基差（BASIS

ORPREMIUM），指某一特定地點(diǎn)的現(xiàn)貨價格與當(dāng)時同種商品臨近交割的期貨合約價格間的差額。??升貼水premiumThedifference

between

thespotpriceat

aspecificlocationand

the

futures

contractpricefor

the

samecommodity

nearing

delivery.Basis

primarily

includes

freight

costs,

storageduringtransportation,

and

loading

fees.Itisinfluenced

by

supplyand

demand

conditions

(weather

and

production,

marketdemand,exchange

rates,taxpolicies,port

conditions,etc.),as

well

asthe

qualityof

soybeans.

Basis

varies

dailyacrossdifferent

locations.特點(diǎn)

Characters??比期貨波動范圍小，僅為幾十美分。一定季節(jié)性規(guī)律，通常播種前和收割季較低。與期貨有時正相關(guān)，有時負(fù)相關(guān)。Fluctuateslessthan

futures,and

has

acertainseasonalpattern,

usuallylower

beforeplanting

and

during

harvest

season.Sometimes

positivelycorrelated,

sometimesnegatively

correlatedwith

futures.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.2.6

大豆提油套利升貼水

Soybean

CrushPremium?中國油廠將期貨多單轉(zhuǎn)單給貿(mào)易商（EFP)，貿(mào)易商借以平掉手中的期貨空頭。在此前后，貿(mào)易商將相應(yīng)數(shù)量的大豆現(xiàn)貨轉(zhuǎn)移給買方。該過程完成后貿(mào)易商手中的大豆現(xiàn)貨多頭和期貨空頭同時平倉了結(jié)。?

Chinese

oil

mills

transfer

futureslong

positions

totraders

viaEFP,allowingtraders

toclose

their

short

futures

positions.

Traderstransfer

thecorresponding

amount

of

physical

soybeans

tothe

buyer.Uponcompletion

ofthis

process,

thetraders'

long

positions

in

physical

soybeans

and

shortpositions

infutures

aresimultaneously

closed

out.?中國油廠接受升貼水報價，并在一定期限內(nèi)購買相應(yīng)數(shù)量的期貨（點(diǎn)價）?

Chinese

oil

mills

accept

thebasis

quote

and

purchase

acorrespondingamount

of

futures

withinacertain

period.?貿(mào)易商計算自己的成本和利潤，確定向中國油廠的升貼水報價，并和中國油廠簽訂出口合同；?

Traderscalculate

their

costs

and

profits,

determine

thebasis

for

Chinese

crushers,

and

sign

export

contracts

withChinese

oilmills.?貿(mào)易商向農(nóng)場主收購大豆，同時在期貨市場賣出相應(yīng)期貨合約進(jìn)行保值，該過程完成后手中持有大豆現(xiàn)貨多頭和相應(yīng)期貨空頭；?

Traderspurchase

soybeans

fromfarmers

and

simultaneously

sellcorresponding

futures

contracts

in

thefutures

market

for

hedging,resulting

in

holding

long

positions

in

physical

soybeans

and

shortpositions

in

futures.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.2.7

現(xiàn)貨套利總結(jié)

Arbitrage

with

SoptSummary鎖定CBOT對應(yīng)合約大豆期貨價格、匯率、港口基差可以計算出對應(yīng)合約（1月、5月、9月）船期的大豆到岸成本CalculateCIF

For

Soybean

Price,ByLockingCBOT、exchange

Rate

Etc.1、進(jìn)口大豆壓榨利潤計算/Import

Soybean

CrushMargin

Calculation否/No2、是否盈利?

Profitable？是/Yes3、CBOT大豆點(diǎn)價買入/

Long

CBOTSoybean

With

Basis4、DCE豆粕豆油賣出/

Short

Soybean

OilAndMeans

In

DCE5、大豆壓榨成豆粕和豆油/Soybeans

ArePressed

Into

Meal

AndOil6、油粕現(xiàn)貨高于期貨價?Spot

>Futures?否no是yes9、與7或8中豆粕、豆油等銷售量同時空單平倉

CloseTheShort

PositionWhen

Sales7、豆粕豆油現(xiàn)貨銷售

SalesInSpot

Mkt8、豆粕豆油存儲交割

Storage&Delivery10、輪轉(zhuǎn)庫存

Rotating

Inventory12、庫存完結(jié)

Inventory

Ends11、與10中輪轉(zhuǎn)庫存等量期貨合約展期

RollingFuturesContract13、期貨平倉

CloseTheShort

Position14、套利完結(jié)評估

AssessmentSource: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.2.7

現(xiàn)貨套利總結(jié)

Arbitrage

withoutSpot

Summary鎖定CBOT對應(yīng)合約大豆期貨價格、匯率、港口基差可以計算出對應(yīng)合約（1月、5月、9月）船期的大豆到岸成本CalculateCIFForSoybeanPrice,By

LockingCbot、1、進(jìn)口大豆壓榨利潤計算/Import

Soybean

CrushMarginCalculation否

N2、盈利?Profitable?是

Y3、CBOT大豆點(diǎn)價買入/Long

CBOTSoybeanWith

Basis4、DCE豆粕豆油賣出/Short

Soybean

OilAndMeans

inDCEAsImport

CrushingMargins

TurnToLosses,ClosePositionsOnBothSidesSimultaneously.5、雙邊持倉過程至壓榨利潤走弱（套利窗口關(guān)閉），雙邊同時平倉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.03R返e回turnT錄oContent目返回目錄

Return

To

Content市場分析Market

Analysis3.1

利潤復(fù)盤

CrushMargin

Historical

Data?從歷史情況來看，國內(nèi)進(jìn)口大豆壓榨利潤整體處于-500-1500元/噸區(qū)間，2022年達(dá)到峰值，此后呈現(xiàn)出趨勢性回落。?From

ahistorical

review,

the

crushingmargin

of

imported

soybeansfor

Chinese

oilmill

hasgenerallybeenwithin

the

range

of

-500to

1500CNY/ton,

reachingitspeakin2022,

andthen

showing

atrend

of

fallingthereafter.中國油廠壓榨利潤C(jī)hina

Mills’

Crushing

Margin廣東江蘇大連山東天津GuangdongJiangsuDalianShandongTianjin150010005000-500-10002013-01-31

2013-10-31

2014-07-31

2015-04-30

2016-01-31

2016-10-31

2017-07-31

2018-04-30

2019-01-31

2019-10-31

2020-07-31

2021-04-30

2022-01-31

2022-10-31

2023-07-31

2024-04-30Source:

USDA,iFind,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.3.1

利潤復(fù)盤

CrushMargin

Historical

Data???近十年，我國進(jìn)口大豆壓榨利潤變化整體可以分為三階段。1）2013-2020年：國內(nèi)豆油和豆粕供需矛盾并不突出，價格相對穩(wěn)定，進(jìn)口大豆壓榨利潤維持在-500-500元/噸。2）2020年-2022年：由于原油價格大幅上漲，印尼、馬來棕櫚油產(chǎn)量不及預(yù)期，油脂價格持續(xù)上行，國內(nèi)進(jìn)口大豆壓榨利潤中樞明顯上移。?3）2023年-至今：由于全球經(jīng)濟(jì)低迷，原油價格下跌，大豆進(jìn)入增產(chǎn)周期拖累油脂價格，疊加人民幣匯率持續(xù)貶值，國內(nèi)進(jìn)口大豆壓榨利潤呈現(xiàn)趨勢性下滑。??Over

the

past

decade,

the

changes

inChina‘s

imported

soybeancrushingmargin

canbebroadlydivided

intothree

stages.From

2013to

2020:

The

supplyanddemand

contradiction

of

domestic

soybeanoilandmeal

was

not

prominent,

priceswererelativelystable,

andthe

crushingmargin

of

imported

soybeanswasmaintainedat-500

to500CNY/ton.From

2020to

2022:

Dueto

the

significant

increaseincrude

oil

pricesandthe

unexpectedproduction

of

palmoil

inIndonesiaandMalaysia,

the

prices

ofedibleoils

continued

to

rise,

resulting

in

anoticeableupwardshift

in

the

central

tendency

of

China'simported

soybeancrushingmargin.??From

2023to

the

present:

Dueto

the

globaleconomic

downturn,fallingcrude

oil

prices,

andthe

soybeanproduction

cycledragging

down

the

priceof

edible

oils,

coupledwith

the

continuousdepreciationof

the

Chineseyuan,the

crushingprofit

ofimported

soybeansinChinahasshown

atrend

of

decline.Source:

USDA,iFind,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

壓榨利潤季節(jié)性

Seasonality

of

Crushing

Margin?第一季度和第四季度的大豆壓榨利潤明顯強(qiáng)于第二季度和第三季度。主要成因如下：

1）四季度美豆集中上市，原材料的供應(yīng)寬松導(dǎo)致壓榨成本較低；2）四季度和一季度是油脂消費(fèi)的旺季，對于油脂價格有一定支撐；3）一季度油廠的開機(jī)率和壓榨量相對較低，油脂供應(yīng)相對有限。?The

soybeancrushingprofit

inthe

first

andfourth

quarters

is

significantly

stronger

than

inthe

secondandthird

quarters.

Themainreasons

are

asfollows.In

Q4,

U.S.

soybeansenters

the

market,

andthe

amplesupplyof

raw

materials

leadsto

lowercrushingcosts;

Q4

andQ1

arethe

peakseasons

for

edibleoil

consumption,

which

providessome

support

for

oilprices;

the

oilmills'operational

rates

andcrushing

volumesare

relatively

low,

resulting

in

arelatively

limitedsupplyof

oils.油廠榨利季度均值全球大豆進(jìn)口分布Average

Quarterly

Crush

ofOil

PlantsGlobal

Soybean

Import元/噸2005-2024元/噸大豆壓榨利潤Yuan/Ton1402000大連山東天津江蘇廣東均值120100806040200DalianShandongTianjinJiangsuGuangdongMean150010005000-500-1000一季度

Q1二季度

Q2三季度

Q3四季度

Q4全年

All

Year2020/062021/01

2021/08

2022/032022/10

2023/052023/12

2024/07Source:Wind,

USDA,

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

壓榨利潤季節(jié)性

Seasonality

of

Crushing

Margin?在豐產(chǎn)年份期間，美豆壓榨利潤通常處于-300-600元/噸區(qū)間，南美大豆利潤通常處于-600-400元/噸區(qū)間，美豆的壓榨利潤整體高于南美大豆，導(dǎo)致這種原因的差異在于升貼水的不同。?Duringyearsof

abundant

harvest,

the

crushingprofit

for

U.S.soybeanstypically

fallswithin

the

range

of

-300

to

600CNY/ton,while

the

profit

for

South

Americansoybeansusuallyfallswithin

the

range

of-600

to

400CNY/ton.

The

overall

crushingprofit

forU.S.

soybeansishigherthan

that

for

SouthAmerican

soybeans,andthisdifference

is

primarily

attributed

to

the

variations

inbasisdifferentials.美豆、南美豆榨利季節(jié)性Seasonality

ofUS

Soybean

and

South

American

Soybean元/噸

Yuan/Ton美豆榨利季節(jié)性-增產(chǎn)年份

U.S.

Soybean元/噸

Yuan/Ton

南美豆榨利季節(jié)性-增產(chǎn)年份

SouthAmerican

Soybean2013

年2014

年2016

年2024

年2013

年2014

年2016

年2024

年700600500400300200100060040020002020

年2021

年2020

年2021

年-200-400-600-800-100-200-300-400第1周

第5周

第9周

第13周第17周第21周第25周第29周第33周第37周第41周第45周第49周第53周第1周

第5周

第9周

第13周第17周第21周第25周第29周第33周第37周第41周第45周第49周第53周Source:Wind,

USDA,

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

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attention,

receipt,

orreading

ofthe

content

ofthis

report.3.2

壓榨利潤季節(jié)性

Seasonality

of

Crushing

Margin?在減產(chǎn)年份，我國進(jìn)口大豆壓榨利潤會呈現(xiàn)一定程度下滑，核心原因在于成本下降對于產(chǎn)成品價格的拖累。其中，進(jìn)口美豆壓榨利潤通常在-500-400元/噸區(qū)間，進(jìn)口南美大豆壓榨利潤通常在-800-400元/噸區(qū)間。?In

yearsof

reduced

production,

the

crushing

profit

of

imported

soybeansinChina

will

showacertain

degree

of

decline,

with

thecore

reason

beingthat

the

reduction

incosts

drags

down

the

pricesof

finishedproducts.

Among

them,

the

crushingprofit

ofimported

U.S.

soybeansis

usuallyinthe

range

of-500

to

400CNY/ton,

andthe

crushingprofit

of

imported

SouthAmericansoybeansisusually

inthe

range

of-800to

400CNY/ton.美豆、南美豆榨利季節(jié)性Seasonality

ofUS

Soybean

and

South

American

SoybeanYuan/Ton元/噸美豆榨利季節(jié)性-減產(chǎn)年份

U.S.

Soybean元/噸Y