中国期货市场半年度展望

目录摘要ABSTRACT 1一、观济MacroEconomy 3中国经济ChinaEconomy 3海外经济OverseaEconomy 4二、融货FinancialFutures 5股指EquityIndex 5国债China'sGovernmentBonds 6人民币率RMBExchangeRate 7三、源工Energy&Chemicals 8原油CrudeOil 8液化石气LiquefiedPetroleumGas 9动力煤ThermalCoal 1011PP&PE 12四、属Metals 13黄金Gold 13铜Copper 14铝Aluminum 15螺纹钢SteelRebar 16铁矿石Ironore 17五、产品Agricultures 18生猪LiveHog 18豆粕SoybeanMeal 19棕榈油PalmOlein 20玉米Corn 21棉花Cotton 22附：格表FuturesPrice 23免责明 32Disclaimer 33一、宏观经济MacroEconomy中国经济ChinaEconomy回顾：一季度中国经济恢复好于预期，但二季度经济增长动能明显减弱。一季度经济表现较好主要因为积压需求的释放。二季度积压需求释放大幅减少，房地产预期有所走弱，而居民消费信心恢复仍然缓慢；因此，经济增长动能明显减弱。Review:Chinaeconomyrecoveredbetterthanexpectedin2023Q1,butthegrowthsloweddownin2023Q2.Thereleaseofbacklogdemandafterpandemicopeningupcontributedtotheinitialrecovery.Theslowdowninsecondquarteraccompaniedwiththedecreasedbacklogdemand,weakenedrealestateexpectation,andslowrecoveryofconsumerconfidence.展望：下半年国内经济下行压力有限，预计政策将适当加力，经济温和复苏。房地产下行压力已经大体释放，当前房地产表现低于政府预期，预计下半年楼市政策支持力度适当加大，房地产投资有望企稳。下半年服务消费有望继续恢复。服务业对就业拉动显著，预计下半年居民收入增长加快，进一步拉动消费修复。海外经济放缓施压出口，下半年中国出口预计总体弱稳。Outlook:SupportivepoliciesmaycontributetothemoderaterecoveryofChinaeconomyin2023H2.Thedownwardpressureonrealestatehasgenerallybeenreleased,butthesectorisstillweakerthanthegovernmentexpectation.Moresupportivepoliciesareexpectedtobeintroducedtohelprevivetheinvestmentinrealestate.Serviceconsumptionispresumedtofurtherrecoverin2023H2,thismaydriveuptheemploymentandacceleratethegrowthofresidents’income,whichwillfurtherpushuptherecoveryofconsumption.WiththeslowdownofoverseaChinaexportsmayremainweakbutrelativelystablein2023H2.海外经济OverseaEconomy回顾上半年美欧经济增长好于预期CPI6月暂停加息。Review:TheeconomicgrowthinUSandEUwerebetterthanexpectedin2023H1.TheeconomicgrowthinUSandEUwerebetterthanexpectedin2023H1.TherecoveringservicesectorinUSandEUcontributedtorelativelygoodemploymentandresilienteconomicgrowth.In2023Q2,theUScoreCPIofservicespeakedandfell,andthedownwardtrendofinflationbecamemorecertain,whichhelpedtheFeddecisiontopauseinterestratehikesinJune.展望势，但相对仍偏高。美联储加息基本接近尾声。加息对经济存在滞后影响，下半年美国经济增长或继续放缓。不过下半年美国服务业有望温和扩张；由于加息接近尾声，高利率对经济的抑制也不会显著加大。欧元区通胀与经济趋势与美国类似，下半年经济增长放缓但或可避免衰退。Outlook:TheeconomicgrowthinUSandEUareexpectedtoslightlyslowdownin2023H2,butrecessionsarelikelytobeavoided.USinflationisinthedownwardtrendbutremainrelativelyhigh.TheFedinterestratehikeoughttobeapproachingitsend.Theinterestratehikehasalaggingimpactontheeconomy;hencetheUSeconomicgrowthmayslowdownin2023H2.However,theUSserviceindustryisexpectedtocontinuetoexpandmoderately,andtheimpactofhighinterestrateontheeconomymaynotsignificantlyincreaseasinterestratehikesgraduallystops.Therefore,theUSeconomyislikelytoavoidarecession.TheinflationandeconomictrendsinEUaresimilartothoseintheUS,witheconomicgrowthslowingdownbutlikelytoavoidarecessionin2023H2.二、金融期货FinancialFutures股指EquityIndex强政策预期遇上弱现实：内需恢复不及预期，市场期待强政策干预。但政策发力空间受城投隐患和中美利差约束，预计稳增长政策可能依托于定向QE。Strongpolicystimulusexpectationmeetssoftfundamentals:Slowerthanexpectedeconomyrecoverydemandsstrongerpolicysupport.However,themagnitudeofstimulusmeasuresisconstrainedbytheriskofLGFVandCN-USTreasurySpread,thepossiblemeasurecouldbeQE".A投资济预期和内需向好。因此，下半年风格偏向主题概念。SpeculativefundsleadtheA-sharemarket,thepricingpowerhasnotyettransferredtoinstitutionalinvestorswiththelackof2catalysts:1)ThedominantstrategychangestoProsperityInvestment,whichisnotsupportedbycurrentmacrogrowth.2)Speculativeforeigncapitalinflows,whicharewaitingforthesignsofupsideeconomyexpectationordomesticdemand.Therefore,theinvestmentstylein2023H2mightstillbeevent-driven.趋势501000。增厚策略关注跨品种套利：低波动率ICIHIMIH。期权策略：配置雪球期权的安全边际较高。strategies1DirectionalLong50andCSI10002Arbitrage:Underlowvolatility,longIC/shortIHorlongIM/shortIH.3)Options:SafetoopenpositionsinSnowballoptions.国债China'sGovernmentBonds2023年下半年债市主线将围绕政策博弈展开。三季度可能基于政策博弈呈现一定调整压力，10Y国债收益率阻力位在2.7-2.75%附近。但此后仍有回落空间，存款利率进一步下调目标位在2.5-2.6%附近。真正反转有待四季度进一步观察。Themainfocusofthebondmarketin2023H2willbeonTheChinabondmarketmaybeunderpressureinQ3.Theresistancelevelofthe10Yrtreasurybondyieldisaround2.7-2.75%.However,furtherratecutsarestillpossible.Thetargetleveloffurtherreductionsinthedepositinterestrateisaround2.5-2.6%.ArealreversalawaitsfurthereconomicrecoveryinQ4.（一）宽货币后宽财政可能性较大，这将给债市带来一定的调整压力。公共财政赤字使用率偏低以及专项债发行放缓，暗示二季度财政发力放缓更多受发力意愿而非发力空间约束。当前发力必要性上升，财政端在三季度发力可能性较大。Thereisahighlikelihoodofexpansionaryfiscalpolicyfollowingaccommodativemonetarywhichcouldexertsomeadjustmentpressureonthebondmarket.TherelativelylowutilizationrateofthepublicfiscaldeficitandthedecelerationintheissuanceofspecialbondsindicatesthattheslowdowninfiscalstimulusinQ2ismoredrivenbythewillingnessofstimulusratherthanconstraintsofthespace.Ascurrentnecessityforstimulushasincreased,strongfiscalstimuluscouldbeexpectedinQ3.（二）融资需求偏弱，贷款利率不具有上行的基础，缓解净息差主要依赖于降低存款利率的形式。未来存贷款利率如果进一步下行也将带动债市利率跟随下行。债市能否真正反转可能取决于四季度经济修复持续性。Financingdemandisweak,andloanratesdonothaveabasisforrising,sothereliefofnetinterestmarginmainlydependsontheformofloweringdepositrates.Ifthedepositandloanratescontinuetofallinthefuture,itwillalsodrivethebondmarketratetodecline.WhetherthebondmarketcantrulyreversemayhavetowaituntilQ4byfurtherobservingthesustainabilityofeconomic人民币汇率RMBExchangeRate展望2023下半年，出口结售汇需求对人民币影响偏中性。利率相对水平影响趋势，风险偏好影响节奏，风险偏好能否落地为实际经济增长决定拐点。Lookingaheadinto2023H2,theRMBisneutrallyimpactedbyexport-relatedforeignexchangedemand.withinterestratesdifferenceinfluencingtheoveralltrend,andriskpreferenceaffectingtradingpace.Theturningpointofthetrenddependsonwhetherriskpreferencecouldberealizedinrealeconomicgrowth.（一PMI下行周期至少延续至（二美国货币政策和利率水20242.6%PCEPI增速预FED（三7.37.1。(1)WithPMIandconsumerconfidencestilldeclining,thePBOCmonetarypolicyandinterestratesmaynotbottomoutuntilQ4.(2)USfinancialstabilityinterestrateisveryresilient,andundertheforecastofa2.6%corePCEPIannualgrowthratein2024,itisdifficulttoinduceaneconomicrecession,hencekeepingthepolicyinterestrateatarestrictivehighlevelisnecessary.(3)TheratesbetweenCNandUScontinuestobedeeplyinverted.ThedepreciationelasticityoftheRMBisgreaterthantheappreciationelasticity,withtheresistancelevelof7.3,andthesupportlevelof7.1.升值风险在于新一轮政策脉冲带动风险情绪快速走高，或将阶段性拉升至7.17.3TheriskofRMBappreciationliesintherapidriseofrisksentimentdrivenbyanewroundofpolicyimpulses,whichmaytemporarilypullUSD/CNYtobelow7.1.WhiledepreciationriskcouldarisefromadovishshiftintheECBduetoacoolingEurozonelabormarket,whichcouldincentiveUSD/CNYbreakthrough7.3.三、能源化工Energy&Chemicals原油CrudeOil下半年原油价格基准预期宽幅震荡。原油供需边际改善提振远端估值，但金融投机情绪偏弱施压近端油价。风险在于极端金融或地缘事件。（一）金融属性：经济放缓施压需求。美国金融条件收紧诱发经济增长担忧，中国经济修复需要更多政策发力。经济下方回落空间有限，但在共振复苏来临前，暂时也缺乏趋势向上动力。（二）政治属性：地缘减产支撑供应。减产挺价。美国石油钻机数量也已持续下降半年，产量增长陷入停滞。美国战略储备库存回购启动，将进一步加强油价底部支撑。（三）商品属性：供需预期动态均衡。全球经济增速放缓预期对油品需求和价供应围绕需求调整，从而维持动态均衡。Crudeoilpriceisexpectedtoremainrange-boundin2023H2.Thefundamentalofcrudeoilhasbeenmarginallyimproving,butpessimisticmacro-economicprospectareputtingpressureonoilpricesatthenearend.Theriskliesintheextremefinancialorgeopoliticalevents.Financialfactorsaddpressureonoilprice.TheslowdownofglobaleconomyandUStighteningcycleledtothenetlongnon-commercialpositiononoilfuturesdroppedtoadecadelowlevel.Currentlyfurtherdownwardspaceislimited,butthemarketsalsolackofmomentumfortheupwardtrendbeforethesynchronousrecoveryofglobaleconomy.Geopoliticalfactorsprovideupwardsupports.OPECandRussiahavecontinuouslyexpandedandprolongedtheproductioncut.USoilrigshavebeendecreasingforsevenmonths,theshaleoilproductiongrowthalsosloweddown.Commodityfactorsimplydynamicbalanceofcrudeoilsupplyanddemand.Theslowdownintheglobaleconomyisexpectedtoputdownwardpressureonoildemand,butOPECandotheroilproducerssupportoilpricesbycuttingproduction.液化石油气LiquefiedPetroleumGas三季度中国液化石油气期货价格预计仍将相对外盘维持偏弱。（一）LPGLPGLPGLPGLPGCP（二）海外进口成本下降，国内供需宽松，国产民用气价格承压。进口成本对国产气价格影响较大。三季度中国汽油预期需求较好，炼厂开工可能维持高位，但燃烧需求季节性淡季渐入，民用气价格季节性承压。（三PG月后修改为每年39ChinaLiquefiedPetroleumGasFuturespricemayremainrelativelyweakcomparedtotheoverseasLPGpricesinthethirdquarter.OverseaLPGpriceisunderpressureduetotheabundantsupplyandlowseasonaldemand.LPGexportsintheMiddleEastandUSwerehigherthaninpreviousyearsinQ2,butglobalLPGburningdemandfacedaseasonaldecline.SaudiArabiasharplylowereditspropane/butanecontractpricesinJuneandThedomesticLPGpricesmayremainunderpressurebecauseoflowerimportcostsandweakfundamentalsinChina.ThedomesticproductionwillremainhighinQ3duetohighrefineryoperatingrates,buttheseasonalLPGcombustiondemandwilldecline.Thenewrulesofwarehousereceiptsaggravatetheweakness.Itisnecessarytopayattentiontothechangeofwarehousereceiptsandmainplayersfuturespositions.动力煤ThermalCoal2023有所缓解，海内外煤炭价格中枢下降，煤炭进口优惠延至年底，预计全年煤炭进口大幅增加。水力发电依旧低迷，火电补充作用凸显。在长协保障、进口煤大量补充的情况下，电厂补库节奏前置，环渤海港口以及电厂库存显著偏高。煤价承压运行。Coalpriceisexpectedtomovedowninthesecondhalfoftheyear.Withgrowingoutputandimportincrement,coaldisplaysasurplusbalancein2023.Withnewcapacityremainshigh,coaloutputcontinuestoAstheenergycrisishaseased,coalpricesabroadhavedeclined,importsareexpectedtoincreasesignificantlythroughouttheHydropowergenerationisstillsluggish,andthermalpowerplaysaprominentroleassupplementation.Inthecaseofplentydomesticlong-termcontractandlargeamountofimportedcoal,powerplantrestockingpaceisfront-loadedandtheBohaiSeaportandpowerplantinventoryissignificantlyhigh.Lookingforwardinto2023H2,asthermalpowerloadingrisesanddemandforpowercoalincreases,thesupplyanddemandofthermalcoalmayimproveduringthesummerandwinterpeakseasons,needtobecautiousofthesqueezeimpactofhydropowerimprovement.Withreliableassociationandlargeimportreplenishment,highinventoriesinthemiddleanddownstreamisdifficulttochangeintheshortterm,andcoalpricesarestillunderpressure.2023PTA（一上半年国内纺服增速较快但出口乏力。10（二月聚酯总出口万吨，同比增长16.5；出口增量上，涤纶长丝出口增加40.762（三PX低国内PX供应增速；另一方面，PTA产出的增加也提升PX需求的扩张。PTA价格弹性大，但是加工费的弹性在降低；另外PTA基差弹性过去两年也明显扩张。（四）PTA价格受成本端变化主导，价格弹性看PX及PXN价差的修复路径；PTA加工费弹性低，建议区间思路对待；PTA基差弹性视供给冲击及库存结构变化。WeholdanoptimisticviewtowardsPTApriceinthesecondhalfof2023.Thedomestictextileandapparelmarketgrewfastwhileexportsremainedweakin2023H1.Asdomesticconsumptionrecoverycontinues,thegrowthrateoftextileandapparelmarketin2023H2mayincreaseto10%Exportisexpectedtoshifttopositivegrowth(YOY)in2023Q4.Polyesterindustryperformedbetterthanexpectation.Domesticcapacityexpansionliftedpolyesterproduction.Polyesterexportalsoexceededexpectations.FromJanuarytotheexportsofpolyesterincreasedby16.5%Polyesterfilamentexportsaccountedfor62%ofpolyesterexportincrement.PXisthekeybetweentheupstreamanddownstreamofOnonehand,thereductionofimportshasloweredthegrowthrateofPXOntheotherhand,theincreaseinoutputaddsuptothePXdemand.Thepriceofislargelyinfluencedbythecost.ProcessingfeeelasticityisThebasisbetweenfuturesandspotpricedependsonthesupplypartandinventorystructure.PP&PE2023（一）价格上行核心驱动，三季度进入下游旺季，低库存或可释放需求弹性，推动价格震（二（三）PEPP654202001397（四）2023九银十或带动聚烯烃价格反弹。四季度随价格修复供应压力增加，届时预期可否刺激产业链补库需求以平衡供应有待观察，目前谨慎乐观。Polyolefinpricesmayreboundinthesecondhalfof2023.Therecoveryofdomesticdemandexpectationisthecoredriver.In2023Q3,thedownstreampeak-seasonandlowinventorymayreleasedemandelasticity.PolicysupportsofChinesegovernmentareontheway;Fed'sinterestratehikeisclosetoanend.Themacroeconomybottomoutmaysupporttheprice.Thesupplypressureofpolyolefinwillstillberelativelyhigh.Intermsofnewproductioncapacity,domesticPEandPPhave0.65millionand4.2milliontons,whileoverseashave2millionand1.39milliontons.Thedomesticstart-upinJulywillincreasesignificantly.Thereboundheightofpolyolefinsmaybelimited.SupportedbyundervaluationandlowpeakdemandseasoninSeptemberandOctobermaydrivethepricerebound.Thesupplypressuremayincreasein2023Q4asthepricegoesup,whichmayleadtotherebalanceofsupplyanddemand.四、金属MetalsGold贵金属在三季度末或有走强机会（一（二6经反映，美联储和美国政府开始关注长期债务和美元信用问题。美国联邦账户目前（三）1900美元/22美元/盎司，汇率端对（1）（）经济走弱&衰退风险。关注非农就业数据和通胀数据带来的波动机会。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.铜Copper下半年铜价或维持震荡走势，重心可能略下移。伦铜大致区间为7600-8800美元，沪铜大致区间6.3-7万元。20233%，8%(2)消费端，海外消费承压，国内铜消费受经济复苏带动，20231.5%3.9%(32023年全球铜市场可能小幅过剩，库存偏低状态延续。投资建议：单边来看，按震荡偏空思路；结构上来看，内外盘滚动参与反套。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.铝Aluminum2700-2900元/16000-19000元/吨区间内承压下行。供应方面，氧化铝增量有限，预计2023年产量达8169万吨，增速2.6%。电20420234183万4.5%43223.2%14233万吨。总体而言，氧化铝需求在电解铝产能加速释放预期下，过剩情况将得以改善，预计下半年氧化铝将维持小幅去库趋势，氧化铝价格或止跌反弹，利润亦有一定改善预期。后续需要继续重点留意云南产能释放进程，消费验证及海外流动性风险。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.螺纹钢SteelRebar下半年钢材价格或呈现N型走势，四季度存在上行空间。我国经济压力加大，后续政策或陆续出台，结构性货币政策、以及基建相关增量工具或值得期待。（一）（二（三供给端：随着钢厂持续复产，钢材预计再度转为供求过剩，三季度钢厂或需主动减产，间接实现粗钢平控目标。进入到四季度，政策或再次加码，钢材产量或根据现实需求情况，以销定产。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.铁矿石Ironore20233.8亿吨，4.5%1.1%2023年下半年铁矿需求仍将下行。供给端，随着新增产能逐步落地，海外供应至中国体量约增加6100万吨左右，3400万吨，因此下半年铁矿供给增量有所下降。总体而言，下半年海内外铁矿需求皆有下行趋势；并且由于能源价格的回落，进口矿成本下移，全球铁矿供需过剩的格局明确。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、农产品Agricultures生猪LiveHog预计生猪价格处于盈亏平衡线附近波动，但不乏阶段性行情。（一）523年年初，叠加生产效（二（三总体来看，今年下半年生猪出栏压力进一步增长，而需求端有旺季支撑，能够承接部分供给增量。我们预计生猪价格将在盈亏平衡线附近波动；考虑到二次育肥的可能性，猪价不排除阶段性上涨。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续。天气或备货等可能带来短期波动，但难改下跌趋势。（一（二23/24年度供需平衡表顺利实现转松。②美干旱升级，美豆盘面保持坚1.6（三）中国进口大豆榨利堪忧，芽麦替代和养殖亏损削减豆粕需求。风险提示：天气；供应增幅有限；需求超预期增长；国际局势恶化，进口受阻。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.棕榈油PalmOlein3季度棕油缺乏持续走强的产业基础，但是天气炒作或使棕油阶段走强。随着20244季度存在上涨的可能。62023/24年北半球的冬季厄尔尼诺将逐渐加强。通常情况下，北半球夏季202423今年美豆产区已有干旱迹象，且美豆优良率偏低，若后期降水条件不能改善，则今年厄尔尼诺条件下的美豆单产或将下调。In2023Q3,palmoilpricelacksthefundamentaldrivetorisetrendy,butweathermaycausethepricetoincreaseoccasionally.In2023Q4,palmoilpricemayhavepotentialtomoveupwardduetotheproductioncutandEINino.BoththeNationalWeatherService(NWS)andtheJapanMeteorologicalAgencyindicatedthatElNinohasalreadyoccurred,andtheNWSexpectsElNinotograduallystrengthenintheNorthernHemispherewinterof2023and2024.Generally,ElNinoinsummerofNorthernhemisphereleadstodroughtinSoutheastAsia,whichmeanstheprobabilityofdeclineinpalmoilproductionin2024Q2and2024Q3wouldbecomegreater.Besides,therearesignsofdroughtintheproducingareasofUSsoybeansthisyear,theyieldrateofUSsoybeanislow.Iftheprecipitationhasnotimprovedlater,theyieldofUSsoybeansmaybealsoreducedin2023.玉米Corn月持续干旱令市场下修美玉米新季单8-9月份小麦替代压力将充分兑现，饲用玉米需求转弱，加10米价格或得到一定支撑。国内需求端，下半年传统旺季需求预计好于上半年，饲用9月份达到需求旺季，或对玉米需求产生助推作用。综合来看，国内市场供应压力主要集中在三季度，主要有小麦替代，稻谷拍卖和进口玉米到港增加。四季度进口谷物将进一步补充供应，但是冲击力难以和小麦替代对比，国产新季玉米上市效率能否匹配旺季需求的提升，储备采购动态等将可能决定是否会有阶段性行情反弹。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，郑棉期货价格存在上涨可能。2021风险关注下半年进口增加及抛储带来的供应增量。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数据来源：Wind中信期货研究所2022/07/01 102.5102.0101.5101.0100.5100.0数据来源：Wind中信期货研究所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中信期货研究|CITICFuturesResearch300CFFEXCSI300IndexFuture数据来源：Wind中信期货研究所图中信期货研究|CITICFuturesResearch300CFFEXCSI300IndexFuture数据来源：Wind中信期货研究所图2：103.0中金所五年期国债期货价格走势CFFEXCSI300IndexFuture2022/07/292022/08/122022/08/262022/09/092022/09/23附：价格图表FuturesPrice附：价格图表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数据来源：Wind中信期货研究所2022/07/01750700650600550500450数据来源：Wind中信期货研究所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中信期货研究|CITICFuturesResearch港交所人民币/美元汇率期货价格走势HKEXRMB/USDForeignExchangeFuture数据来源：Wind中信期货研究所上期能源原油期货价格走势INECrudeOilFuture202