On June 12, 2065438, the No.20 standard rubber, which followed the international pace in the last issue, was approved as a specific futures product by the CSRC. On August 12, 2065438, No.20 rubber will be officially listed and registered in Shanghai International Energy Exchange Center. This paper is based on the draft domestic rubber contract No.20 and the listed Japanese rubber and new rubber contracts and transaction data.

Core point of view:

Listing impact:

1. Domestic industrial upgrading and transformation, import consumption growth and international influence enhancement.

2. Arbitrage pattern change, pattern diversification and accelerated regression of spot spread.

3. The functions of price discovery and hedging have been strengthened.

4. Hujiaoru's positions and capital transfer have increased the delivery pressure in recent months, and the long-term industrial structure tends to be rationalized.

Investment risks and strategic suggestions;

At present, the warehouses to be delivered for No.20 glue are located in Qingdao, Shanghai, Ningbo and other places. At the initial stage of listing, it is necessary to pay attention to whether the delivery warehouse capacity can cope with the improvement of market liquidity, price deviation caused by speculation, arbitrage opportunities of price differences between different varieties and the actual value of delivery products under quality restrictions. For the investors of Hujiao, the listing of No.20 rubber is earlier than the delivery of Hujiao 09 contract, and the transfer of capital position will amplify the warehouse receipt pressure, so the 09 contract can only digest the higher warehouse receipt through the direct decline of price or the expansion of the far-month spread. At present, the 09 contract does not have the basis for a sharp rebound under greater pressure. But after listing, it is good for the whole natural rubber industry. The output of all latex new rubber is low this year, and the delivery pressure of 0 1 contract in the future is small. Yuan Yue Hujiao may have a benign rebound when the market is gradually unwinding, so it is necessary to adjust the strategy in time according to market changes, and we can still pay attention to the strategy of 9- 1 hedging before delivery. At the same time, we can pay attention to the new cross-variety arbitrage opportunities brought by the price difference of all latex standard glue.

I. Properties of No.20 Glue

No.20 glue technology

The raw materials of natural rubber are all produced from rubber trees, but the raw materials and processing technology used in different rubber products are very different. Standard rubber is classified according to impurity content, initial plastic value, plastic retention rate, nitrogen content, volatile matter, ash content and color index. The main classification is 5L, 5 10, 20, 50, in which impurity content is the leading index. At present, the delivery WF of Hujiao is similar to that of No.5 standard glue.

The main production processes of No.20 glue are: 1, raw material collection, full oxidation storage, 2, crushing, washing, indentation, 3, granulation, 4, weighing, forming, sampling, 5, conveying and packaging, tray forming, etc.

The main differences are:

Source: Qinrex South China Research.

The raw material of No.20 glue is mostly cup glue, while the raw material of all latex SCRWF produced in China is mainly glue. When the standard rubber processing factory produces No.20 rubber with rubber cups as raw materials, it reports the purchase price of raw materials according to the market situation, buys rubber cups from rubber farmers or secondary vendors, and puts them in the yard to dry and put them in storage (usually 15-30 days) to fully oxidize the rubber cups and make the indicators of the produced rubber more uniform.

In terms of quality, the quality of No.20 standard rubber produced in China is slightly lower than that of major producing countries such as Thailand, mainly due to the influence of raw materials and processing environment. The general market thinks that the quality of mainstream No.20 standard glue is similar to SMR20 and higher than STR20 of SIR20.

Comparison of supply and demand of No.20 glue

On the supply side, Yunnan and Hainan, the main producing areas in China, mainly produce all the latex for delivery, and the output of No.20 standard rubber is very small. Compared with the domestic total output of nearly 800,000 tons per year, the output of No.20 standard rubber is only about 6.5438+0.2 million tons. Among them, the output of Hainan Agricultural Reclamation is about 30,000 tons, that of Hainan private rubber factory is about 50,000 tons, that of Sinochem International is about 30,000 tons, and other dispersed production capacity is1-20,000 tons. However, the annual output of all latex SCRWF in China exceeds 500,000 tons. At the same time, worldwide, the output of 18 natural rubber is about140,000 tons, of which 63% of natural rubber is No.20 standard rubber, which is about 8.74 million tons, and the proportion of domestic production is very low.

The main reason is that the climate and production environment are different from those of the main producing countries in Southeast Asia, and the long-term dry conditions are average. At the same time, due to the high spot price of futures premium, most of the production capacity is used to produce all the delivered latex for profit, which is also the main reason for the continuous rise of futures warehouse receipts in recent years. Coupled with the recent deepening of environmental protection policy, the pollution caused by partial production of No.20 glue can no longer meet the current environmental protection requirements. So most of the domestic standard adhesives are imported. Mainly imported from Thailand, Malaysia and Indonesia, namely STR20, SMR20 and SIR20.

Import situation of standard rubber

Source: Wind South China Studies

The quantity of standard rubber imported by China from major producing countries

Source: Wind South China Studies

On the demand side, there are some disadvantages in the initial plastic value and plastic retention rate of the current delivery product SCRWF. It used to be used on bias rubber tires or some high-quality tires of high-quality brands. But at present, most of the tires on the market are radial tires, and all latex not only has mismatched performance, but also has relatively poor cost performance. At present, it is mainly used in the production of rubber products.

With the continuous development and productivity improvement of tire enterprises in China, the consumption of natural rubber is also increasing year by year, but the import of standard rubber has not increased significantly. The main reason is the sudden emergence of mixed rubber. For example, adding 2.5% synthetic rubber and additives on the basis of No.20 standard rubber has a relative advantage in tax rate and arbitrage, and its greatly increased imports make up for part of its use. Last year, the import of standard rubber was about 6.5438+0.7 million tons, and the import of mixed rubber was close to 2 million tons. It is believed that as one of the most important raw materials that downstream tire enterprises can produce and use, the import volume of No.20 rubber will increase greatly after the futures market.

Comparison between domestic natural rubber consumption and imported standard rubber quantity

Source: Wind South China Studies

Second, the comparison of similar markets

Comparison of contracts between the three major exchanges

Tokyo Commodity Exchange 10 was officially listed on 9 October 20 18, 18. After half a year's operation, some data are provided for domestic investors' reference. At present, the listing of domestic No.20 glue is approaching. From the draft, we can make a comparison and reference for the varieties listed in China in the future. Judging from the contracts of the three major exchanges, the newly listed contract of TOCOM is similar to its original RSS3, with the same trading unit and pricing method. However, the delivery method of TSR20 is closer to SGX, and it is FOB port delivery, which is more convenient and free than domestic bonded delivery measures, and adopts Thai standard STR20 as the delivery product, which is more oriented to the international market. Judging from the information provided in the last draft contract of No.20 standard rubber, it is very close to the listed crude oil futures.

The bonded delivery denominated in RMB is in line with the advantages of the largest natural rubber importing country's own environment, and is also of great help to strengthen the pricing power of rubber in the international market. It should be noted that after listing on the 20th, if it meets the needs of the industry, more enterprises will use futures tools to serve their production and operation, and the import volume of the 20th rubber may increase substantially. At present, the possible bonded delivery mode is to require the use of No.20 glue as the delivery target of futures delivery in the designated delivery warehouse under bonded supervision. Whether the storage capacity and quantity of the delivery warehouse can meet the rapidly growing trading demand in the initial stage of listing needs attention. Once the storage capacity is insufficient, the delivery risk may occur if the number of registered warehouse receipts is insufficient.

On the other hand, the three contracts are all continuous contracts, which can reduce the risk of fluctuation of interest rate difference during the period. The long-term high premium situation was broken under the expectation of continuous contracts. The intertemporal spread of 9- 1 this year has narrowed to more than -700. At the same time, the delivery products are similar, with a high degree of internationalization, and there are also night trading. Therefore, the night trading of Japanese rubber will bring additional information guidance to domestic investors, and investors need to pay attention to it in time. Judging from the data of Japanese rubber trading, there are few contracts in recent months, mostly based on the hedging needs of enterprises themselves. At the initial stage of listing, the most active contract was TSR20J 1904 contract, with about 700 contracts per day and positions of about 1700 contracts, which was not active compared with RSS3 contract.

The difference is that the most active standard rubber contract of SICOM in the same period is the contract of 65438+February, with a daily turnover of over 4000 lots, which is different from other rubber contracts in China and Japan at present, and may have a certain impact on some investors who arbitrage in the future. At present, the import and export of standard rubber in the market is mainly priced at the premium of SICOM futures price, while Singapore itself consumes little standard rubber. It is believed that the domestic No.20 standard glue will attract a large number of overseas traders to participate in domestic market transactions in the future.

Comparison of contracts between the three major exchanges

Source: Wind South China Studies

Main differences between No.20 glue and Shanghai glue contract

Net price transaction: No.20 rubber contract adopts the net price transaction mode, and the contract quotation is tax-free, regardless of import tariff or value-added tax, and its main anchor price is the import benchmark price. At present, the corresponding target of Hujiao quotation is usually the full latex tax-included price (another delivery product rss3 is not considered for the time being), and the VAT rate is 9%. When calculating the reasonable price difference between the two, the influence of tax should be considered.

Delivery mode: Although all the goods are delivered in kind, bonded delivery is also introduced into the general warehouse delivery mode of No.20 glue. Bonded delivery refers to the physical delivery method with the goods contained in the futures contract as the delivery target in the bonded supervision area or bonded supervision place. At the same time, the delivery requirements must be certified to the No.20 rubber production enterprise that meets the requirements of the exchange. At present, the specific production enterprises have not been announced. The annual production capacity of China's No.20 rubber can reach more than 50,000 tons, and there are not many enterprises whose output is not less than 30,000 tons in the last two years. Still dominated by large state-owned enterprises.

Warehouse receipt: the validity period of domestic natural rubber (SCRWF) corresponding to Hujiao in the warehouse is the last delivery month of the second year of the production year, and the goods beyond the validity period are converted into spot. If the domestic natural rubber produced in that year is used for physical delivery, it shall be put into storage before June (excluding June) of the following year at the latest, and shall not be used for delivery after the deadline. The warehouse receipt corresponding to No.20 glue is valid from the month of production 12 months. The production date of No.20 glue for physical delivery shall not exceed 30 days, and it shall be put into storage within 90 days after the production date. After maturity, it shall not be used as a bonded delivery warehouse receipt. Based on this warehouse receipt standard, the off-season of No.20 rubber production in the main producing country may have an impact on the warehouse receipt quantity of individual contracts, and investors need to distinguish it when listing and trading.

Margin: The minimum trading margin for the main contract of Hujiao is 9%, which is increased to 10% one month before delivery. The minimum trading margin of No.20 rubber contract is 7% from the date of listing, and it rises to 10% after the first month before delivery, to 15% after delivery and to 20% in the last three trading days. In daily transactions, the overall capital cost of No.20 glue will be relatively low.

At the same time, the crude oil warehouse receipt and No.20 standard rubber warehouse receipt in the account can offset the deposit of their respective varieties (only 80% of the value of bonded warehouse receipts can offset the deposit).

Account: Traders of No.20 glue need to re-open an account in the previous energy center, and investors with experience in crude oil trading can directly participate. The deposit in the account must be more than 654.38 million yuan or equivalent in foreign currency. It takes at least 10 trading days to open an account, and there are more than 20 simulated transactions of domestic futures options or more than 10 transactions of overseas futures options in the last three years.

New regulations:

Different from the current position system of Hujiao, No.20 Rubber requires individual customers to hold 0 lots after the closing of the eighth trading day before the last trading day.

After closing the position on the third trading day before the last trading day, the position sold shall not exceed the number of standard warehouse receipts held by it, otherwise the position will be closed. It may have a certain impact on spot arbitrage and hedging practice.

Price difference analysis

From the comparison of the import price difference between Hujiao and No.20 glue, it can be seen that the delivery cost of No.20 glue as an imported commodity is discounted for a long time when the import cost is calculated by the price increase of bonded warehouse. At present, the price of RMB warehouse in the bonded area is about 9700, and the premium of the whole latex is only about 800. According to historical statistics, the premium of the whole latex is usually maintained at 1200-2000. If there is a discount on the rubber, it means that the short-term rubber is relatively underestimated or the standard rubber is relatively overvalued, which can be used as a reference to analyze the feasibility of cross-variety arbitrage of No.20 rubber after listing in China. At the same time, the bonded delivery mode adopted by domestic No.20 glue does not need to consider the tariff cost, and it is more international, which may bring opportunities for cross-market arbitrage with other exchanges. Because the raw materials used for all latex are mostly glue, and the raw materials used for producing standard glue are mostly cup glue, the reasonable price difference between them is about 1 100- 1300 in terms of raw material cost, processing cost and tax difference.

Source: Wind South China Studies

It has been more than half a year since the No.20 rubber contract of Dongshang Institute was listed. Judging from the spot price and actual transaction situation, unlike the current high premium of Hujiao, the contract of No.20 glue between SICOM and TOCOM is discounted relative to the spot most of the time. What needs to be vigilant is that futures prices are prone to deviate in the initial stage of listing. For example, at the beginning of TOCOM's listing, the price of No.20 glue contract was around 163 yen, while the price of RSS3 in the same market was only 3-4 yen higher than that of No.20 glue contract. Judging from the nature and cost of their own delivery, the price difference between Thailand FOB Bangkok RSS3 and STR20 is about 12 yen/kg, which is extremely unreasonable at the initial stage of listing. We can also clearly see the trend in the next two weeks. TSR20J fell rapidly in two weeks, with a drop of more than 8% as of June 10. This highly internationalized futures product tends to be close to the spot market and follow the actual value of commodities. Therefore, investors still need to calmly look at the price deviation caused by speculation in the initial stage of domestic No.20 glue listing, and seek arbitrage opportunities according to the actual and reasonable price difference range.

Price changes of Tokyo rubber in the early stage of listing

Source: Wind South China Studies

At present, the domestic No.20 rubber futures contract is still seeking to be revised, and the quality standards of delivery products and deliverable brands may still change. It is planned to select No.20 standard rubber produced in China, Thailand, Indonesia, Malaysia, Laos and other countries as registered commodities. Comparatively speaking, Thailand, as an old rubber producer, STR20 performed better, which was similar to 97 10. However, in practical use, SIR20 is prone to delamination at the edge of carcass cord, and its application performance in steel cord compound is relatively poor. Compared with SMR20, STR20 has its own advantages. STR20 has better calendability and SMR20 has better stability, so the price difference between them is often repeated, and the overall difference is not big. However, the price of SIR20 is relatively low for a long time. After the release of specific domestic delivery standards, it is necessary to calculate the actual spot delivery cost according to the actual situation of the delivery target. It is estimated that in the actual delivery process: STR20 is the same as SMR20, slightly higher than SIR20.

The price difference between STR20 and SMR20

Source: Wind South China Studies

Spread between STR20 and SIR20

Source: Wind South China Studies

Three. Pre-judgment on the impact of listing of No.20 rubber and investment suggestions

With the listing of No.20 glue, the domestic industrial structure will change, the relationship between entity enterprises and futures instruments will be closer, and the current hedging arbitrage mode of investors will also change greatly. We expect that it will mainly have the following effects:

1. Domestic industrial upgrading and transformation, import consumption growth and international influence enhancement.

At the upstream end, the consumption of No.20 glue in China is huge, but it mainly depends on imports. At present, the main production capacity of domestic brands (cloud reclamation, wide reclamation, etc.) is delivered. ) is used to produce and deliver all latex. If the No.20 standard glue with greater fluidity and consumption becomes a delivery product, these manufacturers are capable of adjusting the industrial structure and increasing the output of No.20 glue. The production of No.20 standard glue is more in line with the actual demand of the market, and the overall participation of the industry will be significantly improved. The output of all latex delivery products will decline, and the current futures warehouse receipts will also accelerate to enter the spot market to participate in actual production and circulation, and the pressure of long-term high inventory and high warehouse receipts of all latex will be alleviated. At the same time, as a variety of international transactions, overseas investors can even use foreign capital to directly participate in transactions, so more overseas enterprises will refer to the price of domestic futures when pricing, which will increase the bargaining power of china rubber industries in the international market.

2. The arbitrage model has been upgraded, and the spot spread has accelerated.

Under the current variety delivery system, more industrial investors will choose the form of mixed rubber non-standard arbitrage, and hoarding inventory is a common phenomenon of spot arbitrage, which makes the market circulation inventory exceed 6,543,800 tons for a long time. Long-term high water prices have provided huge profits for arbitrageurs, and arbitrage speculators have also had a great impact on futures prices, which is not conducive to the long-term healthy development of the industry. Under the existing delivery system, the warehouse receipts registered in the current year must be converted into cash after the delivery of the last contract in the following year. The huge delivery pressure of 09 contract every year makes the 0 1 contract rise sharply in the following year, but the domestic No.20 rubber will be listed in the form of 1- 12 continuous contract. The first batch of listed contracts are: NR2002, NR2003, NR2004, NR2005 and NR2006, and the delivery target is the standard glue with the best liquidity in the market. Under the continuous contract, the near-far spread will reflect the spot spread, the premium of the forward contract will be greatly narrowed, and the arbitrage space will be narrowed, which will be significantly reflected after the official announcement of the listing of No.20 glue.

Compared with the previous high price difference of more than 3,000, the price difference of 9- 1 narrowed rapidly in early July this year due to the news of the listing of No.20 glue, and once narrowed to a low level of around -650. In the future, the more development direction of spot arbitrage will be to improve the income by forming a variety of strategic combinations through cross-varieties, cross-markets and using options and other tools, and the arbitrage opportunities brought by simple trading will be less and less.

No.20 glue was listed on 18 10.09, and the SGX 20 glue contract is also the main basis for the pricing of standard glue in Southeast Asia. No.20 rubber is listed in China, and there will be six kinds of natural rubber in circulation. However, the bonded delivery mode and delivery target of domestic contracts mainly rely on imported SICOM and TOCOM which are similar to FOB delivery mode, and the linkage between markets is strong. After listing, domestic investors can not only continue to try the main arbitrage modes at present, but also try cross-variety arbitrage of all latex and standard rubber and cross-market standard rubber arbitrage.

Shanghai-rubber price difference trend

Source: Qinrex South China Research.

3. The functions of price discovery and hedging have been strengthened.

According to a recent survey of tire enterprises, most tire enterprises do not use futures tools for hedging, and the downstream market is out of touch with the futures market under the influence of delivery and price. At present, Thai standard, horse standard, Thai mixed, horse mixed, printed standard, 97 10 and other varieties are the main raw materials produced by downstream enterprises. After the listing of No.20 rubber, the raw materials of tire enterprises are directly related to futures varieties, and the demand for hedging will increase significantly. Most enterprises want their profit cash flow to be relatively stable in operation and management, with relatively few speculative elements. At the same time, a large number of domestic standard rubber consumption demand will also promote the price discovery function of No.20 standard rubber futures and better grasp the trend of the spot market.