Index Futures

(1) Rolling Data for Short Hedging during the Statistical Period:

The optimal rolling contract is IF2012, and the annualized rolling cost is 6.46% to 6.70%;

The optimal rolling contract is IH2012, and the annualized rolling cost is 7.16% to 7.47%;

The optimal rolling contract is IC2012, and the annualized rolling cost is 11.59% to 11.88%.

(2) Rolling Data for Long Hedging during the Statistical Period:

The optimal rolling contract is IF2007, and the annualized rolling return is 10.37% to 14.04%;

The optimal rolling contract is IH2007, and the annualized rolling return is 15.17% to 17.90%;

The optimal rolling contract is IC2007, and the annualized rolling return is 14.82% to 15.44%.

(3) Basis:

Annualized discount rate for the next month contract of IF was 14.19% last Thursday, which is potential gains for long position and potential losses for short positions;

Annualized discount rate for the next month contract of IH was 15.97% last Thursday, which is potential gains for long position and potential losses for short positions;

Annualized discount rate for the next month contract of IC was 20.08% last Thursday, which is potential gains for long position and potential losses for short positions.

(4) Market Impact Cost:

The market impact cost for the current month contract of IF is 0.186 point to 0.203 point;

The market impact cost for the current month contract of IH is 0.185 point to 0.263 point;

The market impact cost for the current month contract of IC is 0.261 point to 0.317 point.

(5) Tick Level Volume Distribution:

The volume distribution for the current month contract of IF last Thursday: volume of 1 lot accounted for 26.04%; volume above 2 lots accounted for 32.22%;

The volume distribution for the current month contract of IH last Thursday: volume of 1 lot accounted for 27.01%; volume above 2 lots accounted for 13.29%;

The volume distribution for the current month contract of IC last Thursday: volume of 1 lot accounted for 23.17%; volume above 2 lots accounted for 40.18%.

Treasury Bond Futures

(1) Basis & IRR:

The basis for T2009 last Thursday was 1.1488 yuan, the IRR was -0.3062%;

The basis for TF2009 last Thursday was 1.0645 yuan, the IRR was -0.3686%;

The basis for TS2009 last Thursday was 0.7041 yuan, the IRR was 0.4813%.

(2) Expected Value of Delivery Option:

The expected value of delivery option for T2009 last Thursday was 0.7579;

The expected value of delivery option for TF2009 last Thursday was 0.9048;

The expected value of delivery option for TS2009 last Thursday was 0.5938.

(3) Curve:

As of last Thursday, the Beta1 was -1.9557, and the weekly average was -1.9911.

As of last Thursday, the spread between 10-year and 5-year Treasury Bonds, 5-year and 2-year Treasury Bonds, 10-year and 2-year Treasury Bonds changed by -15.8bp, 3.8bp, 12.1bp respectively. The curve went flat, mainly because the marginal convergence of funds interest rate led to the rebounding in yields of 2-year and 5-year Treasury Bonds by 10.7bp and 14.5bp, while yields of 10-year Treasury Bonds declined by 1.4bp.

(4) Tick Level Volume Distribution:

The volume distribution for T2009 last Thursday: volume of 1 lot accounted for 18.00%; volume above 10 lots accounted for 5.58%;

The volume distribution for TF2009 last Thursday: volume of 1 lot accounted for 16.30%; volume above 10 lots accounted for 2.33%;

The volume distribution for TS2009 last Thursday: volume of 1 lot accounted for 9.50%; volume above 10 lots accounted for 1.18%.

(5) Sino-US Spread:

The spread between 10-year and 1-year US Treasury Bonds last Thursday was 51.97bp and increased by 3.24bp from the previous week.

The Sino-US spread of 10-year Treasury Bonds was 198.5bp last Thursday and decreased by 6.82bp from the previous week, mainly because the yields of US Treasury Bonds rebounded by about 5bp.

The credit spread of US 5-year corporate bonds decreased by 20.21bp from the previous week to 200.17bp last Wednesday; The spread of BB grade corporate bonds decreased by 43.76bp from the previous week to 473.99bp, which remain higher than the level at 90bp and 200bp in January and February this year, and the impact on enterprise credit due to the epidemic cannot be ignored.