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Weekly Data on Index Futures and Treasury Bond Futures 20200713

Fang submitted 2020-07-13 16:47:34

Basis & IRR

The basis for T2009 last Thursday was 0.6038 yuan, the IRR was 0.0219%;

The basis for TF2009 last Thursday was 0.2429 yuan, the IRR was 1.1305%;

The basis for TS2009 last Thursday was 0.2716 yuan, the IRR was 1.2172%.

Expected Value of Delivery Option

The expected value of delivery option for T2009 last Thursday was 0.9313;

The expected value of delivery option for TF2009 last Thursday was 0.2001;

The expected value of delivery option for TS2009 last Thursday was 0.1500.

Curve

As of last Thursday, the Beta1 was -1.5394, and the weekly average was -1.5717.

The spread between 10-year and 5-year contracts was 10.2bp lower from the previous week, the spread between 5-year and 2-year contracts was 8.9bp higher from the previous week, and the spread between 10-year and 2-year contracts was 1.3bp lower from the previous week.

Tick Level Volume Distribution

The volume distribution for T2009 last Thursday: volume of 1 lot accounted for 16.32%; volume above 10 lots accounted for 4.89%;

The volume distribution for TF2009 last Thursday: volume of 1 lot accounted for 11.97%; volume above 10 lots accounted for 1.77%;

The volume distribution for TS2009 last Thursday: volume of 1 lot accounted for 5.85%; volume above 10 lots accounted for 1.52%.

Sino-US Spread

The spread between 10-year and 1-year US Treasury Bonds last Thursday was 47.65bp and decreased by 4.82bp from the previous week.

The Sino-US spread of 10-year Treasury Bonds was 246.05 bp last Thursday and increased by 27.18bp from the previous week.

The spread of US 5-year corporate bonds was 140.93bp last Wednesday and decreased by 7.9bp from the previous week; The spread of BB grade corporate bonds was 410.56bp and decreased by 24.9bp from the previous week. The spreads remain significantly higher than normal level (90bp200bp) of January to February 2020, and the impact of the epidemic on corporate credit is still relatively large


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