Index Futures

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

The optimal rolling contract is IF2012, and the annualized rolling cost is 0.27% to 2.90%;

The optimal rolling contract is IH2012, and the annualized rolling cost is 0.11% to 2.05%;

The optimal rolling contract is IC2012, and the annualized rolling cost is 5.46% to 8.85%.

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

The optimal rolling contract is IF2007, and the annualized rolling return is 2.42% to 4.99%;

The optimal rolling contract is IH2007, and the annualized rolling return is 0.78% to 4.36%;

The optimal rolling contract is IC2007, and the annualized rolling return is 6.67% to 9.68%.

(3) Basis:

Annualized discount rate for the current quarter contract of IF was 7.63% last Thursday, which is potential gains for long position and potential losses for short positions;

Annualized discount rate for the current quarter contract of IH was 6.19% last Thursday, which is potential gains for long position and potential losses for short positions;

Annualized discount rate for the current quarter contract of IC was 9.70% last Thursday, which is potential gains for long position and potential losses for short positions.

Treasury Bond Futures

(1) Basis & IRR:

The basis for T2009 last Thursday was 0.7404 yuan, the IRR was -1.1375%;

The basis for TF2009 last Thursday was 0.2136 yuan, the IRR was 1.1479%;

The basis for TS2009 last Thursday was 0.166 yuan, the IRR was 1.6722%.

(2) Expected Value of Delivery Option:

The expected value of delivery option for T2009 last Thursday was 0.4791;

The expected value of delivery option for TF2009 last Thursday was 0.1598;

The expected value of delivery option for TS2009 last Thursday was 0.1678.

(3) Curve:

As of last Thursday, the Beta1 was -1.3717, and the weekly average was -1.4267.

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 5.1bp, -16.2bp, -11.1bp respectively. Due to stock market adjustments, the yields of medium and long-term treasury bonds have dropped significantly. The 2-year treasury bond yield has fallen slightly because the capital interest rate has not fallen. The yields of 2-year, 5-year, and 10-year treasury bonds during the past week rebounded by 1.07, 1.62, and -6.00bp, respectively.

(4) Tick Level Volume Distribution:

The volume distribution for T2009 last Thursday: volume of 1 lot accounted for 16.31%; volume above 10 lots accounted for 8.09%;

The volume distribution for TF2009 last Thursday: volume of 1 lot accounted for 13.96%; volume above 10 lots accounted for 2.76%;

The volume distribution for TS2009 last Thursday: volume of 1 lot accounted for 6.19%; volume above 10 lots accounted for 1.14%.

(5) Sino-US Spread:

The spread between 10-year and 1-year US Treasury Bonds last Thursday was 47.98bp and increased by 0.33bp from the previous week.

The Sino-US spread of 10-year Treasury Bonds was 234.02bp last Thursday and decreased by 12.03bp from the previous week, mainly because China’s treasury bond yields have dropped significantly.

The credit spread of US 5-year corporate bonds decreased by 2.7bp from the previous week to 138.19bp; The spread of BB grade corporate bonds decreased by 20.6bp from the previous week to 390.01bp, 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.