(1) Index Futures

Rolling Data for Short Hedging during the Statistical Period

The optimal rolling contract is IF2103, and the annualized rolling cost is 3.48% to 4.04%;

The optimal rolling contract is IH2103, and the annualized rolling cost is 0.89% to 1.33%;

The optimal rolling contract is IC2103, and the annualized rolling cost is 10.07% to 10.66%.

Rolling Data for Long Hedging during the Statistical Period

The optimal rolling contract is IF2009, and the annualized rolling cost is 4.72% to 6.92%;

The optimal rolling contract is IH2009, and the annualized rolling cost is 1.11% to 3.50%;

The optimal rolling contract is IC2009, and the annualized rolling cost is 11.46% to 13.14%.

Basis

Annualized discount rate for the next month contract of IF was 1.94% 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 1.90% 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 14.08% last Thursday, which is potential gains for long position and potential losses for short positions.

Market Impact Cost

The market impact cost for the current month contract of IF is 0.270 point to 0.371 point;

The market impact cost for the current month contract of IH is 0.284 point to 0.412 point;

The market impact cost for the current month contract of IC is 0.422 point to 0.608 point.

Tick Level Volume Distribution

The volume distribution for the current month contract of IF last Thursday: volume of 1 lot accounted for 21.06%; volume above 2 lots accounted for 47.05%;

The volume distribution for the current month contract of IH last Thursday: volume of 1 lot accounted for 27.71%; volume above 2 lots accounted for 17.48%;

The volume distribution for the current month contract of IC last Thursday: volume of 1 lot accounted for 20.04%; volume above 2 lots accounted for 46.61%.

(2) Treasury Bond Futures

Basis & IRR

The basis for T2009 last Thursday was 0.2592 yuan, the IRR was 0.8373%;

The basis for TF2009 last Thursday was 0.2038 yuan, the IRR was 0.8380%;

The basis for TS2009 last Thursday was 0.0836 yuan, the IRR was 2.0104%.

Expected Value of Delivery Option

The expected value of delivery option for T2009 last Thursday was 1.2170;

The expected value of delivery option for TF2009 last Thursday was 0.3152;

The expected value of delivery option for TS2009 last Thursday was 0.0253.

Curve

As of last Thursday, the Beta1 was -1.3276, and the weekly average was -1.2832.

The spread between 10-year and 5-year contracts was 25.70bp and 1.15bp lower from the previous week, the spread between 5-year and 2-year contracts was 22.43bp and 3.57bp lower from the previous week, and the spread between 10-year and 2-year contracts was 48.13bp and 4.72bp lower from the previous week. Due to the warming of the stock market and stopping profit of some long position, the bond market has declined obviously. In the last week, yields of 10-year, 5-year and 2-year treasury bonds increased by 3.00bp, 4.15bp and 7.72bp, respectively.

Tick Level Volume Distribution

The volume distribution for T2009 last Thursday: volume of 1 lot accounted for 16.09%; volume above 10 lots accounted for 5.15%;

The volume distribution for TF2009 last Thursday: volume of 1 lot accounted for 13.32%; volume above 10 lots accounted for 1.33%;

The volume distribution for TS2009 last Thursday: volume of 1 lot accounted for 5.50%; volume above 10 lots accounted for 1.48%.

Sino-US Spread

The spread between 10-year and 1-year US Treasury Bonds last Thursday was 43.71bp and decreased by 0.58bp from the previous week.

The Sino-US spread of 10-year Treasury Bonds was 237.98 bp last Thursday and increased by 4.92bp from the previous week, the US Treasury yields have dropped and domestic Treasury yields have risen,

The spread of US 5-year corporate bonds was 128.84bp last Wednesday and increased by 0.23bp from the previous week; The spread of BB grade corporate bonds was 330.59bp and decreased by 10.70bp from the previous week. Credit spreads remain significantly higher than normal level (90bp、200bp) in January and February this year, and the default risk cannot be ignored.