(1) Index Futures

Rolling Data for Short Hedging during the Statistical Period

The optimal rolling contract is IF2103, and the annualized rolling cost is 4.68% to 4.97%;

The optimal rolling contract is IH2103, and the annualized rolling cost is 0.73% to 2.09%;

The optimal rolling contract is IC2103, and the annualized rolling cost is 12.37% to 13.28%.

Rolling Data for Long Hedging during the Statistical Period

The optimal rolling contract is IF2010, and the annualized rolling cost is 5.29% to 6.21%;

The optimal rolling contract is IH2012, and the annualized rolling cost is 0.77% to 2.83%;

The optimal rolling contract is IC2010, and the annualized rolling cost is 13.71% to 20.92%.

Basis

Annualized discount rate for the current season contract of IF was 7.37% last Thursday, which is potential gains for long position and potential losses for short positions;

Annualized discount rate for the current season contract of IH was 3.73% last Thursday, which is potential gains for long position and potential losses for short positions;

Annualized discount rate for the current season contract of IC was 17.81% 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 0.244 point to 0.353 point;

The market impact cost for the current month contract of IH is 0.251 point to 0.341point;

The market impact cost for the current month contract of IC is 0.365 point to 0.525 point.

Tick Level Volume Distribution

The volume distribution for the current month contract of IF last Thursday: volume of 1 lot accounted for 21.05%; volume above 2 lots accounted for 45.43%;

The volume distribution for the current month contract of IH last Thursday: volume of 1 lot accounted for 27.21%; volume above 2 lots accounted for 18.27%;

The volume distribution for the current month contract of IC last Thursday: volume of 1 lot accounted for 20.83%; volume above 2 lots accounted for 45.89%.

(2) Treasury Bond Futures

Basis & IRR

The basis for T2012 last Thursday was 1.1770 yuan, the IRR was -0.7861%;

The basis for TF2012 last Thursday was 0.2383 yuan, the IRR was 1.2411%;

The basis for TS2012 last Thursday was 0.1712 yuan, the IRR was 2.0747%.

Expected Value of Delivery Option

The expected value of delivery option for T2012 last Thursday was 0.4992;

The expected value of delivery option for TF2012 last Thursday was 0.2298;

The expected value of delivery option for TS2012 last Thursday was 0.0415.

Curve

As of last Thursday, the Beta1 was -1.1850, and the weekly average was -1.1471.

The spread between 10-year and 5-year contracts was 7.79bp and 0.79bp lower from the previous week, the spread between 5-year and 2-year contracts was 20.24bp and 3.98bp lower from the previous week, and the spread between 10-year and 2-year contracts was 28.03bp and 4.77bp lower from the previous week.

Tick Level Volume Distribution

The volume distribution for T2012 last Thursday: volume of 1 lot accounted for 3.00%; volume above 10 lots accounted for 0.25%;

The volume distribution for TF2012 last Thursday: volume of 1 lot accounted for 1.53%; volume above 10 lots accounted for 1.55%;

The volume distribution for TS2012 last Thursday: volume of 1 lot accounted for 3.79%; volume above 10 lots accounted for 1.77%.

Sino-US Spread

The spread between 10-year and 1-year US Treasury Bonds last Thursday was 63.30bp and increased by 9.12bp from the previous week.

The Sino-US spread of 10-year Treasury Bonds was 230.68bp last Thursday and decreased by 3.83bp from the previous week.

The spread of US 5-year corporate bonds was 129.48bp last Wednesday and increased by 0.82bp from the previous week; The spread of BB grade corporate bonds was 322.16bp and decreased by 19.83bp from the previous week.