(1) Index Futures

Rolling Data for Short Hedging during the Statistical Period

The optimal rolling contract is IF2103, and the annualized rolling cost is 5.16% to 6.85%;

The optimal rolling contract is IH2013, and the annualized rolling cost is 2.65% to 3.44%;

The optimal rolling contract is IC2103, and the annualized rolling cost is 12.75% to 13.37%.

Rolling Data for Long Hedging during the Statistical Period

The optimal rolling contract is IF2010, and the annualized rolling cost is 6.29% to 7.76%;

The optimal rolling contract is IH2010, and the annualized rolling cost is 3.55% to 4.81%;

The optimal rolling contract is IC2010, and the annualized rolling cost is 14.07% to 15.35%.

Basis

Annualized discount rate for the current season contract of IF was 7.56% 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 4.72% 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 14.94% 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 0.259 point to 0.290 point;

The market impact cost for the current month contract of IH is 0.269 point to 0.318 point;

The market impact cost for the current month contract of IC is 0.373 point to 0.446 point.

Tick Level Volume Distribution

The volume distribution for the current month contract of IF last Thursday: volume of 1 lot accounted for 19.27%; volume above 2 lots accounted for 52.01%;

The volume distribution for the current month contract of IH last Thursday: volume of 1 lot accounted for 27.00%; volume above 2 lots accounted for 20.57%;

The volume distribution for the current month contract of IC last Thursday: volume of 1 lot accounted for 17.44%; volume above 2 lots accounted for 54.36%.

(2) Treasury Bond Futures

Basis & IRR

The basis for T2012 last Thursday was 0.5909 yuan, the IRR was 0.8669%;

The basis for TF2012 last Thursday was -0.0376 yuan, the IRR was 2.2063%;

The basis for TS2012 last Thursday was 0.0013 yuan, the IRR was 2.6368%.

Expected Value of Delivery Option

The expected value of delivery option for T2012 last Thursday was 0.6303;

The expected value of delivery option for TF2012 last Thursday was 0.1293;

The expected value of delivery option for TS2012 last Thursday was 0.2435.

Curve

As of last Thursday, the Beta1 was -1.0384, and the weekly average was -1.1152.

The spread between 10-year and 5-year contracts was 8.43bp and 6.34bp higher from the previous week, the spread between 5-year and 2-year contracts was 21.94bp and 0.97bp higher from the previous week, and the spread between 10-year and 2-year contracts was 30.37bp and 7.31bp higher from the previous week.

Tick Level Volume Distribution

The volume distribution for T2012 last Thursday: volume of 1 lot accounted for 14.76%; volume above 10 lots accounted for 7.35%;

The volume distribution for TF2012 last Thursday: volume of 1 lot accounted for 12.62%; volume above 10 lots accounted for 4.24%;

The volume distribution for TS2012 last Thursday: volume of 1 lot accounted for 6.64%; volume above 10 lots accounted for 2.83%.

Sino-US Spread

The spread between 10-year and 1-year US Treasury Bonds last Thursday was 52.31bp and decreased by 10.99bp from the previous week.

The Sino-US spread of 10-year Treasury Bonds was 241.28bp last Thursday and decreased by 6.25bp from the previous week.

The spread of US 5-year corporate bonds was 129.83bp last Wednesday and increased by 3.99bp from the previous week; The spread of BB grade corporate bonds was 341.99bp and decreased by 18.76bp from the previous week.