(1) Index Futures
Rolling Data for Short Hedging during the Statistical Period
The optimal rolling contract is IF2103, and the annualized rolling cost is -7.14% to 5.98%;
The optimal rolling contract is IH2103, and the annualized rolling cost is -7.81% to 4.15%;
The optimal rolling contract is IC2103, and the annualized rolling cost is 0.59% to 14.40%.

Rolling Data for Long Hedging during the Statistical Period
The optimal rolling contract is IF2012, and the annualized rolling cost is 2.85% to 7.39%;
The optimal rolling contract is IH2012, and the annualized rolling cost is 1.57% to 6.41%;
The optimal rolling contract is IC2012, and the annualized rolling cost is 11.57% to 17.44%.

Basis
Annualized discount rate for the current season contract of IF was 9.32% 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 9.42% 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 21.47% 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 0.247 point to 0.326 point;
The market impact cost for the current month contract of IH is 0242 point to 0.367 point;
The market impact cost for the current month contract of IC is 0.349 point to 0.519 point.

Tick Level Volume Distribution
The volume distribution for the current month contract of IF last Thursday: volume of 1 lot accounted for 20.57%; volume above 2 lots accounted for 47.00%;
The volume distribution for the current month contract of IH last Thursday: volume of 1 lot accounted for 27.25%; volume above 2 lots accounted for 19.35%;
The volume distribution for the current month contract of IC last Thursday: volume of 1 lot accounted for 19.91%; volume above 2 lots accounted for 47.08%.

(2) Treasury Bond Futures
Basis & IRR
The basis for T2012 last Thursday was 0.4954 yuan, the IRR was 0.9096%;
The basis for TF2012 last Thursday was 0.0358 yuan, the IRR was 1.8859%;
The basis for TS2012 last Thursday was 0.0018 yuan, the IRR was 2.7310%.

Expected Value of Delivery Option
The expected value of delivery option for T2012 last Thursday was 0.3907;
The expected value of delivery option for TF2012 last Thursday was 0.3747;
The expected value of delivery option for TS2012 last Thursday was 0.1929.

Curve
As of last Thursday, the Beta1 was -1.1155, and the weekly average was -1.0660
The spread between 10-year and 5-year contracts was 12.90bp and 1.13bp higher from the previous week, the spread between 5-year and 2-year contracts was 22.38bp and 4.17bp lower from the previous week, and the spread between 10-year and 2-year contracts was 35.28bp and 3.04bp lower from the previous week.

Tick Level Volume Distribution
The volume distribution for T2012 last Thursday: volume of 1 lot accounted for 14.14%; volume above 10 lots accounted for 8.16%;
The volume distribution for TF2012 last Thursday: volume of 1 lot accounted for 13.17%; volume above 10 lots accounted for 3.41%;
The volume distribution for TS2012 last Thursday: volume of 1 lot accounted for 6.84%; volume above 10 lots accounted for 2.49%.

Sino-US Spread
The spread between 10-year and 1-year US Treasury Bonds last Thursday was 55.43bp and decreased by 2.02bp from the previous week.
The Sino-US spread of 10-year Treasury Bonds was 241.81bp last Thursday and decreased by 2.72bp from the previous week.
The spread of US 5-year corporate bonds was 130.93bp last Wednesday and increased by 5.11bp from the previous week; The spread of BB grade corporate bonds was 375.76bp and increased by 38.45bp from the previous week.