/

T_ReportAbs tract T_ReportDate

2012-6-28

T_Analys t

010-66581652 chaizz@essence.com.cn
S1450512020001

T_CONTACTnalys t

010-66581662
liucj1@essence.com.cn

12

T_RelatedReport

T_Analys ts

010-66581652 chaizz@essence.com.cn

010-66581662 liucj1@essence.com.cn

010-66581660 lizuy2@essence.com.cn

1.
2012 2 13

1992



327
319
1995 5
2012

1976
CME 90 1
CBOT 1
2

1977 30 1982
10 1988 5 1990 2 2011
10 3.17

1976 CME 90
1977 CBOT 30
1982 CBOT 10
1988 CBOT 5
1990 CBOT 2
CME Group

3 5 10 10

1
CBOT 1975 GNMA-CDR

2
CMECBOT 2007 7 12
CME Group Inc.

10

CME 10
EUREX 10
LIFFE 10
TSE 10
ASX 3
KRX 3

2.


long the futureslong position in the futures

5
3

3 5

3


100 3% 5

0.01 100

9151130
13001515
9151130
2%
3%




4-7 7

TF

5
5
10 5 CBOT 10
5

1/32 1 1%3

1/32 1.5625 1

CME GLOBEX

5
100 3% 5 2012 5

3
10 1 1000 2 20 1
2000
4
CME GLOBEX 4

4 7 158 49747.56
3.56%

10 5
10 6% 100

10 3% 5
1/32 1

1% 1000
1/32 15.625 0.01 100



720 9151130
1400
CME GLOBEX 13001515
91511
30
2%

3%







6.5-10 4-7 7

10

TY TF

CME GLOBEXZN

3.

3.1.
cost of
carry


= + ( )( )

> <

< >

0 = =

4.


5
4-7 7

Conversion Factor, CFCheapest to Deliver, CTD

4.1.


adjusted future price

invoice price

= +

=



5 3%
T5
4-7

1
+
CF = (1 + ) +
12 (1 + )+12
=0

12
= 12

2
3%
1
3% 1

33%

4.2.




5


6

basisimplied repo rate,

IRR

1) invoice price

2)

3)

= (, + , ) ( + , )
, ,


= ,

1
+ ,
CF = (1 + ) +
12 (1 + )+12
=0

1
+ ,
P, = (1 + ) +
12 (1 + )+12

=0

1 3%

2 3%

+ , + , + ,
IRR i = 360
(, + , ) 1 2

5.

5.1.

2012 3 31 99.00
2012 4 30
2012 3 31 98.00 2012
4 30 98.50 97.50
97.50 98.50 2012
3 31 99.00 2012 4 30 0.50
0.50

10


2012 3 31 2012 3 31
99.00 98.00
2012 4 30
97.50
2012 4 30
98.50
99.00 98.50+98.00-97.50=99.00

5.2.

2012 3 31
98.00 2012 4 30 97.50
97.50 0.50
98.50
0.50

2012 3 31 2012 3 31
98.00 98.00
2012 4 30 2012 4 30
97.50 98.50
98.00-97.50=0.50 98.00-98.50=-0.50

5.3.

11


2012 3 31 97.00
98.00 2012 4 30
98.25 98.75
8 2012 3 31
1.00 2012 4 30 0.50
0.50

2012 3 31 2012 3 31 2012 3 31
97.00 98.00 98.00-97.00=1.00
2012 4 30 2012 4 30 2012 4 30
98.25 98.75 98.75-98.25=0.50
98.25-97.00=1.25 98.00-98.75=-0.75
1.25-0.75=0.5 1.00-0.50=0.50

6.

6.1.

12


= .

6.2.

7.

7.1.

1 1980 2011 2011 10

2011 5 6.94 1980 2011

13


SIFMA

2 2011 2012 1
5000 40
2011 8.48 340
2011 1.34 1/20

14


SIFMA

SIFMA

7.2.

5 2012

15

5 30 6.9 GDP 16.38%

7

1986 3
Q
30 10

8.

7
2012 6 7
2012 6 8 1 1.1 2
0.8

16


T_AuthorI nfo

CFA2010 1
2010
_AuthorStateme nt

T_Company State ment

_Disclaimer

17


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