China Southern Airlines (600029) plans to issue1700 million A shares to no more than 10 specific investors, including China Southern Airlines Group, in the fourth quarter of 20 10, and the total amount of funds raised will not exceed 10 billion yuan. At present, a trust company plans to set up a trust plan to raise funds to invest in the non-public offering of China Southern Airlines. The total number of participants in the trust plan shall not exceed 200. The minimum subscription amount of customers is tentatively set at 6,543,800,000 yuan, and the restricted period of private placement is 654.38+02 months. If the lock-up period of China Southern's private placement is from 20 10 to 20 10 to 10, it is more appropriate to choose the distant month contract as the hedging contract. Although the liquidity of the far-month contract is poor and the hedging cost is relatively high, it is suggested to choose the1100003 contract for hedging transactions because the number of futures hedging required by customers' positions is not many, and the higher basis of the far-month contract will gradually narrow, which can completely offset the impact cost of 2-3 points.

To calculate the number of hedging hands, we must first calculate the beta value of China Southern Airlines relative to the Shanghai and Shenzhen 300 Index. GARCH model is usually used to regress the daily returns of China Southern Airlines and Shanghai-Shenzhen 300 Index from April 20, 2009 to September 20, 2009, and the beta value of China Southern Airlines' stock price relative to Shanghai-Shenzhen 300 Index is equal to 1. 13. As of September 16, the Shanghai and Shenzhen 300 index was 2857.79 points. In the same period, the futures contract price is 2940 points, and the number of hedging contracts is1103 = (1100,000 /(2940 * 3003).

In the past 1 year, the maximum absolute value of the Shanghai and Shenzhen 300 Index was 5.6%, which was 28% of the volatility of the futures index according to the leverage of 5 times. Therefore, it is recommended to deduct the position deposit. Keep at least 30% of available funds to prevent the risk of forced liquidation caused by large fluctuations in futures index. According to the market data of September 16, combined with the position margin and the ratio of available funds, it is suggested to invest about 2.98 million yuan in the stock index futures account.