Physical delivery refers to the behavior of buyers and sellers of futures contracts to close the expired open contracts by transferring the ownership of the subject matter of futures contracts according to the rules formulated by the exchange when the contracts expire. At present, physical delivery is also a common way of treasury bond futures trading in interest rate futures.
Because the target of treasury bond futures is nominal bonds, there are actually no identical bonds, so in physical delivery, a basket of similar treasury bonds is designated for delivery, and the invoice amount of qualified delivery bonds is calculated through the conversion coefficient, and the seller selects the cheapest deliverable bonds through the relevant bond custody settlement system. Because this delivery system is easy to operate in practice, it not only promotes the development of treasury bond futures trading, but also improves the liquidity of spot market to some extent.
Because the purpose of futures trading is not spot trading, but to earn the difference through buying and selling contracts to preserve value, there are actually not many contracts for real physical delivery in futures trading. Excessive delivery indicates poor market liquidity; Too few deliveries indicate that the market is speculative. In the mature international commodity futures market, the delivery rate is generally lower than 5%. However, the biggest problem of physical delivery of treasury bonds futures lies in the quantity of deliverable treasury bonds. For institutional investors, it should not be a problem whether the national debt position held on weekdays or the national debt position obtained through the spot trading system is sufficient or not. However, once there is a shortage of national debt in the market, there will be trouble. Similar problems have occurred in foreign markets, and it is necessary for exchanges to formulate reasonable trading and delivery systems in advance.
(2) Cash delivery
Cash delivery refers to the delivery method of calculating the profit and loss of the open futures contract at the settlement price when the open futures contract is delivered, and finally settling the futures contract by cash payment. This delivery method is mainly used for futures contracts where the futures subject matter cannot be delivered in kind, and short-term interest rate futures in interest rate futures. For example, the price of short-term interest rate futures contracts is calculated according to the market price index.
The specific calculation method is L minus the discount rate (usually quoted in the spot market) and then multiplied by 100, that is, the quotation index =( 1- discount rate) × 100, and the actual price of a short-term national debt due for delivery at 9 1 day should be100-(/kloc). For example, the discount rate is 7%, the price index of the futures contract is 93, and the actual price on the maturity date is100-(100-93) × 90/360 = 98.25 (ten thousand dollars).
In recent years, some foreign exchanges are also exploring the use of cash delivery in treasury bond futures, but only Australia, South Korea and Malaysia have adopted cash delivery, and the contract trading volume is not much.
The main success condition of cash delivery system lies in the objectivity of spot guide price, because the final settlement profit and loss of futures contracts are calculated according to spot guide price, and traders may manipulate spot price to achieve the purpose of influencing cash settlement price, so how to design the sampling and calculation of final settlement price is very important.