CICC treasury bond futures contract
Taking the 10-year treasury bond futures contract as an example, the related matters of the contract terms are explained as follows (see table 1).
Table 1 CICC 2-year, 5-year and 10-year treasury bond futures contracts
Source: China Financial Futures Exchange.
(1) contract object
The target of the 10-year treasury bond futures contract is designed as a nominal standard bond with a face value of100000 yuan, and coupon rate is a 3% nominal long-term treasury bond. "Nominal standard coupon" refers to the standardized and fixed-term virtual coupon in coupon rate. Internationally, the United States, Germany, Australia, South Korea, Britain and Japan and other countries with mature treasury bonds futures all adopt "nominal standard bonds" as the target of treasury bonds futures contracts.
Taking nominal standard bonds as the trading object has the following advantages: first, it can expand the scope of deliverable national bonds, prevent futures prices from being manipulated in the trading process, and reduce the risk of forced liquidation in the delivery process; Secondly, nominal standard bonds have better hedging effect than single bonds, which is beneficial to the hedging function of treasury bonds futures; Finally, the design of nominal standard bonds reflects the yield level of government bonds in the market for a certain period of time, which can truly reflect the expectations of financial markets for the overall interest rate level.
(2) Deliverable national debt
The deliverable bonds of the 10-year treasury bond futures contract are book-entry interest-bearing treasury bonds, and the issuance period shall not exceed 10 years, and the remaining period on the first day of the contract expiration month shall not be less than 6.5 years.
Because the target of treasury bond futures contracts is virtual nominal standard bonds, under the arrangement of physical delivery system, the range of deliverable bonds that can be used in specific treasury bond futures contracts is usually stipulated. Generally, the remaining term of deliverable bonds is close to the target term of treasury bonds futures contracts, and the specific remaining term interval should not be too large or too small. If the remaining maturity range is too small, the number of deliverable bonds is too small, which will easily lead to "forced positions". If the remaining maturity range is too large, the difference between the bond delivery price obtained by the conversion factor and the actual bond price is too large, and the large basis difference will lead to the decline of hedging effect, which will reduce the willingness of hedgers to use futures to hedge.
(3) the quotation method and the change of the lowest price
Treasury futures listed by CICC are quoted at a net price of 100 yuan, with a minimum change unit of 0.005 yuan. If the closing price of 10-year treasury bond futures contract T2006 on April 30, 2020 is 102.940 yuan:
Contract value = (102.940/100) ×100000 =1029400 (yuan).
When the lowest price changes by one price, the change amount of contract value =0.005× 10000=50 (yuan).
(4) the contract month, the last trading day and the last delivery date
The contract month of this contract is the last three quarterly months, and the quarterly months refer to March, June, September and 65438+February. The last trading day is the second Friday of the month when the contract expires. If the last trading day is a national legal holiday or is not traded due to abnormal circumstances, the following trading day shall be the last trading day. On the next trading day after the last trading day of the expired contract, the new monthly contract starts trading. The final delivery date is the third trading day after the last trading day.
(5) price restrictions
Limiting the daily price fluctuation can avoid the sharp fluctuation of the price of treasury bond futures contracts, with the main purpose of restraining excessive speculation, reducing trading risks, preventing the serious alienation of treasury bond futures trading functions and avoiding the impact on the normal trading order of the securities market. At present, there is basically no price limit in foreign markets except Japan. The daily maximum price fluctuation limit of this contract refers to the daily price fluctuation limit, which is 2% of the settlement price of the previous trading day.
(6) Position limit system
The maximum number of unilateral positions of members or customers in a contract stipulated by the exchange is one of the main risk control measures taken by the exchange to prevent excessive concentration of market risks and market manipulation. According to the needs of risk control in different time periods, the warehouse limit is divided into general monthly limit and delivery monthly limit. According to the different participants, the standards are different, which are mainly divided into hedging arbitrage customer position approval system, clearing member position approval system and speculative customer position approval system.
The limit standard for the positions of members of treasury bond futures settlement can be set at 600,000 lots, that is, if the total number of unilateral positions of a treasury bond futures contract exceeds 600,000 lots after settlement, the unilateral positions of settlement members on the next trading day shall not exceed 25% of the total number of unilateral positions of the contract. Generally speaking, speculative customers limit their positions within one month. The Exchange determines that the general monthly position limit is 2,000 lots from two angles of controlling the total amount of treasury bonds futures held by speculative customers and the impact of large orders on prices. For speculative customers in the delivery month, the position limit in the delivery month is determined to be 600 lots.
B
A giant in the futures market
In the classification of international futures, treasury bonds futures are classified as interest rate futures, and interest rate futures are roughly divided into two categories: first, short-term interest rate futures, such as CME's 3-month Eurodollar futures and many exchange-traded 1 month and 3-month lending rate futures; The other is medium and long-term interest rate futures represented by treasury bonds futures. In the development of global futures market, interest rate futures has been the leader of trading volume for decades since its birth and has become a well-deserved giant in the futures market. For example, 200 1, the global futures trading volume is1800 million, while the interest rate futures trading volume is101700 million, accounting for 56.5%. In recent 20 years, with the rise of stock index futures and individual stock futures in the world, the proportion of interest rate futures has dropped rapidly. In 20 19, the global trading volume of on-site futures options was 34.475 billion, and the trading volume of interest rate futures options was 4.763 billion, accounting for 65.438+03.82%.
It is worth noting that the above comparison is made from the perspective of trading volume, but there is a big misunderstanding in comparing trading volume, that is, ignoring the size of different futures contracts leads to distortion. For example, the soybean futures of CBOT in the United States are 5000 bushels per lot, which is about 136 tons, while the soybean futures of Dalian Commodity Exchange in China are 10 tons per lot, with a difference of 13 times. If only from the comparison of the contract quantity, it is obvious that the smaller the contract scale, the more exposed it will be.
In the early stage of the development of European and American futures markets, the design scale of futures contracts is usually relatively large, among which interest rate futures are called "Big Mac". US Treasury bond futures contracts often start at $654.38 million, while short-term interest rate futures are even larger. For example, the value of a three-month Eurodollar futures contract is 1 10,000 USD. Then, during the global expansion of the futures market, developing countries basically adopted small-scale contract strategy to start the market, and some contracts were as small as several hundred dollars. After entering the computer age, the competition between European and American exchanges has also entered the era of hand-to-hand combat. In order to strive for liquidity, the exchanges not only launched small-scale contracts, but also popularized the miniaturization of some mature futures products. For example, after CME launched the Standard & Poor's 500 stock index futures on 1982, the contract has been the leader in the futures market. 1996, in order to attract retail investors to participate in the transaction, the "mini version" contract was launched, and the contract multiplier was reduced from the original $250 to $50. This move caters to the market demand, which makes the transaction volume of mini-version contract surge, which is dozens of times higher than the original standard contract.
When China first introduced treasury bond futures in the 1990s, the contract scale was also very small, and the treasury bond futures contract of Shanghai Stock Exchange was only 20,000 yuan. In 20 13 years, when the domestic treasury bond futures were launched for the second time, according to the internationally accepted standards, the contract scale was set at 1 10,000 yuan; The two-year treasury bond futures contract launched on 20 18 is 2 million yuan, which undoubtedly belongs to the "big brother" level among many domestic contracts. In the first half of 2020, the trading volume of three treasury bond futures contracts of CICC only accounted for 0.46% of the domestic futures industry. However, from the transaction amount, the transaction amount of the three treasury bond futures contracts accounted for 7.86%, and the difference of different caliber was 17 times.
In the trend of global futures industry pushing "small contracts", only interest rate futures still maintain noble reserves, and big contracts are still the main ones. It is not difficult to explain why the proportion of interest rate futures will decline from the perspective of contract trading volume.