B=P-(F×C)
Among them, b represents the basis of spot and futures prices of government bonds;
P represents the spot price and net price of national debt with face value 100 yuan;
F represents the futures price of a futures contract with a face value of 100 yuan;
C is the conversion coefficient corresponding to futures contracts and bonds.
When the spot price of treasury bonds is too high relative to the price of treasury bonds futures, treasury bonds futures show a positive basis difference; When the spot price of treasury bonds is too low relative to futures, there is a negative basis.
situation
0700 10 bonds, the conversion coefficient is 1.0554, the price of TF 1303 is 97. 144, and the price of 0700 10 is105.5438+.
To calculate the basis difference, we can calculate it according to the calculation formula of the basis difference, and the specific process is as follows:
P =105.2218-0.7374, F=97. 144, C= 1.0554, b = p-f× c =1.9584.
Reasons for basic differences:
First, we assume that there is only one deliverable bond in treasury bond futures, and the conversion coefficient is 1:
Futures price = national debt price-income from holding to delivery.
Basis = Treasury bond price-futures price = Treasury bond price-(Treasury bond price-held-to-delivery income) = held-to-delivery income. What is the basis for delivery?
The basis should be 0 at the time of delivery, and the process of delivery is that multiple parties pay F×C+ accrued interest, and the empty party delivers the bonds to multiple parties (the cost is P+ accrued interest). Therefore, after the delivery is completed, the basis will also become 0 because the delivery position is delivered.
To sum up, the income from holding to delivery is the theoretical reason for the basis difference.
The net value basis is the basis after deducting the holding period income; Net basis = income during the basic holding period.
For example, the basis of a contract is 30bps and the holding period profit and loss is 45bps, then the net basis is-15bps. We assume that the basis of treasury bond futures can converge to zero through delivery, and the long position of basis can suffer a loss of 30bps because of the change of basis. Because long positions hold bonds, you can make a profit of 45bps during the holding period, and you can make a cumulative profit of 15bp. However, if only the basis is considered, trading can make money, but from the perspective of net basis, trading can make money. Net basis better measures the profit and loss of treasury bond futures basis trading.
Especially when the bond pays interest during the duration of the contract, the basis will obviously underestimate the arbitrage space of making multiple basis, and the net basis is a better indicator.