One of the factors affecting the futures price of government bonds: interest rate policy
The change of interest rate in China market will lead to the reverse change of treasury bond futures price. Therefore, the benchmark interest rate as the market interest rate vane, that is, the interest rate policy of the central bank, is a key consideration, because when the People's Bank of China adjusts the benchmark interest rate, the interest rates of various financial assets will also be adjusted accordingly. As shown in figure 1, from the general trend, the yield to maturity (5-year) and the one-year benchmark interest rate of fixed-rate government bonds of banks and exchanges are basically the same.
Figure 1 yield to maturity of fixed-rate government bonds and one-year time deposit interest rate
The second factor affecting the futures price of government bonds: the supply and demand side of government bonds.
In addition to the interest rate policy affecting the futures price of treasury bonds, the supply and demand of treasury bonds themselves will also affect the futures price. The national debt is issued by the Ministry of Finance to make up the fiscal deficit. At the end of the year, the Ministry of Finance will issue a notice on the second-year key term national debt issuance plan and the first-quarter national debt issuance plan. Therefore, it is possible that the issuance of national debt in a certain period is greater than the institutional allocation demand. This will make the interest rate of newly issued treasury bonds too high, which may have an impact on the secondary market. In addition, the funding needs of institutions will be affected by funding. The tighter the funds, the greater the cost of holding bonds, and vice versa. Therefore, the shortage of funds may affect the allocation needs of institutions and may have a short-term impact on the bond market. The shortage of funds will be reflected in the money market interest rates such as Shibor, central bank bill interest rate, repurchase rate, etc. The central bank will affect the capital situation in the interbank market by issuing central bank bills in the open market, conducting repurchase operations, and adjusting deposit interest rates. Therefore, these are all important factors that affect the short-term fluctuation of national debt prices. In addition, the compression of credit loan scale will also increase the demand for bond allocation of commercial banks, and will also affect the supply and demand of national debt, thus affecting the futures price of national debt.
The third factor that affects the price of treasury bonds futures: the delivery period of treasury bonds futures.
The trading cycle of treasury bond futures affects the price factors of treasury bond futures. According to the contract setting of stock index futures, there are four quarterly contracts in a year, and three quarterly contracts can be traded at the same time. According to the analysis of the participating groups of treasury bonds futures, the investment subject will be banks, which are the main holders of domestic treasury bonds and the core groups participating in treasury bonds futures. Therefore, the main investment direction for banks to participate in treasury bond futures should be hedging operation. Therefore, in the process of contract rotation, the contract price of 1 month may interact with the recent delivery contract and spot, but the three deviate from the theoretical value, forming short-term arbitrage opportunities.