The 2-year treasury bond futures contract entered the countdown to listing. On July 8, 2065438, China Financial Futures Exchange (hereinafter referred to as CICC) solicited opinions from the society on the Measures for Risk Control, Detailed Rules for Delivery of Treasury Bond Futures Contracts, 2-year Treasury Bond Futures Contracts and 2-year Treasury Bond Futures Contracts Trading Rules. Subsequently, the CSRC approved the China Financial Futures Exchange to conduct two-year treasury bond futures trading on August 3, and the contract was officially listed on August 7, 2008. The CSRC will urge CICC to continue to make all preparations to ensure the smooth launch and steady operation of 2-year treasury bonds futures.

Interpretation of 2-year Treasury Bond Futures Contract (Draft for Comment)

According to the previously released exposure draft, the two-year treasury bond futures varieties to be listed have the following detailed rules that deserve special attention:

① The face value of the subject matter of this contract is RMB 2 million.

The contract details of the 2-year treasury bond futures contract are basically the same as expected, but the face value of the contract target is slightly different from expected. The exposure draft is 2 million yuan, and the face value of the contract targets of T and TF are both 6,543,800 yuan. This time, we think that the setting of contract face value is mainly to meet the different arbitrage hedging strategy needs of customers through the increase of TS contract face value. For example, from the perspective of duration matching, the futures contract of 2 million yuan can better realize the trading strategy of the price difference change of yield curve under the position restriction. In addition, based on the experience of US Treasury bond futures, the face value of the 2-year Treasury bond futures contract is also twice the face value of the medium and long-term target.

(2) Deliverable bonds are book-entry interest-bearing government bonds with a term of no more than 5 years, and the remaining term on the first day of the contract expiration month is 1.5-2.25 years.

The 2-year treasury bond futures deliverable bonds are book-entry interest-bearing treasury bonds, the issuance period is no more than 5 years, and the remaining period on the first day of the contract expiration month is 1.5-2.25 years, which is conducive to the elimination of old bonds. Excluding the old treasury bonds will make the futures pricing more accurate, help to play the role of futures hedging, and play an important role in deepening the treasury bond futures market and constructing the treasury bond yield curve reflecting the real interest rate level in the market. According to the current situation of new issuance and renewal of national debt, the deliverable bonds of TS 1809 contract are mostly in new bonds with a maturity of 2-3 years. At present, the existing bonds have reached 3 106 billion yuan and1166.4 billion yuan respectively, totaling 427.24 billion yuan. Five-year old debt is relatively small, and the current bond stock is1762.2 billion yuan. On the whole, the liquidity of deliverable bonds is high, which is conducive to promoting the pricing function of TS 1809 futures contracts. Although the deliverable bond pool contains a certain proportion of old bonds, it has little effect on the convergence of spot prices.

③ The trading margin is 0.5% of the contract value, and the maximum fluctuation range of daily price is limited to 0.5% of the settlement price of the previous trading day.

The maximum daily price fluctuation of TS contract is limited to 0.5% of the settlement price of the previous trading day (the price fluctuation of the contract on the first day of listing is limited to 65438+ 0% of the benchmark price); The minimum trading margin is 0.5% of the contract value. Generally speaking, the minimum trading margin for 2-year treasury bonds futures is 0.5% of the contract value, which is lower than 1% for 5-year treasury bonds futures. However, considering that the face value of the contract target of 2-year treasury bond futures is 2 million yuan, the absolute value of the margin of 2-year treasury bond futures and 5-year treasury bond futures is actually the same. In addition, limiting the maximum daily price fluctuation of TS to less than 0.5% of the settlement price of the previous trading day can control the market risk brought by the increase of leveraged funds to some extent.

Reference and Significance —— Comparison of US Treasury Bond Futures

The Operation and Development of US Treasury Bond Futures

As the interest rate futures with the largest trading volume in the global futures market, treasury bonds futures have been widely developed in financial markets of various countries with its unique risk management function since its birth. Based on the developed spot bond market, complete market infrastructure and efficient bond fund settlement system, the United States has established the most developed bond futures market in the world in less than half a century, and the bond futures market itself has become one of the most important components of the American financial market. It is of great significance to learn from the development experience and functions of the treasury bond futures market in developed countries such as the United States to improve China's treasury bond futures market and give full play to the functions of treasury bond futures price discovery and hedging.

We examine the operation of US Treasury futures from the time dimension. Before 2000, the volume, position and transaction amount of US Treasury futures increased very slowly, and the main variety of market transactions was long-term Treasury futures. From 2000 to the financial crisis, the United States had a fiscal surplus, and the issuance of medium-term treasury bonds rose steadily. Corresponding to the 2-year, 5-year and 10-year US Treasury bonds in the futures market, the trading volume of futures also began to rise sharply. After 2000, on the one hand, the rapid development of the financial industry attracted many investors to participate in treasury bond futures investment; On the other hand, due to the increasing proportion of national debt in GDP after 2000, the annual circulation and trading volume of national debt spot market are also increasing, and the national debt futures contract is developing rapidly. Until September 2008, the subprime mortgage crisis broke out in the United States. Due to the break of the capital chain of many financial institutions in the market, the trading volume and positions of US 10-year treasury bonds futures dropped sharply. But then, treasury bond futures once again became a safe haven for investors, and the volume and positions climbed all the way, and remained at the current high level.

Enlightenment and significance

Judging from the development history of American treasury bonds futures, the success of treasury bonds futures products is related to the long-term large-scale issuance of treasury bonds with corresponding maturities. The main treasury bond futures products in the United States cover the key issue period of treasury bonds, and the stability of the issuance of treasury bonds in the corresponding period has a direct impact on the development of this futures contract. From the domestic market, China has launched 5-year and 10-year treasury bonds futures, but in fact, most of the treasury bonds issued in China's treasury bond market are concentrated in short-term (1-5 years), and the short-term treasury bond hedging products are in a vacant state. At this time, the introduction of two-year treasury bond futures will help to improve the treasury bond yield curve reflecting the relationship between market supply and demand, and form a "2-5-" with reasonable term layout.

Therefore, the listing of 2-year treasury bonds futures can give full play to its price discovery function and improve the yield curve of treasury bonds, and the curve strategy after listing deserves investors' extensive attention; Second, it can provide hedging tools for short-term debts to hedge the risk of short-term interest rate fluctuations; Third, we can cooperate with credit bonds to hedge the pure interest rate risk in credit bond risk.

Strategy-Enriching the national debt futures strategy

First, from the interest rate curve, the term structure of bond yield curve compiled in China is relatively complete, but the term structure is not reasonable enough, mainly because there are few short-term and long-term reference points of bond yield. In addition, in our previous cross-species arbitrage strategy, only the 5-year treasury bond interest rate can represent the short-term interest rate change due to the variety restriction, and the long-term method cooperates with the 10-year treasury bond futures contract to trade with a flat and steep interest rate curve. However, compared with 1-3 years, the 5-year interest rate elasticity is still small, which can't fully reflect the change of short-term interest rate, and the fluctuation brought by cooperation with ten coupons is also low. After owning the 2-year treasury bond futures, because the duration of the 2-year treasury bond futures is shorter, it is more synchronized with monetary policy, and it is more direct and effective in making flat curves or steep curves, and it also enriches the butterfly strategies of 2 years, 5 years and 10 years.

Second, the improvement of varieties can also enhance the effectiveness of the current hedging strategy. The introduction of 2-year treasury bond futures provides a good liquidity risk hedging tool. It is foreseeable that if liquidity shocks occur again in the future (such as the credit crisis of urban investment bonds on 20 1 1, the national sea incident on 20 16, etc.). ), institutions can use 2-year treasury bonds futures to hedge the losses caused by partial redemption pressure. In addition, by comparing the bond balances of different bonds, it can be found that short-term bonds with 1-3 years account for a relatively high proportion (among which credit bonds are the most obvious), and with the introduction of 2-year bond futures, it can also accommodate more hedging needs in the market.