Invoice price = settlement price × conversion factor+accrued interest
The settlement price for delivery is determined according to the weighted average price of all-day trading volume on the last trading day; The conversion coefficient shall be calculated according to the calculation method agreed by CICC when listing and publishing the contract, and will not change any more; Accrued interest is added because the bond is quoted at a net price, and the accrued interest during the holding period needs to be added at the actual delivery.
According to this rule, it is assumed that the settlement price of a treasury bond futures is 99 yuan, and if the bond conversion coefficient chosen by the empty party is 1.0 1 and the accrued interest is 2 yuan, the final invoice price is: 99×1.01+2 =1kloc.
Referring to the delivery default rules of domestic commodity futures, this paper puts forward the following suggestions on the delivery default of treasury bonds futures:
1. Definition of defaulting party
(1) Seller's breach of contract: The seller failed to deliver the national debt in full within the stipulated delivery period.
(2) The buyer's breach of contract: the buyer failed to pay the delivery money within the stipulated delivery period.
2. Definition of observant party
(1) Seller's default: the corresponding non-default buyer is randomly generated.
(2) Buyer's default: according to the delivery matching result of T+ 1 day, the corresponding non-default seller is generated.
3. Handling of delivery breach of contract
The breaching party pays fines and compensation respectively, and the observant party gets compensation. The exchange charges the defaulting party a fine of 2% of the contract value of the defaulted delivery. Among them, the contract value = number of defaulting hands × settlement price× contract face value/100.
4. Determination of benchmark coupons
During rolling delivery, due to the delivery mode of voluntary declaration by both parties, if the seller defaults, it must have declared the delivery voucher, that is, the seller's declaration voucher is used as the benchmark voucher. In centralized delivery, the bonds delivered by rolling delivery and the bonds declared by one-time delivery are used as benchmark bonds.
5. Determination of spot price of benchmark bonds
It is proposed to use the spot bond valuation of bond valuation institutions recognized by the market as the valuation basis. In rolling delivery, the current bond price is based on the valuation of the national debt on the date of intention declaration, and in one-time centralized delivery, the valuation of the national debt on the last trading day is used as the current bond price.