A
Treasury futures originated in the United States.
From the end of World War II to the mid-1960s, due to the restrictions of the government and relevant financial departments, the interest rate in the American financial market has been at a low level and relatively stable. But after entering the 1970s, this situation has undergone fundamental changes. Throughout the 1970s, "stagflation" became the number one problem of the American government, and macroeconomic policies were always in a dilemma. The most direct consequence of this policy dilemma is the increasing fiscal deficit and the scale of national debt, as well as the frequent fluctuation of interest rates.
On the one hand, because of the two "oil crises" of 1973 and 1979, the American economy has fallen into the dilemma of stagnation. In order to stimulate economic growth and cope with the huge military expenditure brought by the Vietnam War, the United States had to implement a deficit policy. During the period of 1975, the balance of US Treasury bonds reached US$ 576.65 billion, a sharp increase of 17% over the previous year, much higher than the previous average growth rate of 4.35% in 10. In the middle and late 1970s, the average growth rate of national debt balance reached double digits, and the scale of national debt increased rapidly. See figure 1.
Figure 1 US CPI trend
Source: wind.
On the other hand, the high deficit policy of the United States also keeps inflation high. During this period, American interest rate policy was in a dilemma. In order to avoid economic recession, the Federal Reserve implemented an expansionary monetary policy at 1970, reducing the rediscount rate from 6% to 5.5%, but this is obviously not conducive to curbing inflation. 1973 after the oil crisis, the inflation rate in the United States rose rapidly, and the Federal Reserve had to adopt a tight monetary policy and greatly increase the rediscount rate. 1974, the Federal Reserve raised the rediscount rate from 7.5% to 8%. It was not until 1975 that the Fed turned to expansionary monetary policy. Therefore, in the 1970s, American monetary policy was tight before loosening, and interest rates fluctuated frequently and continuously, which brought huge interest rate risks to banks, companies and investors. In 1974, the market interest rate of US Treasury bonds was about 7.8%, which dropped to 7% in197, and rose sharply in198/year, reaching a record 15%. It is worth mentioning that the 1970s was also a period when the United States gradually relaxed interest rate control. During this period, frequent and violent interest rate fluctuations sharply increased the risks faced by investors in the US Treasury bond market, and the economic interests of investors could not be basically guaranteed. Lenders and borrowers in the financial market, especially investors holding government bonds, are walking on thin ice. At the same time, other financial commodity holders are also facing increasingly serious interest rate risks. In order to ensure that working capital is not affected by interest rates, the demand for maintaining and avoiding risks is increasingly strong, and the market urgently needs a convenient and effective tool to manage interest rate risks. In this context, interest rate futures came into being.
The first interest rate-related futures contract in the United States was the mortgage certificate (GNMA) futures contract of the National Mortgage Association. It was introduced by the Chicago Board of Trade (CBOT) in June 1975 and June 10 on the basis of referring to the original futures contracts for agricultural products and metal products. The first treasury bond futures contract was a 90-day short-term treasury bond futures contract launched by Chicago Mercantile Exchange (CME) in June1976+1October. Interest rate futures developed rapidly as soon as they appeared. In September, 1978, CBOT launched another 1 year short-term treasury bond futures contract. In the second half of 1970s, short-term interest rate futures have been the most active treasury bond futures.
In August, 1977, CBOT launched the American long-term treasury bond futures contract for the long-term interest rate risk management in the capital market, and in May, 1982, it launched the 10-year medium-term treasury bond futures. Up to now, the US 10-year treasury bond futures contract is not only the largest variety of CBOT, but also one of the most active trading varieties in the global interest rate futures market. In the following period, the size of the US Treasury bond market continued to expand. By 1986, the United States had realized the complete marketization of interest rates, and interest rates fluctuated increasingly frequently. Institutional investors in the national debt market have become accustomed to using national debt transactions to spread and transfer interest rate risks, thus hedging.
B
"327" Incident and the Rebirth of Treasury Bond Futures
199265438+On February 2nd, the Shanghai Stock Exchange tried to trade treasury bonds futures for the first time, and designed and launched 12 futures contracts, which marked the trial operation of the Shanghai treasury bond futures market. However, from 1992 to 12 to 1993, the total turnover of treasury bonds futures is only about 50 million yuan. In the same year125/0, 10, on the basis of redesigning the trading varieties and trading mechanism of treasury bonds futures, the Shanghai Stock Exchange officially opened to social investors and promoted it widely, and the weak treasury bonds futures market began to become active.
199365438+February 15, Beijing Commodity Exchange began to establish treasury bonds futures, becoming the first commodity futures exchange in China to conduct treasury bonds futures trading. Then, other exchanges all over the country started treasury bond futures business in succession. The total volume of the spot market of 1994 is ten times higher than that of 1993, the spot liquidity is greatly enhanced, and the primary market issuance is selling well again.
1994 10, there was a "3 14" storm in Shanghai Stock Exchange. The "3 14" treasury bond futures contract was manipulated by many institutions, and the daily price fluctuated as high as 3 yuan. Only two trading days before the final settlement date, the position is still as high as 788,700, far exceeding the corresponding cash issuance. In order to maintain the normal order of the market, the Shanghai Stock Exchange can only take compulsory liquidation measures to calm down the incident. 1February, 1995, the "327" forced liquidation event occurred on the Shanghai Stock Exchange. Variety "327" is synonymous with the 3-year treasury bond futures contract issued by 1992. At the end of 1994, there were rumors in the market that "327" and other government bonds with interest rates lower than those of banks in the same period might raise interest rates, while others thought it was impossible, because once interest rates were raised, the state needed to provide subsidies of about 654,380.6 billion yuan. 1February 23, 995, the rumor of "327" national debt interest rate hike was confirmed, which caused a fatal blow to the air side. In desperation, wan chau international carried out a large number of illegal overdraft transactions without corresponding margin. Seven minutes before the close, IWC frantically threw out 654.38+005600 sell orders with a face value of 265.438+065.438+02 million yuan, which reduced the contract price of "327" from 654.38+056.5438+02 million yuan. After the close, the exchange declared the last 7 minutes of trading invalid.
After the "327" storm, although the exchange adopted measures such as increasing the margin ratio and setting up price limits to curb the speculative arrogance of treasury bonds futures, due to the restrictions of the market environment at that time, speculation frenzy was set off again in April, and overdraft, backlog and malicious operations emerged one after another. On May 10, the "3 19" short-selling event broke out again in Shanghai Stock Exchange.
1995 May 17, China Securities Regulatory Commission issued the "Emergency Notice on Suspending the Pilot of Treasury Bond Futures Trading", announcing that China does not have the basic conditions to carry out treasury bond futures trading and suspended the pilot of treasury bond futures trading. On May 3 1 day, 14, the national treasury bond futures trading place was closed for clearing, and the treasury bond trading that lasted for two and a half years came to an abrupt end.
Looking back now, it was no accident that bond futures were stopped at the beginning, which had a lot to do with the immature development of bond spot market and the lack of marketization of interest rate pricing system at that time. At that time, the term of domestic national debt was mainly 2 years and 5 years. The total amount of 3-year bonds and 5-year bonds issued by 1992 and 3-year bonds issued by 1993 is less than 60 billion yuan, and most of them are private savings and cannot be circulated. However, there are as many as 14 exchanges in China that offer treasury bonds futures. Of course, it is also related to the lack of laws and regulations in the futures market and the imperfection of risk control.
2065438+September 6, 2003, the redesigned treasury bond futures contracts were listed on China Financial Futures Exchange, and the first batch of five-year contracts were listed. On March 20 15, the 10-year treasury bond futures contract was listed. On August 2018 17, the 2-year treasury bond futures contract was listed.
In the years after the resumption of listing of treasury bonds futures, the trading volume was not ideal. One of the important reasons is that commercial banks and insurance institutions, which should be the main body of treasury bond futures trading, are restricted by policies and cannot participate. Fortunately, on February 14, 2020, China Securities Regulatory Commission, Ministry of Finance, People's Bank of China and China Banking Regulatory Commission jointly issued the Announcement on Commercial Banks and Insurance Institutions Participating in Treasury Bond Futures Trading on China Financial Futures Exchange. The policy loosening has achieved initial results, and the transaction volume has started to grow steadily, and further prosperity is expected in the future.