On September 8, 2006, China Financial Futures Exchange was announced in Shanghai, becoming the first financial derivatives exchange in China, which is of great significance. While cheering, people can't help but think of 1994' s "327 national debt incident" and "remember the past and learn from the future". May the financial derivative futures trading in China develop healthily.
Treasury bond futures trading is a very good financial derivative trading. The national debt is issued by the government, which guarantees the repayment of principal and interest with low risk. Known as "Phnom Penh bond", it has the characteristics of low cost, stronger liquidity and higher credibility. However, it was difficult for China to issue national debt at that time, mainly relying on administrative apportionment. 1992 After the issuance of the national debt for more than one year, the highest price in the secondary market is only 80 yuan, which is less than the face value. Industry managers find that futures are a good thing, which can improve liquidity, promote issuance and make it easier to control, so they pursue "take-away doctrine" and launch treasury bond futures trading, which can be traded in the secondary market for long and short.
In essence, this kind of transaction is only the difference between the interest rate of government bonds and the market interest rate, and the fluctuation range is very small. This is also the reason why the US Treasury has become a strong supporter of treasury bonds futures.
"327"199310125 October, Beijing Commodity Exchange took the lead in launching treasury bond futures trading. On the same day, the Shanghai Stock Exchange also opened treasury bonds futures trading to the whole society. "327" is the code name of the treasury bond futures contract, which corresponds to the 3-year treasury bond issued by 1992 and due in June 1995. The total amount of bonds issued is 24 billion yuan.
After 1994 and 10, the People's Bank of China raised the interest rate of savings deposits with a term of more than three years, and resumed the subsidy for deposit preservation. National debt is also protected and subsidized. The uncertainty of the subsidy rate provides space for the speculation of treasury bonds futures. A large number of institutional investors have turned from the stock market to the bond market. The focus of the confrontation between the two sides in the market has always been the prediction of the maturity price of "327" national debt. The base price of 1992 3-year treasury bonds has been set at 128.5 yuan, but the forecast price at maturity is also affected by the subsidy rate for value preservation and whether to raise interest rates. The market has different views on this, and both long and short sides have opened positions near 148 yuan on a large scale, which has led to a hot market for treasury bonds futures.
Before the Spring Festival 1994 to 1995, there were 14 trading places offering treasury bonds futures. This situation lasted until 1995, which was in sharp contrast with the downturn of the national stock market, and the situation seemed to be excellent.
65438+1February 327, 1995, the price has been hovering between 147.80 yuan and 148.30 yuan. 1On February 23rd, 1995, the rumor of "327" national debt raising interest rate was confirmed, and the "327" national debt with face value of 100 yuan will be paid at 148.50 yuan. Liao Guofa, who has been shorting the "327" variety with other countries, suddenly turned around and became a cow. "327" national debt 1 minute rose by 2 yuan, and * * * 10 minute later rose by 3.77 yuan. Every time the national debt rises 1 yuan, all countries will lose more than one billion. According to its position and current price, once the delivery expires, it will cost 6 billion yuan.
There is no doubt that not all ethnic groups have this ability. Its director, Guan Jinsheng, is desperate. On the same day 16: 22 and 13 seconds, he suddenly attacked and sold10.56 million bonds (each with a face value of 20,000 RMB), pushing the price from 15 1.30 to1. This move shocked the whole market. If calculated according to the closing price, the institutions that do more on this day, including those that do more flips like Liao Guofa, will be wiped out, and countries will not only get rid of the crisis, but also earn 4.2 billion yuan.
At 1 1 that night, Wei, the general manager of Shanghai Stock Exchange, officially ordered that all transactions of the "327" variety after 16: 22 and 13 seconds on the 23rd were abnormally invalid, and this part was not included in the settlement price, volume and position of the day. After this adjustment, the transaction amount of the national debt on that day was 540 billion yuan, and the closing price of the "327" variety on that day was the last transaction price before the violation 15 1.30 yuan.
Universal Securities is doomed. If it is delivered according to the closing price stipulated by the Shanghai Stock Exchange, IWC will lose 6 billion yuan. According to the situation created by Guan Jingsheng himself, Wan Guo earned 4.2 billion yuan; If 30 yuan closes its position according to the closing price of151.,IWC will lose1600 million yuan.
1May, 995 17. In view of the fact that China did not have the basic conditions to carry out treasury bond futures trading at that time, the treasury bond futures ended only after two years and six months, and the China Securities Regulatory Commission issued the Emergency Notice on Suspending the Pilot of Treasury Bond Futures Trading. China's first financial futures product died.
On September 20 of the same year, the Ministry of Supervision, the China Securities Regulatory Commission and other departments announced the investigation results and decision on handling the "327 incident", and determined that "this incident was a bond futures storm triggered by Shanghai Wanguo Securities Company and Liaoning Guofa (Group) Company under the circumstances that the bond futures market was developing too fast, the supervision of the exchange was lax and the risk control was lagging behind". 1April 1996, IWC had to merge with its strongest competitor, Shen Yin Securities Company.
Participants in the "327" national debt said: "This incident has had such a great impact on China's futures industry that no one who has experienced it will forget it." The thrilling fight on the "327" treasury bond futures contract is still vivid in my mind. At that time, the management of futures market was very chaotic, and treasury bonds futures were very popular.
The game of subsidy rate is 1994. China is facing double-digit inflation pressure, and the bank savings rate is above 10%. Naturally, few people pay attention to fixed-rate government bonds. At that time, the subsidy rate for maintaining the value announced was 8%, which kept rising every month, and broke through double digits in 65438+February. Stimulated by this, the futures price of "327" government bonds began to rise linearly. From 1994 to10 yuan in June 1994, it rose to 140 yuan in early 1995, with an increase of more than 20%.
At that time, the standard of bond futures margin was set at 2.5%, that is to say, 2.5 million bonds could be traded with a market value of 654.38 billion yuan. An increase of more than 20% means that in just three months, property buyers have made huge profits equivalent to more than ten times the principal! Investment institutions are ecstatic about their daily progress. At that time, there was such an episode: a customer representative of an organization called the company headquarters in the morning and asked for another way to raise funds. When the market was in full swing, he made another100000. But an hour later, the customer called the head office again and told the other party that you don't have to mention your100000 yuan. I can just earn it here!
The "327" national debt should be due on June 1995, and its coupon interest is 9.5% plus the value-added subsidy rate, and it will be paid at maturity for every 100 yuan of bonds 132 yuan. Compared with the bank deposit interest and inflation rate at that time, the return of "327" was too low.
So from the beginning of February 1995, it began to be rumored in the market that the Ministry of Finance would raise the value-added subsidy rate again, and the "327" national debt was paid with 148 yuan. In the face of rumors, there have been sharp differences in the market. Guan Jinsheng, the godfather of the domestic securities industry and then president of IWC, believes that the first of the three major goals of macro-control in three years is to control high inflation, so it is impossible to increase the subsidy rate for value preservation, and there is no need for the Ministry of Finance to pay 654.38 billion yuan more interest for this, which will increase financial difficulties. Guan Jinsheng's point of view represented the point of view of a group of brokers at that time, so they put all their money on shorting.
At this time, China Economic Development Company began to enter the market and firmly do more. At that time, most small and medium-sized retail investors and some institutions in the market also did more. Their view is that inflation will definitely be uncontrollable in the short term, value-added subsidies will definitely rise, and the redemption price of 327 national debt will also rise. By mid-February of that year, "who is the enemy and who is the friend", the market boundary has been clearly drawn: retail investors and small and medium-sized institutions are everywhere, followed by "multi-command"; Many institutions such as Wan Guo and Liao Guofa are short. By February 23rd, every time the "327" contract is increased or decreased by 1 yuan, the profit and loss of the countries will fluctuate by 400 million yuan. An industry insider later commented that in fact, at this time, both long and short sides have no way out, and the difference in policy expectations has become a capital game in the market.
The legal means of the teacher of the afterlife are imperfect and lack of laws and regulations. 1994165438+122 October, just after the news of "327" national debt interest rate hike came out, the price of national debt futures in Shanghai Stock Exchange showed 5 yuan amplitude, which did not attract attention, and many irregularities were not dealt with promptly and fairly. In the early trading of the "327" national debt, the expectations of the nations were wrong. When there is an irreparable huge book loss, it will only disrupt the market and make a mess of things. On the second day of the incident, the Shanghai Stock Exchange issued the Emergency Notice on Strengthening the Supervision of Treasury Bond Futures Trading, and the CSRC and the Ministry of Finance promulgated the Interim Measures for the Administration of Treasury Bond Futures Trading. China finally has the first national debt futures trading regulations. But it's too late.
The margin requirement is unreasonable and the speculative cost is extremely low. Before the "327" incident, the Shanghai Stock Exchange stipulated that the customer margin ratio was 2.5%, the Shenzhen Stock Exchange stipulated that it was 1.5%, and the Wuhan Trading Center stipulated that it was 1%. The setting of margin level is the core of futures risk control. 500 yuan's margin can buy and sell 20,000 yuan of government bonds, which undoubtedly magnifies the potential benefits and risks of the manipulator by 40 times. Such a low margin level is far from the international standard, even worse than that of domestic commodity futures at that time, which undoubtedly makes market speculation more intense and excessive speculation is inevitable.
Lack of standardized management and appropriate early warning and monitoring system. The price limit system is a common system in the international futures industry, but before the incident, the Shanghai Stock Exchange did not take this basic means to control the price fluctuation, and the spread reached the range of 4 yuan, and the exchange did not have an early warning system. At that time, the cash flow of China government bonds was very small, so the open position of a certain variety of government bond futures should keep a reasonable proportion with the cash market flow, and set it in the computer matching system. Judging from the fact that a large number of "327" contracts were sold at the end of February 23, it is obvious that the exchange lacks real-time monitoring of each order, which leads to tens of millions of empty orders being sold through the computer matching system in a few minutes, which disrupts the market order and exploits the loopholes in market management.
Management loopholes, overdraft transactions. China's securities and futures trading takes computer automatic matching as the main trading mode, and adopts the method of "marking the market day by day" to control risks, rather than the clearing system of "marking the market one by one", so overdraft trading cannot be eliminated. The exchange can't control the dynamic price fluctuation of the day with the static margin and the settlement price of the previous day, which makes the crazy behavior of the empty main force illegally throwing out tens of millions of contracts become a reality.
The regulatory responsibility is not clear. China government bond futures trading was initially launched with the approval of local governments. Before the promulgation of the "Measures", China has not yet legally defined the main institutions in charge of treasury bonds futures. The Ministry of Finance is responsible for the issuance of national debt and participates in the formulation of premium rate. The People's Bank of China is responsible for the examination and approval and daily management of financial institutions, including securities companies, and formulates and publishes rates. The CSRC is responsible for the supervision of transactions, and the organizers of transactions are mainly directly supervised by local governments. Multi-head supervision leads to inefficient supervision and even a vacuum in supervision measures. "327" is an eternal pain in people's hearts, so that when futures are mentioned for a period of time, people will always think of fraud, madness and chaos. From 1995 to 2005, the life of more than 70 futures companies in China was extremely difficult, 1 1 year, and the regulatory authorities also thought about 1 1 year. How long will people think? How long do we have to wait?
Citrus in Huainan is very sweet, but it becomes bitter in Huaibei. In the passion of introducing financial innovation tools, we forgot to take good care of the regulatory climate and soil here, give it a nutritious environment, let it grow smoothly and restore its nature, otherwise it will only die young because of stunting.
The basis of treasury bond futures is interest rate marketization. Although the work of interest rate marketization has started at present, the degree is not enough. Therefore, the introduction of treasury bond futures should wait for the day when interest rates are truly marketized. Waiting needs patience, waiting needs skill.