From the perspective of the US Treasury futures system, the US government mainly borrows funds through fixed-term medium-and long-term bonds (such as 2-year, 5-year, 10-year and 30-year) issued at a fixed interest rate, which is determined by the current market interest rate at the time of issuing bonds. Strictly speaking, American long-term treasury bonds are debts with an initial maturity of more than 10 years, while American medium-term treasury bonds have a maturity of 2 years to 10 years (2 years, 3 years, 5 years, 7 years and 10 years).
Each benchmark coupon period (2 years, 5 years, 10 years and 30 years, etc.). Treasury bonds have corresponding US Treasury futures and options contracts for trading, and each medium-and long-term Treasury futures contract has a corresponding package of bonds for delivery. According to the maturity period, the range of bonds that the seller can deliver to the buyer in the delivery month is defined. For example, a 5-year contract can be delivered as any US government fixed-coupon bond, with a remaining term of more than 4 years and 2 months and an initial term of no more than 5 years and 3 months.
In fact, most market participants trade US Treasury futures contracts in order to close future positions or extend them to longer-term futures contracts. US Treasury futures are listed quarterly in March, June, September and 65438+February.
The US 10 ultra-long-term treasury bond futures and the US 10-year treasury bond futures are different futures contracts. Judging from the subject matter of the contract, 10-year US Treasury futures correspond to 10-term US Treasury bonds with a maturity of 1 0, with a term of at least 6.5 years from 1 day of the delivery month, but not more than 10 years. The 10 ultra-long-term treasury bond futures in the United States also correspond to the 10 ultra-long-term treasury bond futures in the United States, but the term is different, and the remaining term is between 9.5 years and 10 years. Other contract terms, including minimum price change, contract month and delivery type (physical delivery) are the same.
Judging from the deliverable vouchers, it is very sufficient. Chicago businessmen are allowed to borrow some different bonds for delivery to meet the needs of short positions in the contract. In particular, any irredeemable bonds with a remaining maturity of more than 15 years are eligible for delivery from the first day of the delivery month. Therefore, there are usually at least 20 kinds of unexpired bonds available for delivery. Moreover, according to the data of Chicago Stock Exchange, the real delivery part of maturing treasury bonds futures is a very small part, accounting for only about 3.5% of the open position.
How to choose a bill of lading? Generally choose CTD (the cheapest deliverable voucher). The Shang Zhi Institute's long-term treasury bond futures contract requires short sellers to deliver any eligible treasury bonds with a face value of more than $654.38 million. However, due to the wide range of coupon and maturity of long-term treasury bonds, the price paid by the buyer depends on what kind of bonds the seller chooses to deliver. The rule used by CBOT is to adjust the futures price through a conversion factor, which reflects the present value of each 1 yuan bond on the first day of the trading month when the bond yield is 6%. When using this rule, the conversion coefficient between a given bond and a given delivery month is constant and is not affected by the price changes of bonds and futures contracts. According to the data, in March of 20 16, the face value of CTD in the deliverable eligible bonds of American 10 ultra-long-term treasury bonds futures reached $66 billion.
By comparison, it can be found that the newly added 10-year super-long treasury bond futures by Shangzhi give market participants an additional choice to hedge the risk exposure of cash bonds or seek more opportunities for differential returns on the yield curve.