Short-term interest rate futures:
It refers to all kinds of interest rate futures with a maturity of less than one year, that is, interest rate futures of various debt certificates in the money market are short-term interest rate futures, including commercial paper futures, treasury bills futures and Eurodollar time deposit futures with various maturities.
Short-term interest rate futures are based on short-term interest rate bonds, generally settled in cash, and their prices are expressed by 100 minus the interest rate level. The two most common short-term interest rate futures are short-term treasury bonds futures and Eurodollar futures.
The term of short-term treasury bills is divided into three months (13 weeks or 9 1 day), six months (26 weeks or 182 days) or 1 year. Among them, 3-month and 6-month treasury bonds are generally issued weekly, and 1 year treasury bonds are generally issued monthly. Unlike other government bonds that pay interest every six months, short-term government bonds are discounted at face value, and the investment income is the difference between the discounted price and face value.
Long-term interest rate futures:
It refers to all kinds of interest rate futures with a maturity of more than one year, that is, the interest rate futures of various debt certificates in the capital market are long-term interest rate futures, including medium and long-term government bond futures and municipal bond index futures with various maturities. The repayment period of U.S. Treasury's medium-term treasury bills is 65,438+0 years to 65,438+00 years, of which 5-year and 65,438+00 years are more common.
The interest payment method of medium-term national debt is to pay interest once every six months before the maturity of the bond, and the last interest on the maturity date is paid together with the principal. The term of long-term national debt is between 10 and 30 years. With its competitive interest rate, timely repayment of principal and interest and high market liquidity, it has attracted huge investments from many foreign governments and companies. Domestic buyers are mainly American government agencies, Federal Reserve System, commercial banks, savings and loan associations, insurance companies, etc.
Among all kinds of national debt, the price of long-term national debt is the most sensitive to the change of interest rate. It is the frequent fluctuation of interest rates since the 1970s that has contributed to the rapid expansion of the secondary market of long-term treasury bonds.
Interest rate futures are medium-term, long-term and short-term deliverable financial vouchers of trading objects, and they are financial futures based on interest-bearing securities. In fact, it is a short-term investment with a fixed term and a standard transaction amount in the trading market, and it is a forward contract for money market and capital market instruments.
Like other futures, interest rate futures are also subject to legal constraints. Through open market bidding, buyers and sellers agree to deliver a certain amount of securities at an agreed interest rate on a specified date in the future. The market price of these securities is deeply influenced by the fluctuation of market interest rate. If the interest rate rises, its market price will fall. If the interest rate falls, its market price will rise. There are many factors that affect the interest rate level, but the main factors are:
The government's fiscal policy, monetary policy, inflation, national production and income, and national demand for cars and houses will all affect the trend of interest rates. Interest rate fluctuation makes both borrowers and borrowers in financial markets face interest rate risk. In order to avoid or reduce interest rate risk, interest rate futures came into being. Interest rate futures are different from forward interest rates. The latter's contract transactions are limited to the banking system and do not involve exchanges, so there is no unified transaction supervision. Moreover, the transaction object is a currency with a specific amount and interest-bearing period.
Because all kinds of debt instruments are extremely sensitive to interest rates, a slight fluctuation in interest rates will lead to a large fluctuation in their prices, which will bring great risks to their holders. In order to control interest rate risk and reduce the impact of interest rate fluctuation, people have created interest rate futures to achieve this goal.
Interest rate futures refer to futures contracts with bond securities as the subject matter, which can avoid the risk of securities price changes caused by bank interest rate fluctuations. Interest rate futures is the activity of buying and selling interest rates and interest-related financial products (interest-bearing certificates) futures contracts in the financial futures market and delivering them on a specific date.
Interest rate futures trading is to generate interest rate futures contract prices in different maturity months in the future through centralized matching bidding. At the same time, like most financial futures transactions, the interest rate futures price is generally ahead of the change of the interest rate spot loan market price, which is helpful to improve the information content of the bond spot loan market price and promote the reasonable price fluctuation through arbitrage trading.