The lowest profit rate in the whole market

The trading margin of other domestic futures is generally around 10%, and the trading margin of treasury bonds futures is much lower. The minimum margin for 2-year, 5-year and 10-year treasury bonds futures is 0.5%, 1% and 2% of the contract value respectively. Why is the trading margin rate of treasury bonds futures set so low?

The purpose of the exchange to collect margin is to prevent traders from defaulting. The greater the price fluctuation, the greater the risk faced by traders, and the higher the set minimum margin rate; However, under normal circumstances, the price fluctuation of treasury bonds is relatively small, and the fluctuation of 1 yuan (about 1%) on that day is very large, which is a very big market, so the margin rate of treasury bonds futures is set at a relatively low level. Secondly, the charm of futures investment lies in the small and wide leverage effect. Because the price fluctuation of treasury bond futures is small, in order to attract investors to participate, we have to appropriately amplify its leverage effect. If the investor invests 100000 yuan for futures trading, the futures company will collect trading margin for stock index futures, 2-year, 5-year and 10-year treasury bonds futures at the rates of 10%, 1%, 1.5% and 2.5% respectively.

Table 1 comparison of leverage effect between stock index futures and treasury bond futures contracts

Source: China Financial Futures Exchange.

Therefore, compared with other futures, treasury bond futures have higher leverage effect and are more attractive to investors who trade treasury bond futures.

B

Delivery of treasury bond futures

There are generally two systems for futures delivery: physical delivery and cash delivery. In foreign interest rate futures, short-term interest rate futures usually use cash delivery, while treasury bonds futures, as long-term interest rate futures, mostly use physical delivery. CICC treasury bonds futures also adopt the method of physical delivery, that is, the expiration date of futures contracts. The open contracts between buyers and sellers must be delivered in kind, the seller must deliver the full amount of treasury bonds that meet the requirements, and the buyer must pay the full amount of funds.

The purpose of physical delivery is to ensure that the spot price of the subject matter and the futures price tend to be consistent at maturity and to ensure the hedging function of futures. A perfect physical delivery system has the following advantages: first, it solves the liquidity problem of old bonds in the spot market; Secondly, the formation of futures prices is to participate as interest rates, avoiding artificial speculation in the spot; Third, help to establish the interest rate curve of the national debt market; Finally, it has a direct hedging and hedging effect.

China's treasury bonds futures are delivered in kind, and the specific delivery process adopts the combination of rolling delivery and centralized delivery. Rolling delivery means that at the beginning of the contract expiration month, the empty party can apply for rolling delivery every day, and the exchange is responsible for selecting multiple parties to match according to certain standards, so that both long and short parties can close their positions in advance and leave for delivery. If there are still open positions by the delivery date, it will be forced to enter the centralized delivery date process. The delivery process is as follows: T-day declaration (centralized delivery means unified declaration at delivery); T+ 1 day, the airline pays the air ticket; T+2 days multi-party payment, exchange matching; T+3 multi-party coupon collection. If it is hosted in the same market, it will be directly paired. If they are in different markets, the exchange will match them according to the method of "minimum matching number". The method of "minimum logarithm" is that for two series, if the value in one series is equal to the value in the other series, the two values are paired; If they are not the same, match the largest one in each series, subtract the smaller one from the larger one of these two numbers, and then see if the two series are equal. If yes, the pairing is successful, and the largest two are not taken, and so on.

C

The Bridge between Spot and Futures —— Conversion Coefficient

The target of treasury bond futures contract is nominal treasury bond, which is actually virtual, while the delivered treasury bond is of course actual. So which government bonds can be delivered? These have been written in the terms of the treasury bond futures contract. For example, the CIC 10-year treasury bond futures contract stipulates that the deliverable bonds are book-entry interest-bearing treasury bonds, the issuance period shall not exceed10 years, and the remaining period on the first day of the contract expiration month shall not be less than 6.5 years. In fact, before the contract expires, the exchange has announced the list of those deliverable bonds in advance. Table 3 shows the deliverable bonds of T 1903 contract (10-year bonds 2065438+March 2009 delivery contract) announced by the Exchange in advance.

Table 2T 1903 Contract Deliverable Voucher and Conversion Factor

Source: China Financial Futures Exchange, WIND.

It can be seen that as many as 15 deliverable bonds meet the T 1903 contract. The first and second columns in the table are the codes and names of deliverable bonds respectively, and the fourth and fifth columns are the coupon rate and interest frequency respectively. These are the information of the deliverable bonds themselves.

What is the "conversion factor" in the third column?

We know that the subject matter of the 10-year treasury bond futures contract is fictitious, and the coupon rate of this fictitious treasury bond is 3%. Assuming that the settlement price of this month's contract is 96.785 yuan (100 yuan national debt face value), delivery means that the seller needs to produce 3% 100 million yuan national debt in coupon rate, and the buyer needs to pay 967,850 yuan. The problem now is that none of the deliverable bonds in the table is 3% in coupon rate, and the seller takes bonds that are not 3% in coupon rate for delivery. How much should the buyer pay?

Because there are some differences in the remaining time, coupon rate and interest-bearing frequency of each deliverable national debt, the solution to this problem is to take the coupon rate of nominal standard bonds as the discount rate of each national debt (3%), and take all the discounted cash flow method of the deliverable national debt with a face value of 1 yuan as the present value, that is, the conversion coefficient of national debt. With the conversion factor, it is easy to know the value of each national debt relative to the nominal standard certificate and the amount that the buyer should pay after the seller delivers the national debt. For example, the coupon rate of the first national debt in Table 3 is only 2.7%, and the conversion coefficient is 0.9796. If the settlement price of this month's contract is 96.785 yuan (face value 100 yuan national debt), the amount payable by the buyer when the seller delivers the face value 100 million yuan national debt is calculated as follows:

Payable to buyer =

0.9796× 96.785×100000 = 948105.86 (yuan)

If the seller delivers the national debt 12 in Table 3, and its coupon rate is 3.85%, and the conversion coefficient is 1.066 1, when the seller delivers the national debt with a face value of 1 ten thousand yuan, the amount payable by the buyer is calculated as follows:

Payable to buyer =

1.0661× 96.785×100000 =1031824.89 (yuan)

It is not difficult to see that the difference between the two is not small.

The calculation of conversion coefficient is complicated, but it is not difficult. The calculation formula is easy to find on the website of the exchange. Since the exchange will announce the conversion coefficient of each contract deliverable in advance, it is not important whether the trader has the corresponding calculation ability.