Treasury bond futures contract refers to a standardized contract in which buyers and sellers deliver or receive certain specifications of treasury bonds according to the time, place and delivery method stipulated in the contract. The design of treasury bond futures contract is the basis for the smooth listing of treasury bond futures. The quality of contract design is directly related to whether treasury bond futures can be accepted by investors, whether it can achieve the expected effect of managing interest rate risk, and then directly determine the success or failure of this variety. Looking at the successful experience of developing treasury bond futures in various countries, whether treasury bond futures can play a good role and succeed depends on the scale and liquidity of the bond spot market, and whether the contract design is reasonable is also one of the key factors. Therefore, the design of China treasury bond futures contract should not only conform to the general laws and principles of financial futures contract design, but also meet the special needs of China, a new financial market in the transitional stage.

Judging from the experience of the international treasury bond futures market and the practice of China's futures market, to design a successful treasury bond futures contract, we must first follow some general principles, that is, the futures contract must meet at least the following four conditions:

(1) Futures contracts must ensure the hedging effect, so that market participants can avoid risks through the futures market. One of the most basic economic functions of treasury bond futures is hedging. Only treasury bond futures contracts that meet the needs of investors to avoid interest rate risks can have lasting vitality. Therefore, the contract design of treasury bond futures should focus on and select the spot varieties with the most hedging needs, and at the same time, it should also enable investors to hedge conveniently and obtain the best hedging effect.

(2) The design of futures contracts must give full play to the price discovery function of the futures market. A good futures contract can attract a wide range of market participants, and all kinds of information affecting prices can be reflected in the transaction price at the fastest speed, and provide the expected future spot price, thus giving full play to the price discovery function of treasury bonds futures.

(3) The design of futures contracts must be convenient for regulators to control risks and prevent price manipulation. The prices generated in the futures market can truly reflect the views of most market participants on prices. Due to the market size and mechanism, the designed contract is potentially dangerous to be manipulated, which will directly affect the will of investors, especially hedgers, the price discovery function and hedging effect, and is not conducive to the development of the treasury bond futures market.

(4) Futures contracts must ensure liquidity. The treasury bond futures market must be able to attract the participation of ordinary investors and market participants, otherwise the hedger cannot transfer the risk. The core function of treasury bond futures is to help market participants transfer interest rate risk, so that interest rate risk can be transferred from the risk-averse party to the party who is willing and able to bear the risk. This requires the extensive participation of investors of different types and trading motives. Full participation is the guarantee of transaction activity and market liquidity.

To meet these conditions, it is necessary to comprehensively consider a series of contract elements such as contract subject matter, contract denomination, margin rate, price limit and lowest price fluctuation. At the same time, it should conform to the trading habits of futures investors as much as possible to facilitate the participation of institutional and individual investors, thus contributing to the smooth operation of the national debt futures market as a whole.

See table 10 and table 4 for the main contents of CICC 2-year, 5-year, 1 0-year and 30-year treasury bond futures:

Table 1 2-year Treasury bond futures contract of China Financial Futures Exchange

Table 2 5-year Treasury bond futures contracts of China Financial Futures Exchange

Table 3 China Financial Futures Exchange 10-year Treasury bond futures contract

Table 4 30-year Treasury bond futures contracts of China Financial Futures Exchange

At the same time, there will be three treasury bond futures contracts listed and traded, respectively in the last three quarters. Its design adopts the "virtual bid" mode, taking virtual nominal bid as the delivery target, and converting the actual delivered national debt into virtual bid according to specific rules for delivery. Here we also list CME, as well as the contract design of the main trading varieties of EUREX. It can be seen that China's national debt futures generally refer to the design of mature markets, and some contract details are also adjusted according to the actual situation of China's bond market (see Table 5).

Table 5CME Design of Major Treasury Bond Futures Contracts

Table 6CME Major Treasury Bond Futures Contract Design