Stock index futures are listed and traded at the same time in the current month, the next month and the last two quarters. Treasury bond futures contracts lasted for nearly three quarters, and only three contracts were listed and traded.
(2) The subject matter of the futures contract
Stock index futures is a truly unique Shanghai and Shenzhen 300 index. For example, the 5-year treasury bond futures are virtual "nominal standard bonds", that is, the medium-term treasury bonds with a face value of 654.38+0 million yuan and coupon rate's 3%. Its deliverable bonds include a "basket" of fixed-rate government bonds with a remaining maturity of 4-7 years on the delivery month *, which can be used for delivery. Because the coupon rate and maturity of each bond are different, it must be converted into the nominal standard bonds of the contract target through the "conversion coefficient" (that is, the net price of the deliverable government bonds with a daily face value of 1 yuan after delivery). The "conversion factor" was announced by CICC when the contract was listed, and its value remained unchanged during the contract period.
(3) Trading time of futures contracts
Usually, it's the same, working day 9:15-1:30, afternoon13: 00-15:15, but stock index futures are in the afternoon13. This is in line with international practice. Second, on the basis of covering the active period of spot trading of treasury bonds, the delivery seller has more time to borrow funds to ensure smooth delivery and reduce the risk of default.
(4) the quotation method of futures contracts
Stock index futures are quoted at index points, and treasury bonds futures are quoted at a net price of 100 yuan.
(5) Minor price changes of futures contracts.
The stock index futures is 0.2 index points, calculated by 300 yuan of each index point, and the small change unit of each contract is 60 yuan; Treasury bond futures are 0.002 yuan, calculated with the contract value of 6.5438+0 million yuan, and the change unit of each contract is 20 yuan.
(six) the futures contract price limit and low trading margin.
Stock index futures are 10% and12% of the contract value respectively; Treasury futures are tentatively set at 2% and 3% of the contract value. The fluctuation of stock index futures trading days and quarterly contract listing * days is limited to 20%, and the trading margin is tentatively set at 4% of the contract value from the settlement on the trading day before the middle of one month before the delivery month, and 5% of the contract value from the settlement on the trading day before the end of one month before the delivery month. On the * day of listing, the price of each contract shall be limited to 4% of the benchmark price. This is because the national debt is a product with fixed interest rate, and the spot price of futures fluctuates very little. The average daily fluctuation of spot is usually only 1 cent, and the average daily fluctuation of futures simulation trading day is only within 0.2 yuan.
In the international market, the margin level of 5-year treasury bonds futures is lower than 1.5%, and there is generally no limit on price increase or decrease except in Japan and Taiwan Province Province. Setting a low trading margin of 3% for treasury bond futures trading is enough to cover the price limit of 1. As the delivery date approaches, the deposit will gradually increase, up to 20%.
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