Treasury bond futures are good financial futures. National debt is issued by the government, which guarantees the repayment of principal and interest, and has low risk. It is called "Phnom Penh bond", which has the characteristics of low cost, stronger liquidity and higher credibility. Long positions in the secondary market of government bonds are only the difference between the interest rate of government bonds and the market interest rate, and the fluctuation range is very small. This is also the reason why the US Treasury has become a strong supporter of treasury bonds futures. At that time, China's national debt was difficult to issue, relying on administrative apportionment. 1992 After the issuance of the national debt for more than one year, the highest price in the secondary market is only 80 yuan, which is less than the face value. Managers in China visited the United States and found that this treasure was good and easy to control, so they pursued "take-away doctrine".
China government bond futures trading first appeared on the Shanghai Stock Exchange on February 28th, 1992. 1993 10 10. On 25th of October, SSE opened treasury bond futures trading to the public, and Beijing Commodity Exchange took the lead in launching treasury bond futures trading on the futures exchange. After 1994 and 10, the People's Bank of China raised the interest rate of savings deposits with a term of more than three years, and resumed the deposit preservation subsidy, and treasury bill rate also raised it. The uncertainty of the value-added subsidy rate provides speculative space for treasury bond futures, and a large number of institutional investors have turned from the stock market to the bond market, so the treasury bond futures market has flourished. From 65438 to 0994, the total turnover of the national treasury bond futures market reached 2.8 trillion yuan, accounting for 74.6% of the total turnover of Shanghai stock market. Before the Spring Festival, from 1994 to 1995, the number of trading places offering treasury bonds futures in China suddenly increased to 14, with a total turnover of 2.8 trillion yuan. This trend continued until 1995, which was in sharp contrast with the downturn of the national stock market.
The situation seems to be good. But the problem lies in the 327 treasury bond futures contract.
The 327 national debt matures in June 1995, and the coupon rate is 9.5% plus the interest rate of the value-added subsidy. For every 100 yuan, the bond should be paid 132 yuan. Compared with the bank deposit interest and inflation rate at that time, the return of "327" was too low. So there are market rumors that the Ministry of Finance may raise the interest rate of "327" and pay it at face value 148 yuan. However, Guan Jinsheng, president of IWC, one of the three largest securities companies in Shanghai, doesn't think so. He believes that the top management is paying close attention to macro-control, and the Ministry of Finance will not take out 654.38+06 billion yuan from the national treasury to subsidize 327 national debt. So Guan led the nations to short.
65438+1February 327, 1995, the price has been hovering between 147.80 yuan and 148.30 yuan. On the 23rd, the rumor of raising interest rate of 327 national debt was confirmed, and the 327 national debt with face value of 100 yuan will be paid at 148.50 yuan. Liao Guofa, who has been shorting 327 varieties with the rest of the world, suddenly defected and became a cow. Treasury bonds 1 minute rose by 2 yuan, and * * *1minute rose by 3.77 yuan. Every time the national debt rises 1 yuan, all countries will lose more than one billion. According to its position and current price, once the delivery expires, it will cost 6 billion yuan. There is no doubt that not all ethnic groups have this ability. Guan Jinsheng took risks and suddenly attacked at 16: 22 and 13 seconds. He smashed the sell order of10.56 million, pushing the price from 15 1.30 to 147.50 yuan, which made the bulls who opened positions on the same day burst their positions across the board. This move shocked the whole market. If calculated according to the closing price, the institutions that do more on this day, including those that do more flips like Liao Guofa, will be wiped out, and countries will not only get rid of the crisis, but also earn 4.2 billion yuan.
The most surprising thing is Wei, general manager of Shanghai Stock Exchange. He never dreamed of a discount. When the Fed adjusted the interest rate, it was 0.25%, and we suddenly became 5%. In the afternoon, accompanied Geng Liang, director of futures department of CSRC. Geng said that the management measures for treasury bonds futures have been revised and will be introduced soon. Wei was so happy that he suddenly found that the market atmosphere was wrong. The national debt markets all over the country are upward breakthrough markets. The price of "327" has fallen sharply, and the trading volume has increased a lot at once. Something happened!
In the evening 1 1 point, Wei officially placed an order, and all transactions of 327 varieties were abnormally invalid after 23 16: 22 and 13 seconds, which was not included in the settlement price, volume and position of the day. After this adjustment, 540 billion yuan of treasury bonds were sold on the same day, and the closing price of 327 varieties was the last one before the violation.
The Shanghai Stock Exchange did not announce the name of Guan He, but it was doomed. If it is delivered according to the closing price set by the Shanghai Stock Exchange, IWC will lose 6 billion yuan. If we manage our own situation, the country will get 4.2 billion yuan; If the liquidation is carried out according to 15 1.30 yuan, the loss of all countries will be1600 million yuan.
On May 17, in view of the fact that China did not have the basic conditions to carry out treasury bond futures trading at that time, the opening of treasury bond futures for only two years and six months came to an end, and the China Securities Regulatory Commission issued the Emergency Notice on Suspending the Pilot of Treasury bond futures trading. China's first financial futures product died.
On September 20th, the Ministry of Supervision, the China Securities Regulatory Commission and other departments announced the investigation results and handling decisions of the 327 incident, and determined that "this incident was a bond futures storm triggered by Shanghai Wanguo Securities Company and Liaoning Guofa (Group) Company under the circumstances that the bond futures market was developing too fast, the supervision of the exchange was lax and the risk control was lagging behind". 1April 1996, IWC had to merge with its strongest competitor, Shen Yin Securities Company. 1997 1 month, Guan Jinsheng was sentenced to fixed-term imprisonment by Shanghai Higher People's Court 17 years.
The lessons left by "327" are profound.
First of all, relevant laws and regulations are lacking and supervision is weak. 1994165438+1October 22nd, as soon as the news of 327 national debt interest rate hike came out, the price of national debt futures in Shanghai Stock Exchange showed 5 yuan amplitude, which did not attract attention, and many irregularities were not dealt with promptly and fairly. In "327", countries in China expected that they had made mistakes and could not make up for huge losses, so they simply messed up the market and cleaned up the mess. On the second day of the incident, the Shanghai Stock Exchange issued the Emergency Notice on Strengthening the Supervision of Treasury Bond Futures Trading, and the CSRC and the Ministry of Finance promulgated the Interim Measures for the Administration of Treasury Bond Futures Trading. China finally has the first national debt futures trading regulations. But it's too late.
Second, the profit margin is too low. Before the 327 incident, the Shanghai Stock Exchange stipulated that the customer margin ratio was 2.5%, the Shenzhen Stock Exchange stipulated that it was 1.5% and the Wuhan Trading Center stipulated that it was 1%. The setting of margin level is the core of futures risk control. 500 yuan's margin can buy and sell 20,000 yuan of government bonds, which undoubtedly magnifies the potential benefits and risks of the manipulator by 40 times. Such a low margin level is far from international standards, even worse than the margin level of domestic commodity futures at that time, which undoubtedly makes the market speculation atmosphere more intense.
Third, there is no price limit system and position limit system. The price limit system is a common system in the international futures industry, but before the incident, the Shanghai Stock Exchange did not take this basic means to control the price fluctuation, and the spread reached the range of 4 yuan, and the exchange did not have an early warning system. At that time, the cash flow of China government bonds was very small, so the open position of a certain variety of government bond futures should keep a reasonable proportion with the cash market flow, and set it in the computer matching system. Judging from the large number of orders thrown out at the end of February 23, the exchange obviously lacked real-time monitoring of each order, which led to tens of millions of empty orders being traded through the computer matching system in a few minutes, disrupting the market order.
Fourth, overdraft transactions cannot be eliminated. China's securities and futures trading takes computer automatic matching as the main trading mode, and adopts the method of "marking the market day by day" to control risks, rather than the clearing system of "marking the market one by one", so overdraft trading cannot be eliminated. The exchange can't control the dynamic price fluctuation of the day with the static margin and the settlement price of the previous day, which makes the "crazy" behavior of the empty main force illegally throwing out tens of millions of contracts become a reality.
Fifth, the disadvantages of multi-head supervision. China government bond futures trading was initially launched with the approval of local governments. Before the promulgation of the "Measures", China has not yet legally defined the main institutions in charge of treasury bonds futures. The Ministry of Finance is responsible for the issuance of national debt and participates in the formulation of premium rate. The People's Bank of China is responsible for the examination and approval and daily management of financial institutions, including securities companies, and formulates and publishes rates. The CSRC is responsible for the supervision of transactions, and the organizers of transactions are mainly directly supervised by local governments. Multi-head supervision leads to inefficient supervision and even a vacuum in supervision measures.
"327" is an eternal pain in people's hearts, so that when futures are mentioned for a period of time, people will always think of fraud, madness and chaos. From 1995 to 2000, the life of more than 70 futures companies in China was extremely difficult for six years, and the regulatory authorities also thought about it for six years. On February 29th, 2000, China Futures Association was finally established. Economist Dai said that this day symbolizes that 10' s stormy futures industry has finally been affirmed. Anthony Liang, the chief consultant of China Securities Regulatory Commission, has been actively organizing the investigation of the 327 national debt incident for two years, preparing to write an in-depth report to sort out the ideas of developing China national debt futures.
The basis of treasury bond futures is interest rate marketization. Although the work of interest rate marketization has started at present, the degree is not enough. Therefore, the launch of treasury bond futures must wait for the day when interest rates are truly marketized. Waiting needs patience, waiting needs skill. Citrus in Huainan is very sweet, but it becomes bitter in Huaibei. Experienced farmers know that this is called "acclimatization". In the passion of introducing financial innovation tools, we forgot to take good care of the regulatory climate and soil here, give it a nutritious environment, let it grow smoothly and restore its nature, otherwise it will only die young because of stunting. After China's entry into WTO, China's futures industry will surely wait for the voice of "open sesame", and the real spring is no longer far away.