The most special feature of treasury bond futures lies in its corresponding spot theme. Usually, commodity futures and stock index futures will take a specific and real spot as the delivery object. However, due to the particularity of bonds, different bonds have different cash flows, coupon rate and maturities. If the deliverable bonds are stipulated according to these elements, it is obviously not effective to deliver only one bond with a small amount relative to the total bond market.

In order to solve this problem, the concept of virtual standard coupon is introduced into the design of treasury bond futures. According to the method of more successful futures contracts in the world, the nominal standard bonds with fixed remaining maturity that do not exist in reality are taken as the transaction targets, and the bonds in reality can be converted into standard bonds for delivery through conversion factors. China's treasury bond futures are drawn up: virtual treasury bonds with a maturity of 5 years and a coupon rate of 3% are taken as the target, and other actual bonds are converted into a corresponding number of virtual treasury bonds according to a certain conversion ratio for delivery.

The conversion ratio between real national debt and virtual "nominal standard bonds" is called "conversion coefficient", and its calculation method is to discount the future cash flow of bonds at the interest rate of 3% to the delivery date of national debt futures, and the present value is its conversion coefficient (detailed below). All 4-to 7-year treasury bonds can be delivered in this way, which greatly expands the scope of deliverable treasury bonds and enables treasury bond futures to more effectively reflect the interest rate level of the medium-term treasury bond market. Interest rate futures that are actively traded in the world usually adopt the form of virtual coupons. Judging from foreign experience, the actual effect is good.