The background of the 327 national debt incident
"327" is the code name of the bond futures contract of "92(3) bonds delivered in June", which corresponds to the issue of 1992 three-year bonds due in June and the payment of 1995. The total amount of bonds issued is 24 billion yuan.
At that time, the issuance of national debt in China was extremely difficult. Before 1990, treasury bonds were issued through administrative distribution. The transfer and circulation of national debt began at 1988, and the national secondary market was formed at 1990. Individual investors generally regard national debt as a disguised long-term savings deposit and have little interest in entering the market.
Through many international surveys, policy makers have a better understanding of the international financial market and feel that financial instruments should be innovative. At that time, it was impossible to engage in stock index futures within the institutional framework and understanding level, and the issuance of government bonds was strongly encouraged by the state. On February 28th, 1992 199265438, the Shanghai Stock Exchange first designed a trial 12 variety futures contract.
Within two weeks of trial operation, the transaction of treasury bond futures was light, only 19 was traded. In July 1993 and 10, the situation changed historically. On this day, the Ministry of Finance issued the "Announcement on Adjusting the Issuance Conditions of Treasury Bonds", which stated that under the background of high inflation, the government decided to give some types of treasury bonds value-preserving subsidies with reference to the interest rate of value-preserving subsidies announced by the central bank. The yield of government bonds began to be uncertain. The speculative space in the treasury bond futures market has expanded.
The so-called value preservation and discount refers to the devaluation of the RMB due to inflation, which reduces the actual wealth of the holders of national debt. In order to compensate the holders of national debt for this loss, the Ministry of Finance will take part of the money as an increase in interest, which is called value preservation and discount. From the economic point of view, the premium should be equal to the actual value of inflation rate, but in international practice, most countries (including China now) have cancelled this subsidy, because the buyers of national debt should foresee the uncertainty of financial product income when purchasing.
Basic introduction to the nature of events
In the mid-1990s, the state opened up the pilot trading of treasury bonds futures, adopted international practices and implemented the margin system. Although it greatly exceeds the international standard of 1%, the 2.5% margin system still expands the tradable volume to 40 times, effectively improving the liquidity of treasury bond futures products.
Because the futures price mainly depends on the corresponding spot price expectation. Therefore, the factors that affect the spot price have become the object of speculation in the futures market. The main factors affecting the spot price of 1992 three-year treasury bonds are:
(1) Base price: 92(3) coupon rate 9.5% of the current bond. If hedging and interest discount are excluded, the sum of principal and interest due is 128. 50 yuan.
(2) Value-preserving subsidy rate: 92(3) Cash bonds are valued from1July 993 1 1. Therefore, the subsidy rate of1995 when it expires in July affects the actual value of 92(3) cash bonds.
(3) Discount: 1 July 1993 1 day, the interest rate of RMB three-year savings deposit was raised to 12.24%, 2.74 percentage points lower than that of coupon rate, with 92(3) cash coupons, while the Ministry of Finance1July 1994/kloc. Therefore, whether 92(3) cash coupons raise interest rates has become a big suspense in the market, which directly affects the maturity value of 92(3) cash coupons.