We ... Treasurysecurity is a direct debt issued by the US Treasury Department. Treasury bills are usually issued in the form of discounted securities or securities. Bonds with a coupon period of 1 year or less issued by the Ministry of Finance appear in the form of discounted bonds, which are called treasury bonds. The Ministry of Finance usually issues treasury bonds with maturities of 13 weeks (3 months), 26 weeks (6 months) and 52 weeks (1 year), and also issues cash management treasury bonds with various maturities. Bonds with a coupon maturity of more than 1 year are issued as coupon bonds. A coupon bond with a coupon term of more than 1 year but not more than 10 year is called a Treasurynote, and a coupon bond with a coupon term of more than 10 year is called a Treasurybond. The medium-and long-term treasury bonds issued by the Ministry of Finance mainly include 2-,5-,10-year medium-term treasury bonds and 30-year long-term treasury bonds. 1997 1 month, the Ministry of finance began to issue TIPS (the principal of bonds is adjusted according to the price index because of inflation). As of 20 1 1,12,31,among the circulating national debt, the medium-term national debt accounts for 6605 1 billion (66.53%), and the national debt accounts for15205 million. Treasury bond futures trading originated in the United States. 1976 65438+1On October 6th, the international money market of Chicago Mercantile Exchange (CME) took the lead in launching 90-day US Treasury futures trading. 1In August, 1977, CBOT launched a 30-year US long-term treasury bond futures contract for long-term interest rate risk management in the capital market.1May, 1982 and1April, 1988 respectively launched 10 and 5-year medium-term treasury bond futures trading varieties, and 1983 resumed its creation. After 200 1, 10-year treasury bond futures replaced 30-year treasury bond futures to become the most traded variety of CBOT, and it is also one of the most active trading varieties in the global interest rate futures market.
U.S. Treasury bonds are issued by the Ministry of Finance in batches at regular intervals by means of bidding and auction according to their different maturities and market conditions. The United States is a highly market-oriented country with a well-developed financial market. The free flow of funds makes the market interest rate fully reflect the supply and demand of funds, and the marketization of interest rates becomes possible.
In addition to the marketization of interest rates, a certain depth and breadth of the spot market is the basic condition for the development of treasury bonds futures. This is mainly reflected in the scope of participants, market size, trading varieties, liquidity and trading efficiency of the spot market of national debt. Since 1970s, the proportion of outstanding national debt to GDP has steadily increased, and there are a large number of tradable national debt in the spot market, which laid the foundation for an active futures market.
U.S. Treasury bonds are issued regularly, with 2-year bonds issued on the last business day of each month, 3-year, 5-year and 1 10-year bonds issued in February, May and August, and 7-year bonds issued in June, 10-year. The spot issuance of treasury bonds is sufficient, providing an active trading variety for the development of the futures market. Judging from the spot issuance of national debt, the issuance of national debt has increased steadily since 2000. Due to the impact of the financial crisis in 2008, the United States implemented quantitative easing policy, and the issuance of national debt increased significantly. The continuous issuance makes the spot market maintain a certain market scale. From the perspective of transaction volume, the average daily turnover since 2005 (except 2009) is more than 500 billion US dollars, and the liquidity is very active. CME is the most important futures trading market in the United States. At present, the main trading varieties are 10 treasury bonds futures, 2-year treasury bonds futures, 5-year treasury bonds futures, newly issued (OTR) 10 treasury bonds futures, newly issued (OTR)5-year treasury bonds futures, ultra-long-term treasury bonds futures and long-term treasury bonds futures. According to Bloomberg data, in terms of the average daily trading volume of 20 1 1, the most active transaction is the 10-year treasury bond futures contract, with an average daily trading volume of 9 13400, up by 7.97% year-on-year, and the average daily position reached1/kloc-0. The 5-year treasury bond futures contract is the second most active, with an average daily trading volume of 4210.5 million shares, an average daily holding volume of 810.07 million shares and an annual trading volume of10.2 trillion US dollars. The least active trading is the ultra-long-term treasury bond futures contract, with an average daily trading volume of 40,900 lots, but the year-on-year growth rate is the highest. Looking at the development process of futures contracts from the time dimension, the trading volume, positions and transaction amount of treasury bonds futures increased slowly before 2000, and declined to some extent after the 1998 and 1999 financial crises. After 2000, the major national debt futures contracts developed rapidly. On the one hand, since 2000, the proportion of national debt to GDP has continued to rise, and the annual circulation and trading volume of the spot market of national debt have continued to rise. The spot market is very active, which provides a foundation for the development of the futures market. On the other hand, with the further development of the financial industry, many investors have participated in treasury bond futures investment. Affected by the subprime mortgage crisis in 2008, the trading volume of treasury bonds futures declined rapidly, which shows that futures trading is greatly affected by the macroeconomic environment. Comparison of terms of treasury bond futures contracts
Long-term treasury bond futures contracts: Long-term treasury bond futures contracts are traded on CME and London International Financial Futures Exchange. The basic tool of the long-term treasury bond futures contract is a fictitious 20-year treasury bond with a face value of $65,438+000,000, which is quoted in the form of $65,438+000 in coupon rate with a face value of 6%. The minimum price fluctuation of this contract is 1/32/ 1%, so the minimum price fluctuation of this contract is 3 1.25 USD. CBOT allows you to borrow some different bonds for delivery to meet the needs of short positions in the contract. In particular, any irredeemable bonds with a remaining maturity of more than 15 years are eligible for delivery from the first day of the delivery month. Therefore, there are usually at least 20 kinds of unexpired bonds available for delivery. Long-term treasury bond futures contracts require short sellers to deliver any eligible treasury bonds with a face value of 65,438+000,000 US dollars. However, due to the wide range of coupon and maturity of long-term treasury bonds, the price paid by the buyer depends on which bonds the seller chooses to deliver. The rule used by CBOT is to adjust the futures price through a conversion factor, which reflects the present value of each 1 yuan bond on the first day of the trading month when the bond yield is 6%. When using this rule, the conversion coefficient between a given bond and a given delivery month is constant and is not affected by the price fluctuation of bonds and futures contracts. The seller has the right to choose which eligible bonds to deliver, and the delivery must be realized within the delivery month. When the bond is delivered, the buyer is obliged to pay the seller a certain amount, which is equal to the futures price multiplied by the conversion factor, plus the interest generated by the delivery of the bond.
Medium-term treasury bond futures: There are three kinds of medium-term treasury bond futures contracts: 10 year, 5 year and 2 year. These three types of contracts have also become typical national debt after long-term national debt contracts. The underlying securities of the 10-year treasury bond futures contract are fictitious 10-year treasury bonds, with 6% in coupon rate. There are many kinds of deliverable bonds that short sellers can deliver. If the maturity date is not less than 6.5 years and not more than 10 years from the first day of the delivery month, the bond is acceptable. Delivery options are short, and the minimum price fluctuation is the same as that of long-term treasury bond futures contracts.
The basic instrument of the 5-year treasury bond futures contract is the US medium-term treasury bond with a face value of US$ 654.38+million, which meets the following conditions: the issuance period shall not exceed 5 years and 3 months; The remaining period does not exceed 5 years and 3 months; The remaining period is not less than 4 years and 2 months.
The underlying securities of the 2-year Treasury bond futures contract are US Treasury bonds with a face value of US$ 200,000. The remaining term of this bond is not more than 2 years and not less than 65,438+0 years and 9 months, and its issuance period is not more than 5 years and 3 months.
Treasury bond futures contract is the first short-term debt instrument, and it is a model of short-term treasury bond futures contract later. The contract is based on three-month treasury bills with a face value of $654.38 million. This contract is quoted and traded according to the futures price, but in fact this futures price is another way to quote the futures interest rate. The futures price is equal to 100 minus last year's futures interest rate. Treasury bond futures contracts are much simpler than long-term and medium-term treasury bond contracts. The three-month national debt may be a three-month national debt that has just been issued, or it may be a national debt that has only three months left before, but this is not important, because the transactions of the newly issued and previously issued national debt are the same in the spot market, so there is no conversion factor, and the deliverable national debt in the national debt futures market is the cheapest. There is little uncertainty in the choice of delivery date, because the delivery must be carried out in a very short time, usually three days, and the exact delivery date is clearly marked in advance in the trading rules. American futures market supervision system
The amendment to the US Commodity Exchange Act was issued at 1974. After the Commodity Futures Trading Commission was authorized as the only institution to supervise all "commodity" futures trading, the United States launched the first CNMA contract of interest rate futures in CBOT on 1975 and 10, and the subsequent treasury bonds futures were naturally included in the jurisdiction of CFTC. The management of US Treasury bond futures market is characterized by a "three-level management system", which combines the self-supervision of government regulators, trade associations and futures exchanges, emphasizes government intervention and strengthens legislation to manage the futures market. Another feature of the delivery management of treasury bonds futures in the United States is to formulate strict laws and regulations, so that treasury bonds futures transactions can operate orderly and efficiently according to law. The legal system of American treasury bond futures trading consists of two parts: national futures trading management regulations and futures trading rules.