《西方国家国债期货交易及其启示（treasury futures trading in western countries and its enlightenment）》由会员分享，可在线阅读，更多相关《西方国家国债期货交易及其启示（treasury futures trading in western countries and its enlightenment）（17页珍藏版）》请在金锄头文库上搜索。
1、西方国家国债期货交易及其启示（Treasury futures trading in western countries and Its Enlightenment）Treasury futures trading in western countries and Its EnlightenmentTreasury futures trading in western countries and its implications 2008-12-20 15:10:21Abstract: as a kind of special commodity, the transaction mode o
2、f national debt is developed from spot transaction to futures transaction, which is the historical necessity of the development of market economy and the continuous innovation of financial instruments. Treasury bond futures began in 1976 in the United States, and then, Britain, France, Germany, Japa
3、n and other western countries have launched their own Treasury futures trading, and achieved great success. Restart the securities futures market, we should learn their successful experiences: Cultivation of treasury stock market perfect, scientific and reasonable design of treasury bond futures con
4、tract, strengthen risk management, improve the information disclosure system, vigorously develop institutional investors, pay attention to the construction of bond futures market laws and regulations, etc.Key words: Western countries; treasury bond futures; treasury bond futures contracts; Treasury
5、futures trading management systemAfter the introduction of treasury bond futures in 1992, the market opened in two years and six months and died because of lack of research on international successful experience and many other reasons. In the new situation of Chinas entry to WTO, push bond futures t
6、rading has referred to the decision-making schedule, the successful experience of western countries bond futures, bond futures trading for pushing our country has a very important significance.First, the general situation of treasury bond futures in western countries(1) treasury bond futures trading
7、 in the United States;1. treasury bond futures contracts. The spot market of US Treasury bonds is very developed, trading activities are brisk, and the issuance of treasury bonds is large in scale, rich in varieties, reasonable in term structure and holder, and large in circulation. The Treasury bon
8、ds of the United States are divided into three kinds: short, medium and long term. Correspondingly, treasury bond futures contracts are divided into three kinds: short, medium and long term.(1) short-term treasury bond futures contracts - Treasury bond futures contracts. The US Treasury futures cont
9、ract is a short-term treasury bond futures contract with 91 days (13 weeks) Treasury notes, which includes: 1) trading units. Each contract represents $1 million of Treasury notes for 91 days (13 weeks). 2) quotation method. The lowest change price is quoted in an exponential manner (= 1 - year disc
10、ount rate) * 100.3). 1 percentage points, or 0.01%, or one percent, or a basic point. 4) the delivery month is 3, 6, 9, and December. 5) delivery. Although the contract for the 90 day T-bill for the subject matter, but is not limited to the contract expires 90 days Treasury, but according to the int
11、ernational monetary market (IMM) regulations, not only can the new issue of the 3 month period, 91 day or 92 day T-bill, also has 90 days in the remaining term of the original issuance of 6 month or 1 year treasury, to ensure the completion of delivery. 6) calculation of the delivery price. At deliv
12、ery, short delivery, treasury bills, long payment, invoice amount, invoice amount = par value annual discount rate * * * * maturity date /360 days.(2) long-term treasury bond futures contracts. It is a futures contract based on a (fictitious) 20 year long coupon with a coupon interest rate of 8%, wh
13、ich includes: 1) trading unit. The amount of each long-term treasury bond futures contract is $100 thousand. 2) the delivery month is 3, 6, 9, and December. 3) quotation method. Quoted in US dollars and US $1/32, the quoted price is the national debt price of $100. 4) delivery methods.The delivery t
14、o 3 days: the first day is the first business day before the second day of the delivery month futures contract; the second day, the clearing house from long numerous open choose among the buyer, once selected, the seller will be invoiced to a specific delivery of bonds, the buyer to pay the amount;
15、third days and actual delivery the date of payment. 5) delivery system. Its subject matter is a long-term public debt with a maturity of 20 years and a coupon rate of 8%. However, such standardized bonds do not exist or even exist on the spot market, so the United States has a mixed delivery system,
16、The seller can be used for delivery of the bonds is not less than 15 years of remaining maturity of any long-term U.S. government bonds, it is necessary to introduce the conversion coefficients of different coupon debt prices, so that every kind of bonds have maintained a coupon rate of 8%.(3) treasury bond futures contracts. It is a repayment period of 1 years or more, not more than 10 years of treasury bond futures, in addition to the remaini
