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1、1Western countries treasury bond futures trading and its ImplicationsAbstract: The state as a special commodity, its trading approach to the development of futures by the spot transaction is a market economy and the continuous innovation of financial instruments historically inevitable. Treasury bon
2、d futures trading began in 1976, the United States, then Britain, France, Germany, Japan and other Western countries have also launched their own treasury bond futures trading, and great success. Restart the treasury bond futures trading in China should learn from the successful experience: A focus
3、on the cultivation of perfect bond spot market, designing a scientific and reasonable bond futures contracts, strengthen risk management, improve information disclosure system, vigorously develop institutional investors, bond futures market-oriented laws and regulations building, and so on. Keywords
4、: Western countries; treasury bond futures trading; bond futures contract; treasury bond futures trading management system Chinas treasury bond futures trading in 1992 after the 2release of international success because of the lack of empirical research as well as other various reasons, opened just
5、two years and six months aborted. In the new situation of Chinas accession to WTO, the re-launch the treasury bond futures trading has been referred to the agenda of decision-making level, for which treasury bond futures trading in Western countries the successful experience of Chinas treasury bond
6、futures trading for the re-launch has a very important learn. 1, Western countries treasury bond futures trading profile (A) The United States treasury bond futures trading 1. Bond futures contracts. U.S. Treasury is very well developed spot market, trading activity, large-scale issuance of treasury
7、 bonds, species richness, maturity structure, and holders of a reasonable structure, large circulation. The U.S. national debt is divided into short-, medium-and long-term three kinds, and to this, the bond futures contracts are also divided into short-, medium-and long-term three kinds. (1) Short-t
8、erm Treasury bond futures contracts - Treasury futures contracts. U.S. Treasury futures contract is a kind of 91 days (13 weeks) phase of the subject matter of the short-term Treasury bond futures contracts, which include: 1) the 3transaction unit. Contract on behalf of one million U.S. dollars each
9、 for 91 days (13 weeks) period of treasury bills. 2) Price method. Exponentially reported a, quote index = (1 - year discount rate) * 100.3) Minimum change in price. One-hundredth of a percentage point, or 0.01%, or as a basic point. 4) The delivery month for each year 3,6,9,12 months. 5) The delive
10、ry of goods. Although the contract for the 90-day treasury bills subject matter, but are not limited to the expiration period of 90 days Treasury bills, but according to the International Monetary Market (IMM) requirements may be either newly issued 3-month, 91 days or 92 days Treasury bills, can al
11、so be a period of 90 days remaining of the original release of the 6-month or 1-year treasury bills in order to ensure the completion of delivery. 6) The delivery price calculation. In the settlement, the short delivery of short-term Treasury bills, long payment invoice amount, invoice amount = face
12、 value - year maturity discount rate * face value * the number of days / 360 days. (2) Long-term bond futures contracts. It is based on a (fictional) 20-year period, the coupon interest rate of 8% of the long-term treasury bonds for the subject matter of the futures contracts, including: 1) The tran
13、saction unit. Each 4amount of the long-term bond futures contract was 10 million. 2) The delivery month for each year 3,6,9,12 months. 3) Price method. In U.S. dollars and 1 / 32 U.S. dollars for the different agencies out, the reported price is 100 U.S. dollars face value of the bonds. 4) delivery
14、methods. Involved in its delivery three days: the first day of the futures contract delivery month of the first business day after a few days ago; the next day, clearing from the many outstanding long positions by choosing the buyer, once selected, the seller would be for a particular Bonds out of t
15、he delivery invoice, the buyer is prepared to pay the amount; the third day that is, actual delivery and payment date. 5) delivery system. Its subject matter is a term of 20 years, the coupon interest rate of 8% of the long-term public debt. However, this standardization is the subject bonds in the
16、spot market, there are few, or even non-existent, therefore, the United States by implementing a mixed delivery system, namely, the seller can be used for delivery of the bonds remaining maturity less than 15 years, any long-term U.S. government securities, This requires the introduction of conversion factors for different nominal interest rates of treasury bonds to price conversion, so that each bond has maintained an 8% coupon 5rate. (3) the medium-term bond futures c
