国债期货系列之一：国债期货入门手册之基本概念篇

1. Report Industry Investment Rating - The industry investment rating includes "Stronger than the Market" (the industry index is expected to outperform the CSI 300 Index by more than 5% in the next 6 months), "Neutral" (the industry index is expected to perform within ±5% of the CSI 300 Index in the next 6 months), and "Weaker than the Market" (the industry index is expected to underperform the CSI 300 Index by more than 5% in the next 6 months) [53] 2. Core Viewpoints of the Report - The report serves as an introductory manual for treasury bond futures, covering basic concepts such as varieties, contracts, delivery systems, and fundamental terms like conversion factors, basis, the cheapest-to-deliver bond, and implied interest rates [2][3] 3. Summary by Relevant Catalogs PART1: Initial Understanding of Treasury Bond Futures - Four Varieties: There are four varieties of treasury bond futures in China: 2-year (TS), 5-year (TF), 10-year (T), and 30-year (TL), with different contract specifications including contract value, deliverable bonds, minimum price change, daily price limit, and minimum trading margin [2][9][10] - Four Contracts: Each variety has 4 fixed contracts per year with delivery months fixed as quarterly months (March, June, September, and December). Only the nearest three contracts can be traded, namely the current-quarter, next-quarter, and far-quarter contracts. The most actively traded contract is the main contract, usually the current-quarter contract, and the main contract switches around 20 - 30 days before the last trading day of the current-quarter contract [14] - Physical Delivery System: China's treasury bond futures adopt physical delivery, using both "rolling delivery" and "centralized delivery." Rolling delivery allows the short side to submit delivery applications daily starting from the contract expiration month, and the CFFEX selects appropriate long sides for matching. Unclosed positions on the delivery day enter the centralized delivery process [15] - Development of China's Treasury Bond Futures Market: The 5-year treasury bond futures contract was launched in September 2006, the 10-year in March 2015, the 2-year in August 2018, and the 30-year in April 2023. Public funds and securities companies started participating in 2013, while commercial banks and insurance institutions began in 2020 [20] - Investor Participation Modes: Banks, insurance companies, and public funds mainly use treasury bond futures for hedging, while securities companies have more flexible trading strategies [22] PART2: Several Basic Concepts of Treasury Bond Futures - Conversion Factor: It is the conversion ratio between real treasury bonds and the virtual nominal standard bond. Calculated by discounting all future cash flows of the cash bond to the treasury bond futures delivery date at a 3% rate, it remains unchanged during the contract period. Bonds with a coupon rate greater than 3% have a conversion factor greater than 1, and vice versa [3][28][29] - Basis and Net Basis: The basis (B) = cash bond net price - treasury bond futures price * CF, and the net basis (BNOC) = basis - holding period return. The net basis can better measure the actual profit and loss from the spot-futures difference. The basis generally converges to 0 at contract expiration, and a high basis may indicate an overvalued cash bond and an undervalued futures, and vice versa [3][32][35] - Cheapest-to-Deliver Bond (CTD): The CTD is the bond with the lowest delivery cost selected by the short side. Methods to find the CTD include the IRR method (the bond with the highest IRR is the CTD), the net basis method (the bond with the lowest net basis is the CTD), and empirical rules. The accuracy order is IRR method > basis method > empirical rules [38][42][43] - Implied Interest Rate (Implied YTM): If combined with a selected cash bond, the treasury bond futures price can be regarded as the forward price of the corresponding cash bond. The implied YTM of treasury bond futures represents the forward YTM of the cash bond calculated based on its forward price. The difference between spot and futures yields can reflect whether the spot and futures prices deviate significantly [44][46] PART3: Summary - Conversion Factor: It makes various deliverable bonds comparable, enriches deliverable bond varieties, and enhances market efficiency [49] - Basis: Measures the price difference between the spot and futures markets to find over - or under - valued opportunities [49] - Net Basis: Represents the actual arbitrage space after deducting holding returns, closer to the actual return of spot - futures arbitrage [49] - Implied Repurchase Yield (IRR): Used to evaluate risk - free arbitrage opportunities [49] - Cheapest - to - Deliver Bond (CTD): Serves as the benchmark for futures pricing and affects futures price trends [49] - Implied Interest Rate: Helps predict market interest rate trends and assist in cash bond investment decisions [49]