【申万固收|利率专题】一文读懂国债期货及期权研究框架

Group 1 - The article discusses the definition and main functions of government bond futures, which are standardized contracts linked to virtual bonds and involve the delivery of actual government bonds [2][8][15] - Since 2013, China has gradually listed various government bond futures contracts, including 2-year, 5-year, 10-year, and 30-year bonds, with participation from securities firms, funds, insurance companies, and banks [4][23][26] - Government bond futures are widely used for hedging, directional trading, and various arbitrage strategies, including inter-period arbitrage, basis trading, and cross-commodity arbitrage [4][8][26] Group 2 - The article outlines common indicators and calculations used in government bond futures, such as conversion factors, implied repo rates (IRR), cheapest-to-deliver (CTD) bonds, and basis values [41][43][52] - The conversion factor is a crucial parameter that reflects the price relationship between deliverable bonds and the nominal standard bond [42][46] - The implied repo rate (IRR) is defined as the theoretical annualized yield obtained from buying government bonds and selling the corresponding futures, then using the bonds for delivery [52][53] Group 3 - The article highlights the participation of institutions in government bond futures, indicating that the 10-year and 30-year bonds are the most actively traded, while the 10-year and 5-year bonds show significant demand in terms of open interest [22][26] - The trading volume of government bond futures has steadily increased, reflecting growing market activity [23][24] - The article also mentions the potential listing of government bond options as a powerful risk management tool, detailing various common options strategies [4][8][26] Group 4 - The article provides a comparison of the contract terms for different types of government bond futures, including contract size, minimum price fluctuation, and trading hours [25][40] - The delivery mechanism for government bond futures is based on physical delivery, differing from cash settlement used in stock index futures [30][31] - The average delivery rates for 2-year, 5-year, 10-year, and 30-year government bond futures in 2023 were reported as 4.65%, 1.65%, 2.11%, and 4.33% respectively [30]