Research On The Contract Design Of Medium And Long-Term Treasury-Bonds Futures In China

Since the 1970s, the enormous change has taken place in western monetary system and international economic pattem.The great change has taken place to the international financial market.The globalization of financial market , financial liberalization , financial assets securitisation become the main characteristics of this period. Corresponding to this, a large number of complicated financial instruments are created out, the treasury bonds futures are exactly the most representative one among them. On August 22, 1977, American long-term treasury bonds futures contract is listed on Chicago Board of Exchange. This is an important incident with milestone meaning on the futures development course of treasury bonds futures. This variety of trade has obtained unprecedented success, and become the largest financial contract in trading volume in the world at that time.At the beginning of 1990s, China has carried on the pilot project of treasury bond futures. But because of many aspects, the market speculation and the price manipulation were unusually serious, and the treasury debt futures was suspended suspended by government's relevant responsible institutions after the pilot project more than two years. Geater changes have taken place in the economy and finance environment of our country over the past 9 years. It is becoming necessary and feasible to relanch and develop treasury bond futures in China. Now it's important to discuss relevant problems. Futures contract design is one of main works or revovery government bond futures, and the study of contract design of medium and long-term treasury bond futures is especially important, because the futures is key part of treasury bond futures.The design of medium and long-term treasury bond futures contracts mainly includes the design of underlying assets, margins, daily price limits and position limits, etc. These plauses constructe the contract characteristics of the medium and long-term treasury bond futures contract together. The design of the characteristics of the contract needs to consider three aspects sysnthetically: attracting the hedgers, attracting the speculators and preventingprice manipulation.At present, treasury bonds futures still occupy very important status of the finance derive products market in the world. The medium and long-term government bond futures launched in the exchanges of many countries is all very successul, such as the T-bond futures and T-note futures in CBOT, the Long Gilt futures in LIFFE, the Germen government bond futures in EUREX and the Singarp medium-term government bond futures etc. These futures contract can become the model for China's medium and long-term treasury bond futures contract design.On the other hand, analysing the futures contract specifications of China's pilot treasury bond futures, comparing them with the contracts successful in international market, and looking at present China's finance market, can design the futures contract suitable to China.It must be pointes that the medium and long-term treasury bond futues contract this paper provides is only a guiding frame. With the development of China security market, the conclusions of this papar should be revised according to de theory and China's securities market's practice.