Contract Design Of Treasury Bond Futures: International Experience And Chinese Pattern

Since the 1970s, corresponding to the globalization of financial market, financial liberalization, and financial assets securitization, a large number of complicated financial instruments are created out; the treasury bonds futures are exactly the most representative one among them. It is not only better for avoiding price risk because of variety of interest rate, but also better for finding price to launching government bond futures.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 bond futures was suspended by government's relevant responsible institutions after the pilot project more than two years. Greater changes have taken place in the economy and finance environment of our country over the past 12 years. It is becoming necessary and feasible to relaunch and develop treasury bong futures in China. Now it's important to discuss relevant problems. Futures contract design is key part of launching government bond futures, and the study of contract design of treasury bond futures is especially important. The design of treasury bond futures contracts mainly includes the design of underlying assets, margins, daily price limits and position limits, etc. These clauses construct the contract characteristics of the treasury bond futures contract together. The design of the characteristics of the contract needs to consider three aspects synthetically: attracting the hedgers, attracting the speculators and preventing price manipulation.At present, treasury bonds futures still occupy very important status of the finance derive products market in the world. The government bond futures launched in the exchanges of many countries is all very successful, such as the T-bond futures and T-note futures in CBOT, the Germen government bond futures in EUREX ,the Long Gilt futures in EURONEXT?LIFFE and the Singapore medium-term government bond futures etc. These futures contract can become the model for the study of the treasury bond futures contract design. It is a kind of valuable experience to analyze these futures contract.On the other hand, analyzing the futures contract specifications of China's pilot treasury bond futures, consulting 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 treasury bond futures contract this paper provides is only a guiding frame. With the development of China security market, the conclusions of this paper should be revised according to the theory and China's securities market's practice.