| Treasury bond futures first came out from CBOT, US in the1970s, when the Bretton Woods System collapsed and the interest rate fluctuated greatly. It provides investors with standardized tools for the management of interest rate risk. On December2,1992China launched treasury bond futures trading, but at that time the degree of marketization is low, the market also lacks regulation, and the contract itself is set unreasonably. As a result, there are frequent breaches to the law and China Securities Regulatory Commission closed the trading market on May17,1995.With the deepening of China’s financial reform, the marketization of interest rate is gradually speeding up and the market interest rate volatility is bigger. In this case, the restart of treasury bond futures for interest risk management become an inevitable choice. On February13,2012China Financial Futures Exchange launched the simulated treasury bond futures trading, which is the prelude to the restart of bond futures trading. After one and a half years’trading experience, it officially launched the treasury bond futures trading on September6,2013.As a kind of fundamental fixed-income derivatives, treasury bond futures can enrich financial institutions’trading strategies and provide investors with a diversified investment choices. In this way, it can meet the market’s urgent need for risk management and at the same time build up a perfect bond market system.In addition, the treasury bond futures can reveal the forward price of treasury bond, which can provide important reference for the pricing of treasury bond and provides treasury bond underwriters with a means to hedge interest rate risk and reduce the issuing cost of treasury bond. At the same time, the treasury bond futures mark is highly standardized and transparent, besides it also has low credit risk, thus it can help to form a national public price, improve the efficiency of the treasury bond market pricing and promote the establishment of perfect system of benchmark interest rate.China’s Treasury bond futures contract is a standard contract and the underlying asset is a virtual bond which corresponds to a basket of deliverable bonds. The contact gives the short the right to choose the optimal bond to make delivery, which is commonly referred to as quality options. The short can choose any time within the stipulated period to make delivery, which is called the timing option. In the treasury bond future market, the short will not pay for the delivery option separately, however, the value of the option shall be reflected in the treasury bond future price in a rational market. Thus can form an equilibrium price and make less room for arbitrage.This paper provides a deep analysis of China’s treasury bond future contracts and the delivery system, based on which it chooses TF1312、TF1403、TF1406and TF1409with the last three months’trading data and calculates the value of the delivery options with none-arbitrage model. It further calculates the theoretical prices of the treasury bond future contracts. Then by comparing the actual prices and theoretical prices we can know whether or not the value of delivery options is fully reflected in the future price, which determines the efficacy of treasury bond future pricing.The research finds that the value of China’s Treasury bond futures contract is less than1%of the contract, less than that of America’s. This is mainly due to the basket of deliverable bonds are not that many as America’s. The actual prices are in general consistent with the theoretical price, which explains that the pricing of China’s Treasury bond futures contract is efficient. However, there are also some days when the two not match well, which is because the liquidity of the treasury bond market is not so desirable.This paper uses the quantitative analysis as research methods. The innovation is that it first systematically combed research literature on Treasury bonds futures delivery options. In addition, this paper also takes the lead in using the real data of China’s Treasury bond futures to analyze the value delivery options. Inadequately, since China’s Treasury bond futures are restarted just one year, the quantity of the data is not enough to support in-depth study of the influence factors of the delivery option value. |
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