| The development of treasury futures has important significance for promoting the development of futures markets and financial innovation,meeting investors' demand for investment and risk management,or even accelerating the process of marketization of interest rates.In the 1990s,our country had tried to launch a pilot treasury futures trading,but the frequent occurrence of "Corner" led the pilot period of treasury failure finally.With the growing size of T-bond spot market,the investors'demand for investing and hedging increasing too.In order to promote the process of marketization of interest rates as well as to promote the development of China's futures market,treasury futures simulation trading kicked off on February 13,2012.The end of June 2013,China's government bond futures had been formally approved by the State Council,relevant departments,in September 6,2013 officially listed.In order to prevent the tragedy from happening again,bond futures delivery designed to determine its ability to run smoothly and can play price discovery and risk management functions of the core elements.Treasury futures can adopt physical delivery or cash settlement two delivery methods.Compared with cash settlement,treasury futures'physical delivery mechanism has the following advantages:improving the mobility of treasury stock of old bonds,accelerating the process of marketization of interest rates,promoting treasury futures hedging functions play,and effectively preventing the risk of "Corner" during delivery process.Currently,from the view of T-bond spot size and maturity structure,the treasury future has the material basis of physical delivery.Therefore,the simulation trading and transactions launched by China Financial Futures Exchange both adopted multiasset T-bond practical delivery system.At present,multiasset T-bond practical delivery system is adopted by treasury futures delivery.Under that system,settlement payment calculation is a key factor in determining the delivery success and settlement risk in deliverable bonds delivery.However,existing conversion factor systems which is used for settlement calculation has a very limited scope.Moreover,on that condition,treasury futures system cannot exert influence on function of price forecast,especially in the extreme cases,the liquidity problem of deliverable bonds can even cause risk of market manipulation.After exploring invoice price calculation,this paper will provides a new futures invoice price calculation model,true notional bonds system,on the basis of systematical discussion on the defect of conversion factor systems.Compared to conversion factor systems,true notional bonds system has a lower threshold to market yield in delivery.At the same time,this paper also adopts the positive research method to analyze what the differences between true notional bonds systems and conversion factor systems when market yield curve is irregular.As a result,the conclusion of this paper is that whether the market yield curve in delivery is regular or not,true notional bonds systems still has distinct advantages to improve futures price forecast function and avoid the market manipulation risk.Therefore,in order to ensure the safety and smooth of treasury futures delivery process,so that the treasury futures market functions better play,this paper considers the delivery of china treasury futures should adopt the delivery price setting mechanisms based on true notional bond system. |
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