Focus On 5 Year Range Of Deliverable Voucher Adjustment

In March 20, 2015, CICC listed 10 - year treasury bond futures, which could range from 6.5 years to -10.25 years.

Listed in the past 2 months, the scale of product has been growing steadily. The T1509 position of the main contract has exceeded 20 thousand hands, with the highest turnover of nearly 6000 hands.

Meanwhile, the listing of the 10 year treasury bond futures significantly increased the liquidity of the corresponding Treasury bonds in the corresponding period, and the average daily turnover of the 10 year treasury bonds in April 2015 averaged about 8000000000 yuan, which was more than doubled in the month before the 10 year bond futures market, and the bid price difference narrowed to less than 2bp.

At this point, CICC has completed the 5 and 10 years of the medium and long-term treasury bond futures product layout, which will promote the cross border arbitrage trading of treasury bonds futures, and further promote the sound yield curve of treasury bonds.

It is noteworthy that, in line with the 10 year treasury bonds

In February, CIC revised the 5 year treasury bond futures contract, that is, since the TF1512 contract, the range of the 5 year bond futures deliverable certificates will be adjusted from 4-7 years to 4-5.25 years, and the remaining 5.25-7 bonds will not be used for the delivery of TF1512 and subsequent 5 year contracts.

Due to the 5 year period

The 7 year treasury bonds issued in the near future will not be able to be used for the delivery of certain contracts of TF1512 and subsequent 5 year Treasury futures, so the 7 year treasury bonds which originally could be used for arbitrage pactions will no longer be favored.

At the same time, because the interest rate of treasury bonds is not high, investors have low willingness to hold bonds, so investors holding 7 year bonds tend to sell the bonds through TF1506 and TF1509 contracts.

Judging from the position of the 5 year Treasury futures contracts, the TF1506 contract pfer time is obviously postponed, and the current position is still over 20 thousand hands, indicating the seller's investors.

Increased.

Since the listing of the 5 year treasury bond futures market, the two sides have been using the hand delivery mode, that is, in the rolling delivery stage, both parties have submitted the delivery application before entering the delivery matching process.

Since the September 2015 contract, the 10 year and 5 year treasury bond futures will carry out the seller's hand delivery mode, that is, at the rolling delivery stage, the seller will determine the position of the buyer who enters the delivery according to the principle of "priority of declaration intention, the longest priority of holding day and the same proportion of positions on a daily basis", and the buyer may enter the delivery in the rolling delivery stage.

For some investors who do not know the contract rules well and have weak financial strength, they can prepare for shifting positions ahead of schedule, so as to avoid entering the balance compensation after the passive delivery of the goods due to insufficient delivery.

Since the beginning of this year, the market has experienced 2 reduction and 2 rate cuts, and the capital side is relatively loose.

Combined with the low number of CPI and PPI data released in the first few days, the downward pressure on the economy is still relatively large, so bond prices still have a driving force for the rise of PPI.

At the same time, the yield of treasury bonds has rebounded recently, and Treasury futures prices also declined due to the shift of the main contract and other factors.

From the spot market of the Treasury bonds, the liquidity of the 7 year treasury bonds may be weakened due to the difficulty in becoming CTD coupons for future treasury bonds.

On the contrary, because of the 10 year treasury bond futures listing, the liquidity of the 10 year treasury bonds has been significantly improved, so we can shift the focus of the operation to a better liquidity period of 10 years.

For the 7 year treasury bonds with reduced liquidity, on the one hand, they can hold on to the 5 year treasury bonds futures delivery when the remaining period is reduced to less than 5.25 years; on the other hand, because of the relatively high interest rate of the existing securities, the bank configuration households will have certain allocation requirements when the rate of return rises, and they can also be sold in due course.