近年(nian)來(lai),我國(guo)(guo)(guo)國(guo)(guo)(guo)債(zhai)期(qi)(qi)(qi)貨(huo)市(shi)場(chang)建設取得了較為豐碩的成果。2013年(nian),5年(nian)期(qi)(qi)(qi)國(guo)(guo)(guo)債(zhai)期(qi)(qi)(qi)貨(huo)上市(shi),填補了我國(guo)(guo)(guo)場(chang)內(nei)利率衍生品空白。2015年(nian),10年(nian)期(qi)(qi)(qi)國(guo)(guo)(guo)債(zhai)期(qi)(qi)(qi)貨(huo)上市(shi),標(biao)志(zhi)我國(guo)(guo)(guo)國(guo)(guo)(guo)債(zhai)期(qi)(qi)(qi)貨(huo)從(cong)單(dan)品種(zhong)(zhong)到多品種(zhong)(zhong)的突破,風(feng)險管理能(neng)力(li)、曲線交易能(neng)力(li)進一步提高。2018年(nian),2年(nian)期(qi)(qi)(qi)國(guo)(guo)(guo)債(zhai)期(qi)(qi)(qi)貨(huo)上市(shi),國(guo)(guo)(guo)債(zhai)收益(yi)率曲線進一步健(jian)全。
我國國債期貨市場功能逐步發揮
我國(guo)國(guo)債(zhai)(zhai)(zhai)期(qi)貨(huo)上(shang)(shang)市(shi)(shi)以(yi)來(lai),市(shi)(shi)場規模穩步成(cheng)(cheng)長(chang),成(cheng)(cheng)熟度(du)不斷提升(sheng)。一是(shi)成(cheng)(cheng)交、持(chi)(chi)(chi)倉規模穩步上(shang)(shang)升(sheng)。2018年(nian)(nian),國(guo)債(zhai)(zhai)(zhai)期(qi)貨(huo)日均(jun)(jun)(jun)成(cheng)(cheng)交、持(chi)(chi)(chi)倉分(fen)別為4.47萬(wan)手(shou)、7.92萬(wan)手(shou),分(fen)別是(shi)上(shang)(shang)市(shi)(shi)初期(qi)的10倍(bei)和21倍(bei)。二是(shi)國(guo)債(zhai)(zhai)(zhai)期(qi)現貨(huo)走勢高度(du)一致。自(zi)上(shang)(shang)市(shi)(shi)以(yi)來(lai),5年(nian)(nian)期(qi)、10年(nian)(nian)期(qi)國(guo)債(zhai)(zhai)(zhai)期(qi)現貨(huo)相關(guan)性(xing)均(jun)(jun)(jun)達(da)99%以(yi)上(shang)(shang),2年(nian)(nian)期(qi)相關(guan)性(xing)也在97%以(yi)上(shang)(shang)。三是(shi)機(ji)構化程度(du)高。近年(nian)(nian)來(lai),國(guo)債(zhai)(zhai)(zhai)期(qi)貨(huo)機(ji)構投(tou)資者參與度(du)持(chi)(chi)(chi)續上(shang)(shang)升(sheng),持(chi)(chi)(chi)倉占比達(da)80%以(yi)上(shang)(shang),是(shi)我國(guo)機(ji)構持(chi)(chi)(chi)倉占比最(zui)高的期(qi)貨(huo)品種。四是(shi)交割平(ping)穩順暢。截(jie)至2019年(nian)(nian)3月,國(guo)債(zhai)(zhai)(zhai)期(qi)貨(huo)共完成(cheng)(cheng)39個合約交割,平(ping)均(jun)(jun)(jun)交割量為789手(shou),平(ping)均(jun)(jun)(jun)交割率(lv)為3.5%,與國(guo)際市(shi)(shi)場水平(ping)相當。
我國(guo)國(guo)債(zhai)期(qi)(qi)(qi)(qi)(qi)貨(huo)(huo)(huo)(huo)上市(shi)(shi)(shi)時間雖然(ran)不長(chang),但產品(pin)運行(xing)(xing)(xing)平穩,市(shi)(shi)(shi)場(chang)(chang)(chang)功能(neng)逐步發(fa)揮(hui)。首先(xian),國(guo)債(zhai)期(qi)(qi)(qi)(qi)(qi)貨(huo)(huo)(huo)(huo)為(wei)市(shi)(shi)(shi)場(chang)(chang)(chang)提(ti)供(gong)了(le)(le)有(you)力的(de)(de)(de)利率風(feng)(feng)(feng)險(xian)對(dui)沖(chong)(chong)工具(ju)。國(guo)債(zhai)期(qi)(qi)(qi)(qi)(qi)貨(huo)(huo)(huo)(huo)上市(shi)(shi)(shi)之(zhi)前,機構在(zai)債(zhai)市(shi)(shi)(shi)下跌時只(zhi)能(neng)通過賣掉國(guo)債(zhai)來規(gui)避(bi)風(feng)(feng)(feng)險(xian)。國(guo)債(zhai)期(qi)(qi)(qi)(qi)(qi)貨(huo)(huo)(huo)(huo)上市(shi)(shi)(shi)之(zhi)后,國(guo)債(zhai)期(qi)(qi)(qi)(qi)(qi)貨(huo)(huo)(huo)(huo)和國(guo)債(zhai)價(jia)(jia)格走勢(shi)具(ju)有(you)很(hen)(hen)強的(de)(de)(de)收斂(lian)性(xing),運行(xing)(xing)(xing)過程(cheng)當中期(qi)(qi)(qi)(qi)(qi)現貨(huo)(huo)(huo)(huo)相(xiang)關度高(gao)達(da)99%左(zuo)右(you),許(xu)多(duo)機構利用(yong)(yong)國(guo)債(zhai)期(qi)(qi)(qi)(qi)(qi)貨(huo)(huo)(huo)(huo)進行(xing)(xing)(xing)國(guo)債(zhai)的(de)(de)(de)風(feng)(feng)(feng)險(xian)管理(li),避(bi)險(xian)效(xiao)果(guo)良好。其次(ci),國(guo)債(zhai)期(qi)(qi)(qi)(qi)(qi)貨(huo)(huo)(huo)(huo)提(ti)高(gao)了(le)(le)國(guo)債(zhai)市(shi)(shi)(shi)場(chang)(chang)(chang)定價(jia)(jia)效(xiao)率。國(guo)債(zhai)期(qi)(qi)(qi)(qi)(qi)貨(huo)(huo)(huo)(huo)價(jia)(jia)格實(shi)時變動(dong)(dong),且采用(yong)(yong)保(bao)證(zheng)金交(jiao)易(yi)(yi),價(jia)(jia)格連續、公開、透明,流(liu)動(dong)(dong)性(xing)相(xiang)對(dui)較好,交(jiao)易(yi)(yi)成本較低,可以(yi)快速(su)(su)反應各種市(shi)(shi)(shi)場(chang)(chang)(chang)信息。再次(ci),國(guo)債(zhai)期(qi)(qi)(qi)(qi)(qi)貨(huo)(huo)(huo)(huo)提(ti)高(gao)了(le)(le)國(guo)債(zhai)現券市(shi)(shi)(shi)場(chang)(chang)(chang)的(de)(de)(de)流(liu)動(dong)(dong)性(xing)。國(guo)債(zhai)期(qi)(qi)(qi)(qi)(qi)貨(huo)(huo)(huo)(huo)上市(shi)(shi)(shi)之(zhi)后,市(shi)(shi)(shi)場(chang)(chang)(chang)中存在(zai)跨期(qi)(qi)(qi)(qi)(qi)現貨(huo)(huo)(huo)(huo)操作的(de)(de)(de)需求,比(bi)如(ru)套保(bao)、套利和實(shi)物交(jiao)割,都使得(de)可交(jiao)割國(guo)債(zhai)持續成為(wei)市(shi)(shi)(shi)場(chang)(chang)(chang)交(jiao)易(yi)(yi)活(huo)躍的(de)(de)(de)品(pin)種。同時,國(guo)債(zhai)期(qi)(qi)(qi)(qi)(qi)貨(huo)(huo)(huo)(huo)還提(ti)高(gao)了(le)(le)做市(shi)(shi)(shi)商的(de)(de)(de)做市(shi)(shi)(shi)意愿,從而提(ti)高(gao)國(guo)債(zhai)市(shi)(shi)(shi)場(chang)(chang)(chang)流(liu)動(dong)(dong)性(xing)。作為(wei)做市(shi)(shi)(shi)商,很(hen)(hen)多(duo)大(da)銀(yin)行(xing)(xing)(xing)、大(da)公司有(you)義(yi)務提(ti)供(gong)報價(jia)(jia),承(cheng)擔被迫(po)(po)成交(jiao)、被迫(po)(po)持有(you)的(de)(de)(de)風(feng)(feng)(feng)險(xian)。有(you)了(le)(le)國(guo)債(zhai)期(qi)(qi)(qi)(qi)(qi)貨(huo)(huo)(huo)(huo)之(zhi)后,做市(shi)(shi)(shi)商做市(shi)(shi)(shi)變得(de)便(bian)捷,一旦被迫(po)(po)持有(you)國(guo)債(zhai),就可以(yi)用(yong)(yong)國(guo)債(zhai)期(qi)(qi)(qi)(qi)(qi)貨(huo)(huo)(huo)(huo)迅速(su)(su)對(dui)沖(chong)(chong),始(shi)終(zhong)保(bao)持風(feng)(feng)(feng)險(xian)中性(xing)的(de)(de)(de)狀態。此外,國(guo)債(zhai)期(qi)(qi)(qi)(qi)(qi)貨(huo)(huo)(huo)(huo)的(de)(de)(de)出現促進了(le)(le)國(guo)債(zhai)一級市(shi)(shi)(shi)場(chang)(chang)(chang)發(fa)行(xing)(xing)(xing)。利用(yong)(yong)國(guo)債(zhai)期(qi)(qi)(qi)(qi)(qi)貨(huo)(huo)(huo)(huo)對(dui)沖(chong)(chong)價(jia)(jia)格風(feng)(feng)(feng)險(xian)是國(guo)際慣例。國(guo)內很(hen)(hen)多(duo)證(zheng)券公司的(de)(de)(de)承(cheng)銷團(tuan)成員也會采用(yong)(yong)國(guo)債(zhai)期(qi)(qi)(qi)(qi)(qi)貨(huo)(huo)(huo)(huo)進行(xing)(xing)(xing)對(dui)沖(chong)(chong),比(bi)如(ru)在(zai)投資標的(de)(de)(de)時利用(yong)(yong)國(guo)債(zhai)期(qi)(qi)(qi)(qi)(qi)貨(huo)(huo)(huo)(huo)鎖(suo)定風(feng)(feng)(feng)險(xian)也收到了(le)(le)很(hen)(hen)好效(xiao)果(guo)。
中(zhong)(zhong)證(zheng)(zheng)網(wang)(wang)(wang)(wang)(wang)聲(sheng)明(ming)(ming)(ming):凡本(ben)網(wang)(wang)(wang)(wang)(wang)注明(ming)(ming)(ming)“來源:中(zhong)(zhong)國(guo)證(zheng)(zheng)券(quan)(quan)(quan)報·中(zhong)(zhong)證(zheng)(zheng)網(wang)(wang)(wang)(wang)(wang)”的(de)(de)所有作(zuo)品(pin),版(ban)權均(jun)屬于(yu)中(zhong)(zhong)國(guo)證(zheng)(zheng)券(quan)(quan)(quan)報、中(zhong)(zhong)證(zheng)(zheng)網(wang)(wang)(wang)(wang)(wang)。中(zhong)(zhong)國(guo)證(zheng)(zheng)券(quan)(quan)(quan)報·中(zhong)(zhong)證(zheng)(zheng)網(wang)(wang)(wang)(wang)(wang)與作(zuo)品(pin)作(zuo)者(zhe)聯合聲(sheng)明(ming)(ming)(ming),任何組(zu)織未經中(zhong)(zhong)國(guo)證(zheng)(zheng)券(quan)(quan)(quan)報、中(zhong)(zhong)證(zheng)(zheng)網(wang)(wang)(wang)(wang)(wang)以及作(zuo)者(zhe)書面(mian)授權不得轉載、摘(zhai)編(bian)或利(li)用其它方式使用上述作(zuo)品(pin)。凡本(ben)網(wang)(wang)(wang)(wang)(wang)注明(ming)(ming)(ming)來源非中(zhong)(zhong)國(guo)證(zheng)(zheng)券(quan)(quan)(quan)報·中(zhong)(zhong)證(zheng)(zheng)網(wang)(wang)(wang)(wang)(wang)的(de)(de)作(zuo)品(pin),均(jun)轉載自其它媒體(ti),轉載目(mu)的(de)(de)在于(yu)更好服務讀者(zhe)、傳遞信(xin)息(xi)之(zhi)需,并不代表本(ben)網(wang)(wang)(wang)(wang)(wang)贊同其觀點(dian),本(ben)網(wang)(wang)(wang)(wang)(wang)亦不對(dui)其真實性負責,持異(yi)議者(zhe)應與原出處(chu)單位主張權利(li)。
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