中国国债期货

单击此处编辑母版标题样式Investment consulting business qualification：CSRC License [2012] No. 669This report is not a service under the futures trading consulting business, and the opinions and information provided are for reference only and do not constituteinvestment advice to anyone. CITIC Futures do not consider relevant personnel as client due to their attention, receipt, or reading of the content of this report.中国国债期货投资咨询业务资格：证监许可【2012】669号研究员 Researcher: 张菁 Zhang Jing 从业资格号 Qualification No.：F3022617 投资咨询号 Investment consulting No.：Z0013604 重要提示：本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人的投资建议。我司不会因为关注、收到或阅读本报告内容，而视相关人员为客户。市场有风险，投资需谨慎。China Government Bond Futures基础介绍 Introduction国际化统筹 Internationalization Coordinator: 桂晨曦 Gui Chenxi 从业资格号 Qualification No.F3023159 投资咨询号 Investment consulting No.Z0013632 Content 目录This report is not a service under the futures trading consulting business, and the opinions and information provided are for reference only and do not constituteinvestment advice to anyone. CITIC Futures do not consider relevant personnel as client due to their attention, receipt, or reading of the content of this report.1. 期货合约 Introduction2. 套保策略 Hedging Strategies3.套利策略 Arbitrage StrategiesFutures contract comparison 期货合约比较TTFTSTLUnderlying product qualityNominal long term treasury bond with face value of 1 million RMB and a coupon rate of 3%Nominal medium term treasury bond with face value of 1 million RMB and a coupon rate of 3%Nominal medium and short-term treasury bond with face value of 2 million RMB and a coupon rate of 3%Nominal ultra-long-term treasury bond with face value of 1 million RMB and a coupon rate of 3%Deliverable Treasury Bonds Book-entry interest-bearing treasury bonds with an issuance period not exceeding 10 years and a remaining term not less than 6.5 years on the first day of the contract expiration monthBook-entry interest-bearing treasury bonds with an issuance period not exceeding 5.25 years and a remaining term not less than 4 years on the first day of the contract expiration monthBook-entry interest-bearing treasury bonds with an issuance period not exceeding 2.25 years and a remaining term not less than 1.5 years on the first day of the contract expiration monthBook-entry interest-bearing treasury bonds with an issuance period not exceeding 30 years and a remaining term not less than 25 years on the first day of the contract expiration monthPrice QuotationNet Price of 100RMBMinimum Price Fluctuation0.005 RMB0.002RMB0.01RMBMaximum Price Fluctuation2% of the contract value1.2% of the contract value0.5% of the contract value3.5% of the contract valueMinimum Trading Margin2% of the contract value1% of the contract value0.5% of the contract value3.5% of the contract value可交割国债合约标的报价方式最小变动价位最大波动限制最低交易保证金This report is not a service under the futures trading consulting business, and the opinions and information provided are for reference only and do not constituteinvestment advice to anyone. CITIC Futures do not c