国债期货应用：套保与套利-240306-西南证券-24页_1mb

报告摘要

总结（英文）

Summary of National Treasury Bond Futures Application: Hedging and Arbitrage

This report from the Fixed Income Research Team at Southwest Securities’ Research and Development Center analyzes the application of treasury bond futures, focusing on hedging and arbitrage strategies.

National Treasury Bond Futures Market Status and Basic Elements

Product System: Since the restart of China’s treasury bond futures market in 2013 (marked by the listing of the 5-year Treasury futures contract), the market has established a comprehensive product system covering short-term (TS), medium-term (TF), long-term (T), and ultra-long-term (TL) bonds.
Market Growth: By February 2024, the total holding volume of treasury bond futures contracts reached approximately 65.758 million lots, with a historical percentile of around 60.5%. Cumulative trading volume since 2013 has reached 52.58 trillion CNY.
TL Participation: Since January 2024, the TL contract has seen increased holding volumes, especially due to sustained downward trends in long-term bond yields.

Treasury bond futures closely track on-the-run bond yields, showing consistent price movements between futures and spot bond yields (TS, TF, T).

Different contracts have varied delivery requirements: TS, TF, and T have distinct eligible bonds based on maturity.

Cross-Product Hedging Strategy

Treasury bond futures offer convenient trading and lower costs for hedging, with the ability to choose the optimal contract to offset risks.

However, traditional single-product hedging may not always be effective. A cross-product hedging strategy—selecting the most correlated CTD bond over time—provides better protection.

Backtesting shows that this approach reduces maximal drawdown (from ~3.88% to ~2.45%) and annualized volatility (from 12.5% to 11.2%), with the lowest loss among all strategies.

Daily Intraday Cross-Product Arbitrage Strategy

What is Cross-Product Arbitrage? Exploiting price differences between different maturities (TS, TF, T).
Why it Works: Different maturities move in sync due to yield curve dynamics. By matching duration, arbitrageurs profit from varying price changes.

Process:

Explicit yields (from futures prices) are calculated and compared to establish arbitrage opportunities.
A strategy using the z-score of T-TF spread—trading when the spread deviates by 2 standard deviations—achieved a 248.7% annualized return (~7,448% cumulative) from March 2021 to March 2024.

Constraints:

Transaction volume limits (≤5% of total market volume per minute) restrict scale and model capacity.

Improvements:

Increasing transaction limits and implementing multi-threaded operations could enhance performance.
Explicit modeling of transaction costs and early exit rules could also improve profitability.

Summary (中文)

国债期货应用：套保与套利

西南证券固定收益团队对国债期货的套保和套利策略进行了全面分析。

国债期货市场现状与基础要素

产品体系：自2013年重启以来，我国国债期货市场形成了覆盖短期（TS）、中期（TF）、长期（T）和超长期（TL）期限管理的完整体系。
市场规模：截至2024年2月，国债期货总持仓量达约6.58万手，持仓量分位数约为60.5%；2013年至2023年累计成交金额高达52.58万亿元。
TL参与度上升：受长债下行影响，TL持仓量在2024年显著增长。

国债期货价格与对应期限国债现券收益率高度一致。

各期限国债期货的涨跌停限制和最小变动价位各异，交割标准基于剩余期限和发行规则。自2019年以来，国债期货基差总体贴水，显示市场存在空头配置行为。

国债期货跨品种套期保值策略

为何使用国债期货套保：国债期货具有高流动性和便利性，可有效对冲利率风险。
跨品种优势：相比单品种套保，跨品种策略可在短期内动态调整，降低流动性错配和收益率浪费。
回测效果：跨品种策略在牺牲最少收益的同时有效降低波动率，回撤从最高3.88%降至2.45%，年化波动率从12.5%降至11.2%；采用该策略的国开债3-5年指数套保收益损失最小。