The first three 30-year Treasury futures contracts will be listed for trading on April 21. On April 20, CICC announced the benchmark price of 30-year treasury bond futures. The benchmark prices for TL2306, TL2309 and TL2312 contracts are 95.86 yuan, 95.3 yuan and 94.80 yuan respectively.

The listing price may be lower. Based on the published 30-year futures deliverable notes and their conversion factors, we calculate that according to the listing price, the CTD of TL2306, TL2309 and TL2312 is roughly concentrated on 220008. At the same time, considering the low value of delivery options, the calculated theoretical prices of TL2306, TL2309 and TL2312 are about 95.8663 yuan, 95.6284 yuan and 95.3904 yuan, slightly higher than the listing prices of 0.006 yuan, 0.328 yuan and 0.59 yuan.

Pay attention to the possibility of positive arbitrage. First, the conversion option value of 30-year Treasury bond futures is expected to be relatively small. Therefore, the basis is more contributed by carry. Combined with the previous analysis, the expected CTD of TL2306, TL2309 and TL2312 are all concentrated at 220008, and the corresponding basis is about 0.1700 yuan, 0.4512 yuan and 0.7324 yuan without taking into account the option value. Second, consider that due to the initial stage of futures listing, the hanging price is generally lower to give the market a buying opportunity. Third, from the perspective of trading strategy, it is not ruled out that the current market sentiment is warm, and the allocation demand resonates with the transaction demand, which leads to a certain price deviation and possible positive arbitrage space.

Liquidity is expected to perform well on the first day, and positions are expected to increase steadily. Comparing the trading volume of the three varieties on the first day of listing and the average level of trading volume in different periods after listing, the first day liquidity advantage is relatively obvious. It is estimated that the average position in the mature market is about 77000, and the average trading volume is about 45000.

Pay attention to the opportunity to steepen the 30Y-10Y curve in the medium and long term. Considering the limited downward space for yields without interest rate cuts, and the continued release of local bond supply in the second quarter to restrain the decline in ultra-long-end yields, combined with the fact that the spread of 30Y-10Y Treasurys is below the historical 5% level, we believe that, despite the warm short-term market atmosphere and the possible low listing price, 30-year varieties may perform at the initial stage of listing. But from the medium-and long-term perspective, focusing on the opportunity to participate in 30Y-10Y steepening may be a better choice.

Risk factors: increased disturbance of the epidemic; better-than-expected performance of real estate