1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The arbitrage strategy of treasury bond futures can provide a "safety cushion" for "fixed - income +" products, with its return source being the locked spot - futures price difference. The return is less correlated with the rise and fall of the bond market and more dependent on short - term market pricing inefficiencies [1][17]. - Treasury bond futures have multiple functions in "fixed - income +" products, including hedging interest rate risk, adjusting portfolio duration, liquidity management, and conducting spot - futures arbitrage [15]. 3. Summary According to the Table of Contents 3.1 IRR Formula - The IRR formula is calculated based on the assumption of "no operation during the arbitrage period, only buying the spot bond and short - selling the futures at the beginning and finally conducting delivery". The factors affecting IRR are the spot bond price, futures price, and the time to the delivery date. As the delivery date approaches, the impact of the spot - futures price difference on IRR is magnified, causing IRR to fluctuate more sharply [19][20]. 3.2 Underlying Logic of Positive Arbitrage Returns - Conducting positive arbitrage is equivalent to holding a bond with a remaining maturity of T and a yield to maturity of IRR. Fluctuations in IRR during the holding period will affect the value of the arbitrage portfolio [21]. 3.3 Three Typical Scenarios of Positive Arbitrage Strategies - **Scenario 1: No change in CTD bond from position - building to delivery** - The return of positive arbitrage is the IRR of the CTD bond on the position - building day minus the funding cost [2][24]. - **Scenario 2: Change in CTD bond during the period from position - building to delivery** - Investors can earn additional option value by trading the new CTD bond. The comprehensive return after the operation can be calculated by splitting the trading of CTD bonds into two steps [24][25]. - **Scenario 3: IRR drops to 0 or negative during the period from position - building to delivery** - Investors can close the position early to obtain positive arbitrage returns [2][26]. 3.4 Empirical Results of the Three Scenarios - **No CTD bond switch during the period, positive arbitrage portfolio held until delivery** - Taking the TF2509 contract as an example, most of the time there are no positive arbitrage opportunities, and the probability of positive arbitrage returns being lower than 0.4% is relatively high [27][31]. - **CTD bond switch occurs during the period, positive arbitrage portfolio held until delivery** - Taking the TF2303 contract as an example, when the bond yield fluctuates around 3%, CTD bond switching is more frequent. The positive arbitrage portfolio can obtain both IRR returns and the option value of CTD switching. The overall positive arbitrage operation return is likely to be higher than 3%, and the return mainly comes from the option value [32][44]. - **Cash in the returns when the IRR of CTD turns negative** - Taking the TF2303 contract as an example, the return distribution of positive arbitrage with early closing is mostly between 1% - 3%, which is less effective than holding until delivery. Although early closing can lock in future returns and has a lower time cost, it also means losing the future conversion option value [47][49]. 3.5 Historical Return Back - testing of Treasury Bond Futures Positive Arbitrage Strategy without Considering CTD Switching - The probabilities of positive arbitrage opportunities for 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are 55%, 38%, 36%, and 43% respectively. The average positive arbitrage returns are 0.39%, 0.64%, 0.59%, and 0.86% respectively, and there is an 85% probability that the positive arbitrage returns are lower than 0.75%, 1.15%, 1.1%, and 1.5% respectively [53][54][55][60].