1. Report Industry Investment Rating No relevant content provided. 2. Core Views - The report is an introductory guide to treasury bond futures, providing a detailed introduction to the characteristics and related concepts of each treasury bond futures variety, and offering an analysis framework for investors to understand the relationship between the spot and futures markets, identify arbitrage opportunities, and manage interest rate risks [11]. 3. Summaries According to the Table of Contents 3.1 Treasury Bond Futures Basic Varieties - There are four treasury bond futures varieties listed on the China Financial Futures Exchange, with different contract specifications such as contract value, deliverable bonds, and margin requirements. The 2 - year treasury bond futures has a contract value of 2 million yuan, while the others have 1 million yuan. The shorter - term futures have lower minimum margin ratios and higher leverage [12]. - Each variety has four fixed contracts per year with delivery months in March, June, September, and December, but only the nearest three quarterly contracts are traded. The settlement price is the net price excluding accrued interest [12]. - In terms of trading volume and open interest, the 10 - year variety has the largest open interest, followed by the 5 - year and 30 - year varieties, and the 2 - year variety has the lowest. The 30 - year variety has a relatively high trading volume and a leading trading volume ratio [13][15]. 3.2 Treasury Bond Futures Basic Concepts - The basic concepts include the main contract, continuous contract, deliverable bonds, conversion factors, CTD (cheapest - to - deliver bond), treasury bond futures pricing, basis, net basis, and implied repo rate (IRR), which together reveal the arbitrage opportunities and the internal relationship between the spot and futures markets [20]. 3.3 Main Contract - The main contract is the one with the largest trading volume, open interest, and market influence in a certain variety, usually the current - quarter contract. As the current - quarter contract approaches the delivery month, its trading volume decreases, and the next - quarter contract takes over as the new main contract [21]. 3.4 Continuous Contract - The continuous contract is a virtual contract sequence created to connect the prices of individual treasury bond futures contracts with different maturity months, facilitating technical analysis, back - testing research, and long - term trend observation [22]. 3.5 Deliverable Bonds and Conversion Factors - To standardize and ensure the continuity of treasury bond futures, a virtual standard bond is used as the contract underlying, and the conversion factor is introduced to standardize different deliverable bonds. The invoice price in actual delivery is calculated based on the futures settlement price, conversion factor, and accrued interest [25]. 3.6 CTD (Cheapest - to - Deliver Bond) - The CTD is the bond with the lowest delivery cost among the deliverable bonds, which can be determined by calculating the delivery net cost. Its selection is affected by factors such as conversion factors, market interest rate fluctuations, and bond liquidity [33][35]. 3.7 Treasury Bond Futures Pricing - Treasury bond futures are priced based on the "no - arbitrage principle." The theoretical price is equal to the net cost of holding the CTD spot until delivery, considering factors such as the spot net price, financing cost, and interest income. The pricing also takes into account the seller's option value [41]. 3.8 Basis - The basis represents the difference between the spot price and the futures price of treasury bonds, reflecting the "holding cost" or "return" of holding spot treasury bonds and hedging through short - selling futures contracts. It is affected by factors such as interest income, financing cost, and short - seller option value [42][43]. 3.9 Net Basis - The net basis is the basis after deducting the holding - period net return, directly reflecting the short - seller option value of a certain type of futures and helping to identify "cheap" futures varieties [44][45]. 3.10 Implied Repo Rate (IRR) - The IRR is the theoretical annualized return rate of the basis trading strategy of "buying spot bonds and selling futures." When the IRR is higher than the actual financing cost, there is a positive arbitrage opportunity; otherwise, there may be a reverse arbitrage space. The CTD bond usually has the highest IRR [48].