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].

Report Overview - The report focuses on the delivery of Treasury bond futures, specifically analyzing the historical delivery situation and the potential delivery trends of the 2509 contract, while also introducing the concept, process, benefits of Treasury bond futures delivery, and the advantages of Guotai Junan Futures in delivery [2][6][22] 1. Industry Investment Rating - No industry investment rating is provided in the report 2. Core Viewpoints - The historical delivery volume and delivery rate of Treasury bond futures have been rising, and the 2509 contract has a high position - holding volume and significant arbitrage opportunities, indicating that the delivery volume may remain high. However, the new VAT policy may change the delivery logic and expectations, potentially leading to a lower - than - expected delivery volume [2] - The final delivery situation of the 2509 contract needs to be comprehensively considered from aspects such as IRR level, cash - bond liquidity, short - and long - term interest rate strength, futures position - holding volume, combined with the delivery willingness of the short side and the bond - taking willingness of the long side [20] 3. Summary by Directory 3.1 Historical Delivery Situation and 2509 Delivery Highlights 3.1.1 Historical Delivery Situation - From 2303 to 2506, the average position - holding volume of four Treasury bond futures contracts (except TS) showed an upward trend. The delivery volume and delivery rate of some contracts, such as T2506 and TF2506, reached historical highs. The delivery time characteristics of different varieties in the 2506 contract vary [6][8] - In terms of positive arbitrage opportunities, TS2506 and TF2506 had relatively more positive arbitrage opportunities, leading to stronger short - side delivery willingness. T2506 and TL2506 had fewer positive arbitrage opportunities but still had some short - side delivery due to such opportunities [10] - From the long - side perspective, in the two months before the 2506 delivery, the short - end was strong and the long - end was weak. The long - side's bond - taking attitude varied depending on the liquidity of the delivery bonds [15] 3.1.2 2509 Contract Delivery Situation Analysis - The average IRR levels of TS2509, TF2509, T2509, and TL2509 in the past month are all higher than the R007 average level, indicating positive arbitrage space. The position - holding volume of the 2509 contract is at a relatively high level in the same period of history. Without considering the VAT impact, the delivery volume and delivery rate of the 2509 contract may reach historical highs [19] - After the VAT policy change, new bonds will be subject to VAT, making old bonds more popular. The short - side's delivery willingness may decrease, while the long - side's bond - taking willingness may increase, which may drive the futures price up and the intraday IRR to rise [19] 3.1.3 Conclusion - The final delivery situation of the 2509 contract needs comprehensive consideration. Based on the previous contracts, the delivery volume and delivery rate of the 2509 contract may remain high, but the VAT policy may cause the delivery volume and rate to be lower than expected [20] 3.2 Concept and Basic Process of Treasury Bond Futures Delivery - Treasury bond futures delivery is the process of fulfilling the contract through the transfer of physical bonds at the contract's expiration. It uses a physical delivery system to ensure the convergence of futures and spot prices. The main participants include the short side, the long side, the exchange, and the settlement institution [22] - The delivery months are March, June, September, and December, and the last trading day is the second Friday of the contract month. The delivery includes rolling delivery and concentrated delivery, and there are two delivery modes: general mode and DVP mode [22][23] 3.3 Benefits of Treasury Bond Futures Delivery - For the short side: It can lock in the selling price for positive arbitrage investors, eliminate basis risk for institutions hedging bond portfolios, provide a selling channel for illiquid bonds, and offer time and bond - type selection rights [24] - For the long side: It can ensure the receipt of qualified bonds, obtain cost - effective CTD bonds, gain interest - rate spread benefits in a loose - money environment, and help obtain old bonds not subject to VAT [25] 3.4 Advantages of Guotai Junan Futures in Delivery - Guotai Junan was the first member to handle Treasury bond delivery for clients after the listing of Treasury bond futures. In the first half of 2025, its Treasury bond delivery volume accounted for 23.12% of the market, ranking among the top in the industry [26] - It provides a professional institutional service platform with full - process electronic CFFEX business, no need for stamping, and real - time progress tracking [26] - It offers total - to - total services, including pre - confirming bond account status, sending delivery calendar reminders, and confirming bond settlement status [26] - It has in - depth experience in serving clients' Treasury bond collateral business and has won relevant honorary awards from China Central Depository & Clearing Co., Ltd. for five consecutive years [27]