证券研究报告 | 2025年12月12日 （3）越临近交割日，转换期权的选择权价值越低，正套操作越依赖 CTD 券 的 IRR 对整体收益的贡献。 固收+系列报告之七 国债期货套利：正向套利实证研究 国债期货的套利策略可以为"固收+"产品提供一层"安全垫"。因为其收 益来源是锁定的期现价差，与债券市场的涨跌关联度较低，更依赖于市场定 价的短期失灵。这为组合贡献了与股市、债市相关性都较低的确定收益来源。 本文通过实证研究分析我国国债期货的正向套利收益。 国债期货无风险套利简介：国债期货无风险套利的核心是期现套利，即利用 国债期货和国债现货之间的定价偏差来获利，其最终是通过交割来锁定收 益。IRR（隐含回购利率）是指通过正向套利（买入现货、同时卖出期货， 并持有到期进行交割）所能获得的年化收益率。 国债期货正套操作原理：理论上来说，当国债期货 CTD 券的 IRR 大于融资成 本时，即存在正向套利机会。其套利逻辑为，融资买入 CTD 现券，并卖空对 应份数的期货合约从而锁定持有期收益，并在交割日完成交割，最终收益率 即为 IRR 与资金成本之差。 实际正向套利过程中往往会遇到三种情形：一是建仓至交割 CTD 券不 ...

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]