In recent years, the continuous bull market in the national debt market and the gradual approach of the national debt futures have also made investors pay more and more attention to the fixed income market and investment. There are several common fixed-income arbitrage strategies in the international market: swap spread arbitrage is one of the most popular fixed-income arbitrage strategies. Long Term Capital Management, a well-known hedge fund, once held a huge swap spread arbitrage position. Before the accident of 1998, its loss in this strategic position reached $65,438.05 billion, which was the biggest loss of its single investment strategy. With the collapse of LTCM, the huge swap spread arbitrage positions held by financial tycoons such as Salomon Smith Barney, Goldman Sachs, Morgan Stanley, Bank of America, Barclays Bank and D.E. Shaw were exposed and suffered huge losses. From the huge positions of financial predators, we can see the popularity of this arbitrage strategy at that time. Swap spread arbitrage strategy consists of two parts, called legs: In the first leg, the arbitrageur trades par swaps, obtains CMS (Fixed Term Swaps) with fixed coupon rate, and pays the floating LIBOR rate Lt; In the second round, the arbitrageurs short the bonds with the same maturity as the previous swap, and invest the short-selling proceeds in the margin account to earn the repo rate. The cash flow in the second stage includes the fixed coupon rate CMT to pay the parity bonds and the repo rate Rt received from the margin account. Considering the total cash flow of these two legs, the arbitrageur gets a fixed annuity SS=CMS-CMT, and pays a floating spread ST = LT-RT ... Strictly speaking, swap spread arbitrage is not an arbitrage defined in the textbook, because there is an indirect default risk. Yield curve arbitrage Yield curve arbitrage is to go long at some points of the yield curve and short at other points. This strategy is usually a kind of "butterfly" transaction, for example, investors make more 5-year bonds and short 2-year bonds and 10-year bonds at the same time, which makes the value and slope of this investment strategy neutral to the term structure of yield. Generally speaking, there are many different "taste" strategies for yield curve arbitrage, but they also have some common elements. First, we should analyze the yield curve and identify which points are "rich" and which points are "cheap"; Second, investors build a portfolio, use the wrong valuation found earlier to make more bonds, and short other bonds at the same time to minimize the risk of the portfolio; Third, hold the portfolio until the relative price of bonds returns and the whole arbitrage transaction converges. Mortgage arbitrage The arbitrage strategy of mortgage-backed securities (MBS) includes two parts, namely, buying MBS passthrough and hedging its interest rate risk with swaps. Securities are a way of asset securitization. In this way, all the principal and interest cash flows in a mortgage pool (excluding service fees and guarantee fees) can be transferred to investors who have used securities. According to the statistics of the Bond Market Association, MBS is the largest fixed income sector in the United States, and second-hand securities are the most common mortgage-related products. Mortgage arbitrage strategy is also widely used by hedge funds. The main risk of MBS through securities is prepayment risk, because owners can repay their mortgages in advance, which makes the cash flow through securities uncertain. Fluctuation arbitrage plays an important role in hedge funds engaged in fixed income investment. For example, before the LTCM crisis in 1998, the loss of its volatility arbitrage position exceeded1300 million USD. The simplest way to implement the volatility arbitrage strategy is to sell options and then delta hedge the underlying assets. If the implied volatility at that time is higher than the current actual volatility, then selling options will generate excess returns and investors will also benefit from it. Capital Structure Arbitrage, sometimes called credit arbitrage, refers to a fixed income trading strategy that takes advantage of the wrong pricing relationship between corporate liabilities and other securities (such as equity). In the past decade, with the exponential growth of credit default swaps (CDS), this strategy has become more and more popular among proprietary traders and investment banks, and more and more hedge funds are involved. The above introduces several fixed-income arbitrage strategies commonly used in the international market. With the development of fixed income market including cash bonds and their derivatives, domestic fixed income strategies and related products will be greatly enriched.