Would it be feasible to buy cash T-bonds (say CTD for instance) at whatever leverage ratio, say 10:1, and hedge it with short futures contracts and just collect the carry on the bonds while being delta hedged? This assumes borrowing at repo/libor rates. Am I missing something? This seems too obvious and too easy..... Yes I realize CTD can change which could throw off the hedge, but there must be something else I'm missing.
Carry of the underlying bond is priced in the future contract. If the future is too cheap or expensive you can profit, look up basis trading.