Can anyone think of a reason why one would use derivatives to attain a risk free return instead of buying US Treasuries???

Sure - you have a leg of the trade on that you can’t get rid of but want a risk free return. For example, you own lots of shares of a stock that you like long-term but maybe not right now. So you hedge it out for the near term but avoid selling it and buying it again and all the tax, liquidity, slippage, etc effects. Then there are reasons that involve following a path to where you want to be. So I set up something where I have a delta neutral position by shorting stock and going long a swap or something. Get rid of the swap and you’ve made a short position that nobody noticed.

thanks JDV