国泰海通|固收:国债期货跨期价差的倒挂与修复的背后——债市中性策略之四

国泰海通证券研究
Jul 18, 2025

报告导读:长端合约(T/TL)价差倒挂后回正,反映预期与现实再统一,投机力量减弱;短端合约(TS/TF)倒挂呈现常态化,宜聚焦基差套利与IRR正套机会。从理论定价看,国债期货跨期价包括CTD券价差与基差之差两部分,其中后者可拆分为持有收益差和净基差之差,具体而言:①CTD券净价之差:近远月合约最便宜可交割券(CTD券)的净价差异,受可交割券范围切换影响,通常与行情无关。②持有收益差:反映资金成本与...

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