债券专题：再谈新老券利差交易策略构建

正文目录TOC\o"1-2"\h\z\u利债老差挂情频，息值影仍然在 4切前存峰差，注30年债差趋势 42.130国债 42.210国债 52.310国债 6投策和会 7差敛易 8差正易 10险示 11图表目录图表1:30年债老差（BP） 5图表2:30年债跃切换后差(BP) 5图表3:10年债老差（BP） 6图表4:10年债跃切换后差(BP) 6图表5:10年开新利差（BP） 7图表6:10年开活券切前利(BP) 7图表7:10年开利收敛易测 8图表8:10年债差敛交回测 9图表9:30年债差敛交回测 9图表10:10国债转正易测 10图表11:10国利正交回测 10图表12:30国利正交回测 11利率债新老利差倒挂行情频现，利息增值税影响仍然存在YTMYTM202581305301010303020248258302400006.IB302500005.IB241015BP。260002.IB图表1:30年国债新老利差（BP）图表2:30年国债活跃券切换前后利差(BP)债券代码上市日期计划发行数量(亿元)活跃首日切券前最大利差(BP)切券后最大利差(BP)活跃截止日260002.IB2026/1/193202500006.IB2025/8/278302025/8/27-5.4-6.02026/1/162500005.IB2025/7/178302025/7/174.3-6.62025/8/272500002.IB2025/4/297102025/5/147.17.52025/7/17250002.IB2025/1/173002400006.IB2024/9/276002024/10/17-1.58.72025/5/142400004.IB2024/7/295502024/9/13-1.1-1.52024/10/172400001.IB2024/5/224002024/8/19-2.2-1.02024/9/13230023.IB2023/10/182302023/12/75.56.72024/8/19230009.IB2023/4/192302023/6/254.05.52023/12/7220024.IB2022/10/272002023/2/164.34.02023/6/25220008.IB2022/4/192002022/7/125.84.32023/2/16210014.IB2021/10/202602021/11/192.16.82022/7/12210005.IB2021/4/143502021/6/162.12021/11/193.34.7101030，10图表3:10年国债新老利差（BP）图表4:10年国债活跃券切换前后利差(BP)债券代码上市日期计划发行数量(亿元)活跃首日切券前最大利差(BP)切券后最大利差(BP)活跃截止日250022.IB2025/11/191,190.00250016.IB2025/8/271,540.002025/8/29-6.1-8.32026/1/16250011.IB2025/5/281,700.002025/5/295.0-6.12025/8/29250009.IB2025/5/191,000.00250004.IB2025/2/191,160.002025/4/37.37.72025/5/29240023.IB2024/11/27500.00240017.IB2024/8/281,300.00240011.IB2024/5/291,360.002024/7/293.37.32025/4/3240004.IB2024/2/281,050.002024/3/263.55.02024/7/29230026.IB2023/11/291,150.002023/12/252.05.22024/3/26230018.IB2023/8/29950.002023/9/203.32.72023/12/25230012.IB2023/5/29700.002023/6/134.34.42023/9/20230004.IB2023/3/1650.002023/3/141.24.42023/6/13220025.IB2022/11/17660.002022/12/214.74.52023/3/14220019.IB2022/9/5750.002022/10/10-2.05.22022/12/21220017.IB2022/8/17850.002022/9/194.7-2.02022/10/10220010.IB2022/5/18530.002022/6/134.74.72022/9/19220003.IB2022/2/21700.002022/3/224.74.72022/6/13210017.IB2021/11/22540.002021/12/153.45.02022/3/22210009.IB2021/5/31400.002021/7/53.42021/12/153.24.310图表5:10年国开债新老利差（BP）图表6:10年国开债活跃券切换前后利差(BP)债券代码发行起始日期计划发行数量(亿元)活跃首日切券前最大利差(BP)切券后最大利差(BP)活跃截止日250220.IB2025/9/4160.00250215.IB2025/6/17210.002025/8/283.9-8.92026/1/16250210.IB2025/4/1190.002025/5/305.65.02025/8/28250205.IB2025/1/2180.002025/3/75.07.02025/5/30240215.IB2024/7/18150.002024/11/83.05.02025/3/7240210.IB2024/4/30210.002024/7/294.33.02024/11/8240205.IB2024/1/4170.002024/4/19.07.92024/7/29230210.IB2023/5/18200.002023/7/207.09.02024/4/1230205.IB2023/3/2210.002023/4/284.57.02023/7/20220220.IB2022/10/20170.002022/12/228.06.02023/4/28220215.IB2022/7/14200.002022/9/219.010.02022/12/22220210.IB2022/4/21200.002022/5/208.010.52022/9/21220205.IB2022/1/13200.002022/3/106.68.42022/5/20210215.IB2021/9/9190.002021/11/228.512.12022/3/10210210.IB2021/6/3180.002021/8/304.38.52021/11/22210205.IB2021/2/25190.002021/4/154.32021/8/305.87.5投资策略和机会根据利率债新老利差在新券发行周期内呈现出的大致“峰值-收敛”趋势以及近100（100（。因为本策略的核心是新老利差倒挂后的极大概率转正趋势，所以两个具利差收敛交易10202411000.1621000.190.14127238策略1（多新 策略2（多策略1策略1（多新 策略2（多策略1净 策略2净策略1执新券 次新券 空旧）收益 旧空新）收行天数策略2执行天数策略1成本（元)策略2成收益 收益本（元)（元） 益（元）（元) （元)250215.IB250210.IB0.08710.0879660.00600.00610.08110.0818250210.IB250205.IB-0.00190.23204170.00460.0320-0.00650.1999250205.IB240215.IB0.1181-0.090711200.00810.01690.1101-0.1075240215.IB240210.IB0.0686-0.07156540.00500.05500.0636-0.1265240210.IB240205.IB0.30130.025192700.05240.03860.2489-0.0136240205.IB230215.IB0.01450.08736310.00980.04720.00470.0401230210.IB230205.IB0.12650.1596621120.09270.07590.03380.3992230205.IB220220.IB0.03680.05847190.00740.01820.02940.0402220220.IB220215.IB0.34410.526314620.02940.12520.31470.4011220215.IB220210.IB0.09780.30507280.01750.04630.08030.2587220210.IB220205.IB0.17890.566938230.08310.04020.09580.5267220205.IB210215.IB0.44730.146428180.04860.04110.39870.1053210215.IB210210.IB0.36660.726416420.03060.10080.33600.6257210210.IB210205.IB0.2330 -0.1634790.01460.02020.2185-0.1836210205.IB200215.IB0.04370.27721540.00200.09120.04170.1860注：1、债券价格为中债估价全价 2、债券借贷成本费率采用与策略执行天数临近的当天加权费率（当天未有成交使用临近数据替代）数据库、方正证券研究所，数据截至2026年1月30日1015100220251021011000.3721000.58129235新券次新券策略1（多新空旧）收益（元）2（多旧空新）新券次新券策略1（多新空旧）收益（元）2（多旧空新）益（元）1行天数2行天数1本（元)2本（元)1收益（元)2收益（元)250016.IB250011.IB0.11160.036063190.04710.07290.0645-0.0368250011.IB250009.IB0.03980.243218730.01080.05730.02900.1859250004.IB240023.IB0.22320.17317390.00830.04090.21490.1322240011.IB240004.IB0.0398-1.12071290.00070.01150.0391-1.1322240004.IB230026.IB0.1564-1.060613510.01030.05860.1461-1.1192230026.IB230018.IB0.2990-1.114843220.03790.02860.2611-1.1434230018.IB230012.IB0.1059-1.127120500.01950.04150.0864-1.1686230012.IB230004.IB0.1888-1.213123540.01070.04960.1781-1.2626230004.IB220025.IB1.73010.011965110.14560.01141.58450.0005220025.IB220019.IB0.1710-1.015515550.03150.11100.1396-1.1265220019.IB220017.IB0.5283-0.01323620.07770.00520.4506-0.0184220017.IB220010.IB1.3565-0.00595810.15010.00271.2063-0.0086220010.IB220003.IB0.0533-1.401111540.02470.10050.0286-1.5016220003.IB210017.IB0.3259-1.260316410.03160.07640.2942-1.3367210017.IB210009.IB0.23410.089946220.12280.03620.11130.0537注债券价格为中债估价全价 2债券借贷成本费率采用与策略执行天数临近的当天加权费（当天未有成交用临近数据替代）数据库、方正证券研究所，数据截至2026年1月30日30202511000.7321000.401592310.670.36图表9:30年国债利差收敛交易回测新券新券次新券2500006.IB 2500005.IB2500005.IB 2500002.IB2500002.IB 250002.IB策略1（多新空旧）收益（元）2.6468-0.43360.0887策略2（多旧空新）收益（元）-0.78410.4615-0.2577策略1执 策略2执 策略1成 策略2成行天数 行天数 本（元) 本（元)12422030620.09450.00820.00210.01930.02230.0374策略1净 策略2净收益 收益（元) （元)2.5524 -0.8034-0.4418 0.43920.0866 -0.29512400006.IB 2400004.IB 2.5656 0.1193 89 3 0.0547 0.0008 2.5109 0.11852400004.IB 2400001.IB 0.1364 0.0926 13 1 0.0082 0.0008 0.1282 0.09192400001.IB 230023.IB 0.5308 3.0654 30 9 0.0182 0.0058 0.5126 3.0597230023.IB230009.IB1.01450.7383118490.14310.05490.87140.6834230009.IB220024.IB0.13451.558992230.08820.02580.04631.5331220024.IB220008.IB0.2436-1.58045750.09730.00670.1464-1.5871220008.IB210014.IB0.23290.325210970.02280.14900.21020.1762210014.IB210005.IB0.85110.6597104470.09970.12040.75140.5392注债券价格为中债估价全价 2债券借贷成本费率采用与策略执行天数临近的当天加权费（当天未有成交用临近数据替代）数据库、方正证券研究所，数据截至2026年1月30日3.2利差转正交易2102411000.271021000.4474新券1（多次新券 新空旧）收策略2（多新空旧）收1新券1（多次新券 新空旧）收策略2（多新空旧）收1行天数2行天数1本（元)2本（元)1收益2收益益（元）益（元）（元)（元)250215.IB250210.IB 0.15950.15747190.00710.01880.15240.1386250210.IB250205.IB 0.28200.33855710.00490.05070.27710.2878250205.IB240215.IB 0.46400.666114740.00940.06260.45460.6035240215.IB240210.IB 0.17050.5904141320.00920.03620.16130.5543注债券价格为中债估价全价 2债券借贷成本费率采用与策略执行天数临近的当天加权费（当天未有成交用临近数据替代）数据库、方正证券研究所，数据截至2026年1月30日10142611000.44921000.60300.420.56图表11:10新券 次新券策略1（多新空旧）收策略2（多新空旧）收1执行天2行天数1本（元)2本（元)策略1净收益（元)策略2净收益（元)益（元）益（元）数250016.IB 250011.IB0.2826340.02590.2567250009.IB 250004.IB0.103770.00860.0951240023.IB 240017.IB0.18200.09433510.00190.03880.18010.0555240017.IB 240011.IB0.11641.28135280.00360.02460.11271.2567240011.IB 240004.IB1.28431.283111130.02220.02621.26211.2569220019.