Group 1: Bond Market Activity - The turnover rate for government bonds with maturities under 3 years, between 5-15 years, and over 30 years has increased, while other maturities have seen a decline [1] - The turnover rate for policy bank bonds in the 10-15 year maturity range has risen, with other maturities experiencing slight decreases [1] - Local government bonds with maturities of 3-5 years, 5-7 years, and 10-15 years have also seen increased turnover rates, while other maturities have declined [1] Group 2: ETF Performance and Liquidity - The government bond ETF for 5-10 years (511020) has increased by 0.10%, with a latest price of 117.56 yuan, and has accumulated a 5.10% increase over the past year [1][3] - The trading volume for the 5-10 year government bond ETF reached 10.63 billion yuan, indicating active market trading [3] - The latest scale of the 5-10 year government bond ETF is 1.493 billion yuan, with a net outflow of 1.7616 million yuan recently [3] Group 3: Historical Performance Metrics - The 5-10 year government bond ETF has seen a net value increase of 21.64% over the past 5 years, with a maximum monthly return of 2.58% since inception [3] - The ETF has a historical profitability rate of 100.00% over 3 years, with a monthly profitability probability of 72.66% [3] - The maximum drawdown for the ETF this year is 2.15%, with a relative benchmark drawdown of 0.59% [3] Group 4: Tracking Accuracy - The tracking error for the 5-10 year government bond ETF over the past month is 0.017%, closely following the CSI 5-10 Year Government Bond Active Index [4] - The index samples bonds with maturities of 5, 7, and 10 years, reflecting the overall performance of these active government bonds [4]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The 50 - year treasury bond has performed well recently, with the spread between 50 - year and 30 - year treasury bonds continuously narrowing. The current 50 - 30 year treasury bond spread is at a neutral level, with limited room for further compression and limited adjustment pressure [1][4]. 3. Summary by Related Contents 3.1 Performance of 50 - year Treasury Bonds - The 50 - year treasury bond has become an increasingly important trading variety in the low - coupon period. The spread between 50 - year and 30 - year treasury bonds decreased from 15.6bps on June 16th to 8.4bps on July 4th, a cumulative decrease of 7.2bps, and is now below the 2023 average. The current stock of 50 - year treasury bonds has reached 1.3 trillion, making it a significant investment variety [1][7]. 3.2 Factors Affecting the 50 - 30 Year Treasury Bond Spread - **Fundamentals**: Fundamental indicators such as PMI, CPI, and PPI have no significant correlation with the 50 - 30 year treasury bond spread in recent years, indicating that fundamentals have little explanatory power for this spread, which mainly reflects asset attribute differences [1][10]. - **Turnover Rate**: Since 2023, the turnover rate of ultra - long bonds has increased significantly. In June this year, the monthly turnover rate of 50 - year treasury bonds reached 7.5%, exceeding that of 30 - year treasury bonds. There is a certain correlation between the difference in turnover rates of 50 - year and 30 - year treasury bonds and the 50 - 30 year treasury bond spread. As the liquidity of 50 - year treasury bonds improves, the liquidity premium decreases, leading to a trend compression of the spread [2][12]. - **Stock Market Risk Preference**: The risk preference reflected by the stock market has a certain positive correlation with the 50 - 30 year treasury bond spread. Historically, the spread between 50 - year and 30 - year treasury bonds has a certain positive correlation with the Wind All - A Index, suggesting that 30 - year treasury bonds can better represent market risk preference. However, it remains to be seen whether this relationship will change as the liquidity of 50 - year treasury bonds improves [2][16]. - **Funding Price and Bond Supply**: There is a certain negative correlation between the 50 - 30 year treasury bond spread and R007, indicating that the funding price has an impact on the curve slope, but the overall correlation is not significant. The net financing of 50 - year and 30 - year treasury bonds and their difference have a weak correlation with the 50 - 30 year treasury bond spread, but they have had a strong impact on the spread since last year [3][18]. 3.3 Quantitative Pricing Model - A quantitative pricing model was constructed using the monthly average of R007, the monthly net financing difference between 50 - year and 30 - year treasury bonds, the monthly average turnover rate difference between 30 - year and 50 - year treasury bonds, and the Wind All - A Index as explanatory variables to explain the 50 - 30 year treasury bond spread. The regression results show that the model has relatively strong explanatory power, and all four variables can strongly explain the ultra - long bond term spread [3][20]. 3.4 Current Situation and Outlook of the 50 - 30 Year Treasury Bond Spread - The June fitting value of the 50 - 30 year treasury bond spread was 4.9bp, slightly lower than the current 8.4bps. Assuming that the turnover rates of 50 - year and 30 - year treasury bonds are at the average of the past two months, R007 is at 1.5%, the stock index remains at the current level, and net financing is calculated according to the bond issuance plan, the fitting value of the 50 - 30 year treasury bond spread in the next few months will be around 7.4bps, close to the current spread. Therefore, the current 50 - 30 year spread is at a neutral level, with limited room for further compression and limited adjustment risk in a context of continuous liquidity easing and active trading of 50 - year treasury bonds [4][23].