证券研究报告：固定收益报告 发布时间：2025-12-08 分析师:梁伟超 SAC 登记编号:S1340523070001 Email:liangweichao@cnpsec.com 近期研究报告 《货币政策重心转移————2026 年 展望系列四》 - 2025.12.03 固收周报 30 年国债超跌了吗？ ——流动性周报 20251207 l 30 年国债交易的至暗时刻，也是配置的良机 观点回顾：以机构心态视角来看，年末对收益的诉求普遍偏弱， 明年一季度理财类机构和保险机构存在抢筹的意愿。年内债市行情限 于区间震荡的局面可能不易改变，年末时点存在提前抢筹、行情升温 的契机。 从期限利差视角，30 减 10 的期限利差再次回到近年高位，虽然 很难判断超长债期限利差的合理水平，因为超长期政府债的发行压力 始终存在，但是在居民部门加杠杆之前，风险偏好的修复很难驱动超 长端期限利差回到更高的位置。 从利率比价视角，扣除税收之后的 30 年国债收益率和房贷利率 之间已经持平，以央行对不倒挂的要求出发，30 年国债收益率不应再 大幅上行。虽然这种比较关系并非严格有效，但依然可以作为定价参 考； 研究所 从机构行为视角 ...

Core Insights - The 30-year government bond ETF from Bosera has shown a recent increase of 0.05%, with a cumulative rise of 1.44% over the past month as of July 4, 2025 [2] - Trading activity for the 30-year government bond ETF has been robust, with a turnover rate of 8.13% and a transaction volume of 619 million yuan [2] - The fund has experienced significant net inflows, totaling approximately 31.9 million yuan over the last five trading days, indicating strong investor interest [2][3] Trading Activity - The trading volume for the 30-year government bond ETF has seen a notable increase since May 8, 2025, despite a slight recent decline [2] - The average daily trading volume over the past week was 2.391 billion yuan, reflecting high liquidity [2] - The ETF's latest scale reached 7.607 billion yuan, showcasing its growing market presence [2] Fund Performance - The 30-year government bond ETF has achieved a net value increase of 14.13% over the past year, ranking 5th out of 410 index bond funds [3] - Historical performance indicates a maximum monthly return of 5.35% and a longest consecutive monthly gain of 4 months, with an average monthly return of 2.09% [3] - The fund has a 100% probability of profitability over a one-year holding period, with a maximum drawdown of 6.89% since inception [3] Financial Metrics - The management fee for the 30-year government bond ETF is set at 0.15%, while the custody fee is 0.05% [3] - The tracking error over the past month is reported at 0.041%, indicating strong tracking precision [3] Index Tracking - The ETF closely tracks the Shanghai Stock Exchange 30-year government bond index, which is composed of bonds meeting specific deliverable conditions for the 30-year government bond futures [4]