研究对象: TLT

05 三表模型

一、建模口径

项目	口径
研究对象	`TLT`，即 `iShares 20+ Year Treasury Bond ETF`；基金目标是跟踪剩余期限超过 `20` 年[S3]的美国国债指数。[S2][S3]
模型类型	`TLT` 不是经营性公司，因此本模型用基金财报口径替代传统企业三表：利润表使用 `Total investment income`、费用、净投资收益与已实现/未实现损益；资产负债表使用总资产、总负债、净资产；现金流量表使用净资产变动桥接。[S1]
历史基准	财年截至 `02/28/2026`[S1] 的总投资收入为 `$2,189.436`[S1][自测算: 原始美元数除以 `1,000,000`]、净投资收益为 `$2,116.890`[S1][自测算]、运营导致净资产增加额为 `,195.335`[S1][自测算]、期末净资产为 `$45,315.447`[S1][自测算]。
当前产品输入	截至 `2026-07-22`[S2]，`TLT` 净资产为 `$42,324,452,199`[S2]，NAV 为 `$83.40`[S2]，有效久期为 `15.09` 年[S2]，加权平均到期为 `26.08` 年[S2]，`30-Day SEC Yield` 为 `5.05%`[S2]。
费用输入	`TLT` 当前费用率为 `0.15%`[S2][S3]。
立场影响	本模型确认 `th_T04` 与 `th_p_cd2cd286` 的久期/通胀/股债相关性框架；不改变 `st_TLT watch` 的方向或信心等级。按前序催化剂口径，`th_p_47380640` 已被 `2-Year Treasury Constant Maturity Rate` 在 `2026-07-21`[S5] 为 `4.26%`[S5] 这一数据构成反证。

二、关键假设表

假设编号	关键假设	`02/28/2027E`	`02/29/2028E`	`02/28/2029E`	依据与说明
`A1`	期初净资产	`$45,315.447`[S1][自测算]	`$40,605.922`[自测算]	`$41,137.780`[自测算]	`02/28/2027E` 期初值等于 `02/28/2026` 期末净资产 `$45,315.447`[S1][自测算]；后续年份等于上一年期末净资产。[自测算]
`A2`	总投资收入收益率	`5.20%`[自测算]	`5.05%`[自测算]	`4.85%`[自测算]	以 `2026-07-22`[S2] 的 `30-Day SEC Yield` `5.05%`[S2] 与费用率 `0.15%`[S2][S3] 为基准；后两年假设长端收益率温和回落。[自测算]
`A3`	费用率	`0.15%`[S2][S3]	`0.15%`[S2][S3]	`0.15%`[S2][S3]	沿用当前费用率。[S2][S3]
`A4`	收益率变动假设	`+25` 个基点[自测算]	`-25` 个基点[自测算]	`-30` 个基点[自测算]	基准情景假设 `th_T04` 的“更高更久”利率压力先延续、随后逐步缓和；这是模型假设，不是外部预测。[自测算]
`A5`	久期价格影响	`-3.77%`[自测算]	`+3.77%`[自测算]	`+4.53%`[自测算]	用 `15.09` 年有效久期[S2]乘以收益率变动，未计凸性：`-15.09 * 0.25%`[自测算]、`-15.09 * -0.25%`[自测算]、`-15.09 * -0.30%`[自测算]。
`A6`	份额资本交易净额	`-$3,000.000`[自测算]	`-,000.000`[自测算]	`$0.000`[自测算]	假设 `02/28/2026` 财年净赎回 `-$6,583.406`[S1][自测算] 后，未来赎回压力递减。[自测算]
`A7`	分配率	`100.00%`[自测算]	`100.00%`[自测算]	`100.00%`[自测算]	假设基金将净投资收益基本全部分配；`02/28/2026` 财年普通收入分配为 `$2,130.660`[S1][自测算]，净投资收益为 `$2,116.890`[S1][自测算]。
`A8`	负债/净资产	`1.19%`[自测算]	`1.19%`[自测算]	`1.19%`[自测算]	沿用 `02/28/2026` 总负债 `$537.626`[S1][自测算] / 净资产 `$45,315.447`[S1][自测算] 的比例。[自测算]
`A9`	证券出借净收入	`$0.011`[自测算]	`$0.011`[自测算]	`$0.011`[自测算]	沿用财年截至 `02/28/2026` 的证券出借净收入 `1,264`[S4]，折算为 `$0.011` 百万美元[自测算]；相对总投资收入影响极小。[自测算]

三、利润表预测

项目	`02/28/2026A`	`02/28/2027E`	`02/29/2028E`	`02/28/2029E`
平均净资产	`$48,331.987`[自测算: `$2,116.890 / 4.38%`]	`$42,960.684`[自测算]	`$40,871.851`[自测算]	`$42,068.934`[自测算]
美国国债票息与现金利息收入	`$2,189.425`[S1][S4][自测算: `$2,189.436 - $0.011`]	`$2,233.945`[自测算]	`$2,064.017`[自测算]	`$2,040.332`[自测算]
证券出借净收入	`$0.011`[S4][自测算]	`$0.011`[自测算]	`$0.011`[自测算]	`$0.011`[自测算]
总投资收入	`$2,189.436`[S1][自测算]	`$2,233.956`[自测算: `$42,960.684 * 5.20%`]	`$2,064.028`[自测算: `$40,871.851 * 5.05%`]	`$2,040.343`[自测算: `$42,068.934 * 4.85%`]
管理费与其他费用	`-$72.546`[S1][自测算: `$2,189.436 - $2,116.890`]	`-$64.441`[自测算: `$42,960.684 * 0.15%`]	`-$61.308`[自测算: `$40,871.851 * 0.15%`]	`-$63.103`[自测算: `$42,068.934 * 0.15%`]
净投资收益	`$2,116.890`[S1][自测算]	`$2,169.515`[自测算]	`$2,002.721`[自测算]	`,977.240`[自测算]
已实现/未实现损益	`-$921.555`[S1][自测算: `,195.335 - $2,116.890`]	`-,709.525`[自测算: `$45,315.447 * -3.77%`]	`,531.858`[自测算: `$40,605.922 * 3.77%`]	`,862.307`[自测算: `$41,137.780 * 4.53%`]
运营导致净资产增减额	`,195.335`[S1][自测算]	`$459.989`[自测算: `$2,169.515 - ,709.525`]	`$3,534.579`[自测算: `$2,002.721 + ,531.858`]	`$3,839.547`[自测算: `,977.240 + ,862.307`]
净投资收益率	`4.38%`[S1]	`5.05%`[自测算: `$2,169.515 / $42,960.684`]	`4.90%`[自测算: `$2,002.721 / $40,871.851`]	`4.70%`[自测算: `,977.240 / $42,068.934`]
总运营净利率	`54.60%`[S1][自测算: `,195.335 / $2,189.436`]	`20.59%`[自测算: `$459.989 / $2,233.956`]	`171.25%`[自测算: `$3,534.579 / $2,064.028`]	`188.18%`[自测算: `$3,839.547 / $2,040.343`]

四、资产负债表预测

项目	`02/28/2026A`	`02/28/2027E`	`02/29/2028E`	`02/28/2029E`
投资及其他资产总额	`$45,853.072`[S1][自测算]	`$41,089.132`[自测算]	`$41,627.320`[自测算]	`$43,511.788`[自测算]
应付及其他负债	`$537.626`[S1][自测算]	`$483.210`[自测算: `$40,605.922 * 1.19%`]	`$489.540`[自测算: `$41,137.780 * 1.19%`]	`$511.701`[自测算: `$43,000.087 * 1.19%`]
净资产	`$45,315.447`[S1][自测算]	`$40,605.922`[自测算]	`$41,137.780`[自测算]	`$43,000.087`[自测算]
负债/净资产	`1.19%`[S1][自测算: `$537.626 / $45,315.447`]	`1.19%`[自测算]	`1.19%`[自测算]	`1.19%`[自测算]
总资产/净资产	`1.012x`[S1][自测算: `$45,853.072 / $45,315.447`]	`1.012x`[自测算]	`1.012x`[自测算]	`1.012x`[自测算]
流通份额参考	截至 `2026-07-22` 为 `507,500,000`[S2]	不预测[自测算]	不预测[自测算]	不预测[自测算]
NAV 参考	截至 `2026-07-22` 为 `$83.40`[S2]	不预测[自测算]	不预测[自测算]	不预测[自测算]

五、现金流量表预测

项目	`02/28/2026A`	`02/28/2027E`	`02/29/2028E`	`02/28/2029E`
期初净资产	`$52,834.177`[S1][自测算]	`$45,315.447`[S1][自测算]	`$40,605.922`[自测算]	`$41,137.780`[自测算]
净投资收益	`$2,116.890`[S1][自测算]	`$2,169.515`[自测算]	`$2,002.721`[自测算]	`,977.240`[自测算]
已实现/未实现损益	`-$921.555`[S1][自测算]	`-,709.525`[自测算]	`,531.858`[自测算]	`,862.307`[自测算]
运营导致净资产增减额	`,195.335`[S1][自测算]	`$459.989`[自测算]	`$3,534.579`[自测算]	`$3,839.547`[自测算]
向份额持有人分配	`-$2,130.660`[S1][自测算]	`-$2,169.515`[自测算]	`-$2,002.721`[自测算]	`-,977.240`[自测算]
份额资本交易净额	`-$6,583.406`[S1][自测算]	`-$3,000.000`[自测算]	`-,000.000`[自测算]	`$0.000`[自测算]
期末净资产	`$45,315.447`[S1][自测算]	`$40,605.922`[自测算: `$45,315.447 + $459.989 - $2,169.515 - $3,000.000`]	`$41,137.780`[自测算: `$40,605.922 + $3,534.579 - $2,002.721 - ,000.000`]	`$43,000.087`[自测算: `$41,137.780 + $3,839.547 - ,977.240 + $0.000`]
分配/净投资收益	`100.65%`[S1][自测算: `$2,130.660 / $2,116.890`]	`100.00%`[自测算]	`100.00%`[自测算]	`100.00%`[自测算]

六、三表联动检查

检查项	`02/28/2027E`	`02/29/2028E`	`02/28/2029E`
利润表到现金流：运营导致净资产增减额	`$459.989 = $2,169.515 - ,709.525`[自测算]	`$3,534.579 = $2,002.721 + ,531.858`[自测算]	`$3,839.547 = ,977.240 + ,862.307`[自测算]
现金流到资产负债表：期末净资产	`$40,605.922 = $45,315.447 + $459.989 - $2,169.515 - $3,000.000`[自测算]	`$41,137.780 = $40,605.922 + $3,534.579 - $2,002.721 - ,000.000`[自测算]	`$43,000.087 = $41,137.780 + $3,839.547 - ,977.240 + $0.000`[自测算]
资产负债表闭合	`$41,089.132 - $483.210 = $40,605.922`[自测算]	`$41,627.320 - $489.540 = $41,137.780`[自测算]	`$43,511.788 - $511.701 = $43,000.087`[自测算]

七、模型结论

结论	内容
核心驱动	`TLT` 的三表不是由收入增长或利润率扩张驱动，而是由平均净资产、长端利率变动、费用率、分配和申赎共同驱动。[S1][S2][S3]
基准情景	在 `02/28/2027E` 收益率先上行 `+25` 个基点、随后 `02/29/2028E` 和 `02/28/2029E` 分别下行 `-25` 个基点与 `-30` 个基点的假设下，净资产先降至 `$40,605.922`，再回升至 `$41,137.780` 与 `$43,000.087`。[S2][自测算]
风险点	若 `th_T04` 的“更高更久”利率压力延续更久，`15.09` 年有效久期会继续放大 NAV 回撤；若核心 PCE 连续走弱并带动降息交易重开，则该模型的 `02/28/2027E` 负向估值损益可能过于保守。[S2][S6][S7]
立场	本模型不建议改变 `st_TLT watch`；`TLT` 仍是 DV01 压降/保留工具，而不是以传统企业利润表为核心的成长型标的。[S1][S2][S3]

资料来源 / Sources

[S1] BlackRock/iShares, 2026 Annual Financial Statements and Additional Information, iShares Trust, February 28, 2026 — https://www.ishares.com/us/literature/annual-financial-statements/afs-j-ishares-treasury-bond-etfs-02-28-en.pdf

[S2] BlackRock/iShares, iShares 20+ Year Treasury Bond ETF | TLT — https://www.ishares.com/us/products/239454/ishares-20-year-treasury-bond-etf

[S3] BlackRock/iShares, iShares 20+ Year Treasury Bond ETF Summary Prospectus — June 29, 2026 — https://www.ishares.com/us/literature/summary-prospectus/sp-ishares-20-plus-year-treasury-bond-etf-2-28.pdf

[S4] BlackRock/iShares, iShares Trust Statement of Additional Information dated June 29, 2026 — https://www.ishares.com/us/literature/sai/sai-ishares-trust-2-28.pdf

[S5] Federal Reserve Bank of St. Louis FRED, Market Yield on U.S. Treasury Securities at 2-Year Constant Maturity, Quoted on an Investment Basis (DGS2) — https://fred.stlouisfed.org/graph/fredgraph.csv?id=DGS2

[S6] Federal Reserve Bank of St. Louis FRED, Personal Consumption Expenditures Excluding Food and Energy (Chain-Type Price Index) (PCEPILFE) — https://fred.stlouisfed.org/graph/fredgraph.csv?id=PCEPILFE

[S7] Federal Reserve Bank of St. Louis FRED, Unemployment Rate (UNRATE) — https://fred.stlouisfed.org/graph/fredgraph.csv?id=UNRATE