债市波动下，债券ETF的表现和套利机会

Market Overview - The bond market experienced significant adjustments due to factors such as stock market fluctuations and tightening liquidity, resulting in the largest decline since April[2] - Credit bond ETFs and Sci-Tech bond ETFs showed notable volatility, with average declines exceeding 0.25%[5] ETF Performance - On July 24, all 10 listed Sci-Tech bond ETFs closed below 100 CNY, with the largest drop being 0.27% in a single day[5] - By July 25, credit bond ETFs generally rebounded, while Sci-Tech bond ETFs continued to decline by approximately 0.1%[5] Premium and Discount Rates - The discount rates for credit bond ETFs expanded significantly on July 24, reaching 0.3%-0.5%, while government bond ETFs showed only minor fluctuations[5] - On July 25, the discount rate for credit bond ETFs narrowed to around 0.25%, contrasting with the continued expansion of the discount rate for Sci-Tech bond ETFs[5] Arbitrage Opportunities - In weak market sentiment, credit bond ETFs with discounts exceeding 20 basis points (BP) present potential arbitrage opportunities, especially when discounts exceed 40 BP[14] - For cash redemption products, discounts over 5 BP or premiums over 2 BP indicate possible arbitrage space, particularly in weak market conditions[14] Recommendations - During market adjustments, focus on arbitrage opportunities in credit bond ETFs when deep discounts occur[15] - Consider short-duration credit bond ETFs or cash redemption Sci-Tech bond ETFs for better liquidity and lower drawdown risks in a potentially volatile market[16]