信用债类 ETF 规模降幅收窄 ——债券 ETF 跟踪 执业证书编号：S0740525060003 Email：lvpin@zts.com.cn 分析师：苏恩民 执业证书编号：S0740525070002 Email：suem@zts.com.cn 证券研究报告/固收事件点评报告 2026 年 03 月 02 日 分析师：吕品 报告摘要 上周中债新综合指数较春节前下跌 0.04%；短期纯债、中长期纯债基金分别上涨 0.04%、持平；中证 AAA 科创债指数、上证基准做市公司债指数分别上涨 0.05%、 0.05%。 资金流向 | 图表 | 1 | | | ： | | | | | --- | --- | --- | --- | --- | --- | --- | --- | | 图表 | 2 | | | ： | | | | | 图表 | 3 | | | | | ： | | | 图表 | 4 | | | ： | | | | | 图表 | 5 | | | ： | | | | | 图表 | 6 | | | | ： | | | | 图表 | 7 | | | ： | | | | | 图表 | 8 | | | ： | | ...

1. Report Industry Investment Rating - No industry investment rating is provided in the report [1][2] 2. Core Viewpoints - The logic supporting the discount repair of credit bond ETFs remains unchanged, and the discount is expected to oscillate towards zero in Q1 2026 [3][27] - The investment value of short - to medium - term science and technology bond components that have experienced short - term over - decline is emerging [3][43] 3. Summary by Section 3.1 Credit Bond ETFs: Surge and Decline, with Continuous Net Value Repair - In mid - to late December 2025, the circulating shares and market value of credit bond ETFs surged rapidly, then declined quickly in early 2026. As of January 28, 2026, the total market value of benchmark market - making credit bond ETFs was 108.3 billion yuan, and the circulating shares were 1.072 billion; the total market value of science and technology bond ETFs was 291.7 billion yuan, with 2.911 billion circulating shares; the total market value of corporate bond spread factor ETFs, urban investment bond ETFs, and short - term financing ETFs was 126.9 billion yuan, with 3.679 billion circulating shares [3][7] - From December 16 - 31, 2025, 8 benchmark market - making credit bond ETFs had a net inflow of 12 billion yuan, and a net outflow of 20.2 billion yuan from January 5 - 28, 2026; 24 science and technology bond ETFs had a net inflow of 87.1 billion yuan from December 16 - 31, 2025, and a net outflow of 65.9 billion yuan from January 5 - 28, 2026 [3][7] - As of January 28, 2026, the average unit net value of science and technology bond ETFs was 100.42 yuan per share (only the Southern Science and Technology Bond ETF was below 100 yuan), and the average unit net value of benchmark market - making credit bond ETFs was 101.28 yuan per share. The net value of credit bond ETFs has been continuously repairing since early December 2025 [15] 3.2 The Discount Repair of Credit Bond ETFs is still Promising - From November 21, 2025, to January 28, 2026, benchmark market - making credit bond ETFs maintained a deep discount of 19 - 47 BP without signs of repair; the discount rate of science and technology bond ETFs has been continuously repairing since late November 2025, briefly approaching zero from December 23 - 26, 2025, and then quickly falling back to a deep discount [19] - The reason for the difference in the discount rate between the two types of ETFs in late December 2025 may be due to liquidity differences. Science and technology bond ETFs have better on - site liquidity and are better discount arbitrage targets [25] - The logic supporting the discount repair remains unchanged. In Q1 2026, the discount of credit bond ETFs is expected to oscillate towards zero [27] 3.3 Is there Room for Excess Returns in the Component Bonds? - The valuation yield of short - term components of the CSI AAA science and technology innovation corporate bond index has increased since early 2026, while the medium - to long - term components over 3 years have decreased to varying degrees, and the yield curve has flattened [29] - The excess spread of the CSI AAA science and technology innovation index components has narrowed and then widened. The adjustment range is greater than that of the Shanghai - listed market - making corporate bond index, indicating that the science and technology bond index components are more sensitive to market conditions [29][35] - The excess spread of short - to medium - term science and technology bond components has adjusted to near the high since December 2025, and their investment value is emerging [43] 3.4 Review of the Top Three Science and Technology Bond ETFs by Average Daily Trading Volume in 2025 3.4.1 Science and Technology Bond ETF Guotai - As of January 28, 2026, the circulating shares were 128 million, the total market value was 12.884 billion yuan, and the unit net value was 100.56 yuan per share. It had the highest average daily trading volume in 2025, reaching 9.488 billion yuan [44] - As of January 28, 2026, the discount rate was 0.24%, in the 13.4% percentile since listing, with sufficient discount arbitrage space [45] - The fund tracks the CSI AAA science and technology innovation corporate bond index. 98.5% of its component bonds are issued by central and local state - owned enterprises. The weighted average remaining exercise period is 3.27 years [47] 3.4.2 Science and Technology Bond ETF Huatianfu - As of January 28, 2026, the circulating shares were 191 million, the total market value was 19.095 billion yuan, and the unit net value was 100.42 yuan per share. The average daily trading volume in 2025 was 7.835 billion yuan [54] - As of January 28, 2026, the discount rate was 0.24%, in the 21.9% percentile since listing. From September 30, 2025, to January 28, 2026, the maximum drawdown was 0.26%, and the annualized volatility was 0.33%, better than the average level of science and technology bond ETFs [54] - The fund tracks the CSI AAA science and technology innovation corporate bond index. 96.6% of its component bonds are issued by central and local state - owned enterprises. The weighted average remaining exercise period is 3.26 years [57] 3.4.3 Science and Technology Bond ETF Nanfang - As of January 28, 2026, the circulating shares were 97 million, the total market value was 9.666 billion yuan, and the unit net value was 99.94 yuan per share. The average daily trading volume in 2025 was 7.237 billion yuan [59] - As of January 28, 2026, the discount rate was 0.03%, in the 52.6% percentile since listing. From September 30, 2025, to January 28, 2026, the annualized volatility was 0.51%, which may be suitable for more aggressive institutions [59][64] - The fund tracks the CSI AAA science and technology innovation corporate bond index. 98.1% of its component bonds are issued by central and local state - owned enterprises. The weighted average remaining exercise period is 3.61 years [61]

Fixed Income - The overall scale of interest rate bond funds has decreased, with total assets amounting to 3.0 trillion yuan as of Q4 2025, down by 0.09 trillion yuan from Q3 2025 [6][7] - The average yield of interest rate bond funds has rebounded to +0.44% in Q4 2025, compared to -0.48% in Q3 2025, but remains significantly lower than the 4.42% yield in 2024 [8][19] - The expected yield range for 10-year government bonds in 2026 is projected to be between 1.6% and 1.9%, with opportunities for long-term bonds anticipated to arise after significant market corrections [8][19] Manufacturing Sector - The manufacturing PMI fell back below the expansion threshold to 49.3 in January 2026, indicating a slowdown in production activities compared to the previous month [11][10] - The non-manufacturing PMI also decreased to 49.4, suggesting a contraction in service sector activities, with the composite PMI output index at 49.8 [11][10] - The consumption sector is expected to receive policy support, but the impact may be weaker than in 2025 due to high base effects from the previous year [11][10] Social Financing - The forecast for new loans in January 2026 is 4.9 trillion yuan, with social financing expected to reach 7.07 trillion yuan, indicating a slight year-on-year increase [15][18] - M2 is projected to reach 345.1 trillion yuan by the end of January, with a year-on-year growth of 8.3% [15][18] - The social financing growth rate is expected to decline to around 8.1% by the end of January 2026, following a peak in mid-2025 [18][15] Pharmaceutical Sector - The approval of phosphoric acid lebrikizumab cream for the treatment of vitiligo marks a significant milestone for the company, being the first targeted therapy for this condition in China [21][22] - Clinical trials have shown promising results, with a significant percentage of patients achieving a 75% improvement in vitiligo area after 24 weeks of treatment [21][22] - The company is also pursuing additional indications for the cream, including atopic dermatitis, which could further enhance its market potential [22][21] New Consumption Sector - The company holds exclusive operational rights for key scenic areas and has established a robust management system for mountain tourism, positioning it well for growth [25][26] - The opening of the Shenbai high-speed railway is expected to significantly increase visitor traffic, enhancing accessibility to the scenic area [27][26] - The company plans to raise 236 million yuan for expanding its facilities and improving transportation, which is anticipated to boost its operational capacity and customer experience [27][26]

Core Viewpoint - Kirr Marbach has increased its stake in the Invesco BulletShares 2029 Corporate Bond ETF (NASDAQ:BSCT) by purchasing 226,705 shares, valued at approximately $4.27 million, indicating confidence in the fund's strategy and performance [1][2]. Fund Overview - The Invesco BulletShares 2029 Corporate Bond ETF targets investment-grade corporate bonds maturing in 2029, providing a structured approach to fixed income investments with defined maturity dates [6][9]. - As of January 23, the ETF's price was $18.80, reflecting a 2.5% increase over the previous year, with a total return of 7.7% over the past year [3][4]. Financial Metrics - The ETF has an Assets Under Management (AUM) of $2.59 billion and offers a yield of 4.5% [4]. - Following the recent purchase, BSCT now constitutes 2.3% of Kirr Marbach's 13F reportable assets, which total $523.16 million [3]. Investment Strategy - BSCT's investment strategy focuses on U.S. dollar-denominated investment-grade corporate bonds, with at least 80% of its assets allocated to securities in its underlying index [9]. - The fund is designed to liquidate around December 2029, mimicking a bond ladder approach, which provides a cleaner risk profile compared to longer-duration bond funds [11]. Portfolio Context - The position in BSCT is part of a broader portfolio that includes large industrial and mega-cap equity holdings, suggesting it serves as a ballast rather than a defensive retreat [12]. - The defined-maturity bonds in the portfolio act as a counterweight to volatility and provide predictable cash flow amidst a landscape of cyclical stocks and growth exposure [12].

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - The scale of credit - bond ETFs has declined for two consecutive weeks, dropping by 14.2 billion yuan to 541.9 billion yuan on January 16 compared to January 9. After the "first rise then fall" since mid - December, the current scale has basically returned to that of one month ago (December 19) [1] - Most credit - bond ETFs saw a decline or remained flat in scale compared to last week, with corresponding bond holdings being reduced. The reduction mainly targeted bonds with a 2 - 3 - year term [2] - The trading activity of credit - bond ETFs has weakened for two consecutive weeks. The recovery of trading activity depends on whether the scale of credit - bond ETFs can stabilize [2] 3. Summary by Related Catalogs 3.1 Scale of Credit - bond ETFs - On January 16, the total scale of 35 credit - bond ETFs was 541.9 billion yuan, a decrease of 14.2 billion yuan compared to January 9 [6] - Compared with December 19, the scales of Silver Hua Kechuang Bond ETF, Ping An Corporate Bond ETF, Industrial Bank Kechuang Bond ETF, and Huatai - PineBridge Kechuang Bond ETF increased by more than 3.5 billion yuan, with an increase rate of over 20% [1] 3.2 Duration and Yield - On January 16, the durations of most credit - bond ETFs remained basically the same as on January 9, and the static portfolio yields were also stable. Only Tianhong Kechuang Bond ETF significantly reduced its duration by 0.68 years to 2.34 years, with the corresponding portfolio yield decreasing by 7bp to 1.81%. Currently, its duration is only slightly higher than that of Yongying (2.2 years) and is the second - lowest among 24 Kechuang Bond ETFs [1] - The durations of current Kechuang Bond ETFs are between 2.2 - 3.9 years, and those of benchmark - market - making credit - bond ETFs are between 2.7 - 3.7 years [1] 3.3 Bond Holdings Adjustment - Most credit - bond ETFs reduced their bond holdings. The reduction mainly targeted bonds with a 2 - 3 - year term, continuing the pattern of last week [2] - Kechuang Bond ETFs mainly reduced their holdings in the energy, securities, and public utilities sectors, with a large proportion of AAA central - state - owned enterprise bonds. Benchmark - market - making credit - bond ETFs reduced their holdings in the pharmaceutical, transportation, construction, and urban investment sectors [2] 3.4 Trading Activity - The trading activity has weakened for two consecutive weeks. On January 16, the number of trading transactions of Kechuang Bond ETF component bonds accounted for only 5.0% of that of credit bonds, a decrease of 0.5 percentage points compared to last week [2][15] - The median spread between "non - component bonds and component bonds" of Kechuang Bond ETFs has also narrowed for two consecutive weeks. On January 16, the median spread dropped to 5.2bp, a narrowing of 1.3bp compared to January 9 [2]

Group 1 - Global stock funds recorded the largest weekly net inflow in 15 weeks, amounting to $45.59 billion, as investors pushed global markets close to historical highs, continuing last year's upward momentum [1][4] - The MSCI global index rose by 20.6% last year and reached a new high that week, with a year-to-date increase of approximately 2.4% [4] - U.S. stock funds saw a net inflow of $28.18 billion, marking the highest weekly inflow in two and a half months, leading regional fund inflows [4] Group 2 - Global bond funds had a net inflow of $19.03 billion, remaining stable compared to the previous week's $19.12 billion [7] - Money market funds experienced a net outflow of $67.15 billion, with total redemptions of $250 billion over the past two weeks [10] - Emerging market assets were favored, with $5.73 billion flowing into emerging market equity funds, the highest weekly inflow since October 2024 [10]

Report Industry Investment Rating No relevant content provided. Core View of the Report The bond market was weak last week, leading to a double decline in the net value and share of bond ETFs. The market was affected by negative factors such as the rumored implementation of new public - offering sales regulations and Vanke's request for bond extension. In the short term, if the repair market continues, the bond ETF market is expected to gradually stabilize. Also, if the new regulations are implemented as per the draft, bond ETFs may attract some funds migrating from traditional bond funds [2][5]. Summary by Directory 1.1 Various Bond ETFs' Capital Inflow Situation - Last week, the net inflows of interest - rate bond ETFs, credit - bond ETFs, and convertible - bond ETFs were +3.09 billion yuan, - 4.50 billion yuan, and - 11.06 billion yuan respectively. The total net inflow of the bond ETF market was - 12.47 billion yuan. As of November 28, 2025, the bond ETF fund scale was 716.624 billion yuan, down 0.30% from the previous week and up 298.63% from the beginning of the year, accounting for 12.60% of the total market ETF scale [2][5]. - Short - term financing ETFs, treasury - bond ETFs, and science - innovation bond ETFs had the top three net inflows last week, while benchmark market - making credit - bond ETFs had the largest net outflow of - 24.10 billion yuan [2][6]. 1.2 Various Bond ETFs' Share Trends - As of November 28, 2025, the shares of treasury - bond, policy - financial - bond, local - bond, credit - bond, and convertible - bond ETFs changed by 1.1%, - 1.2%, 1.2%, 0.0%, and - 1.6% respectively compared to November 21, 2025. The total share of bond - type ETFs changed by - 0.5% [18]. 1.3 Main Bond ETFs' Share and Net Value Trends - The shares of convertible - bond ETFs and 30 - year treasury - bond ETFs significantly decreased. As of November 28, 2025, compared to November 21, 2025, the shares of selected main bond ETFs changed by - 20.06 million shares, - 6.18 million shares, 0.15 million shares, 6.70 million shares, and - 113.10 million shares respectively [22]. - Due to the cooling of interest - rate cut expectations, the net values of main bond ETFs all declined. As of November 28, 2025, compared to November 21, 2025, the net values of selected main bond ETFs changed by - 0.66%, - 0.16%, - 0.05%, - 0.06%, and - 0.28% respectively [27]. 1.4 Benchmark Market - Making Credit - Bond ETFs' Share and Net Value Trends - Affected by the panic caused by Vanke's bond extension on November 26, 2025, the 8 existing benchmark market - making credit - bond ETFs faced large redemption pressure. As of November 28, 2025, compared to November 21, 2025, the shares of these 8 ETFs changed by - 5.00 million shares, no change, - 7.20 million shares, no change, - 1.00 million shares, 4.20 million shares, - 2.00 million shares, and - 12.90 million shares respectively [29]. - The net values of these 8 ETFs all declined. As of November 28, 2025, compared to November 21, 2025, the net values changed by - 0.15%, - 0.11%, - 0.12%, - 0.13%, - 0.20%, - 0.19%, - 0.20%, and - 0.21% respectively [30]. 1.5 Science - Innovation Bond ETFs' Share and Net Value Trends - The overall share of science - innovation bond ETFs increased slightly last week. The net inflow of shares was 5.71 million shares, a 0.23% increase from the previous week. The top three products in terms of share inflow were Science - Innovation Bond ETF Fuguo, Science - Innovation Bond ETF Dacheng, and Science - Innovation Bond ETF Taikang [35]. - The net values of science - innovation bond ETFs declined overall. The average net values of the first - batch and second - batch science - innovation bond ETFs decreased by 0.17% and 0.16% respectively compared to the previous week [37]. 1.6 Single Bond ETFs' Market Performance - Constrained by the weak bond market, the net values of bond ETFs generally declined. Shanghai - Stock - Exchange Convertible - Bond ETF, 30 - Year Treasury - Bond ETF Boshi, and 30 - Year Treasury - Bond ETF had the largest declines, at - 0.77%, - 0.75%, and - 0.71% respectively [40]. - In terms of premium - discount rates, Benchmark Treasury - Bond ETF, 30 - Year Treasury - Bond ETF Boshi, and 30 - Year Treasury - Bond ETF had the highest premium rates. In terms of scale changes, Benchmark Treasury - Bond ETF, Science - Innovation Bond ETF Dacheng, and Science - Innovation Bond ETF Fuguo had the top three net inflows [40].

Group 1 - The current market does not expect significant short-term interest rate cuts, making it difficult for long-term government bond rates and short-term deposit rates to decline significantly [1] - The year-end focus should be on institutional allocation willingness and equity market performance, which could impact the government bond spread [1] - Two investment strategies are suggested: 1) opt for slightly lower duration for defense and wait for a 5 basis point rate adjustment before considering longer duration opportunities; 2) maintain a market-neutral or slightly longer duration stance, focusing on active bonds where spreads may compress [1] Group 2 - The Q3 monetary policy report indicates a cautious approach to significant rate cuts or reserve requirement reductions, emphasizing stable growth as the primary goal of monetary policy [2] - The current duration measurement is 4.5 years, with a focus on the absolute yield and credit spread compression opportunities in the 3-5 year credit bond market [2] - The credit bond market is expected to follow the trends of government bonds, with a recommendation to focus on mid-term government bonds for short-term capital gains [2] Group 3 - Convertible bonds in sectors like electronics, TMT, and automotive are significantly higher than other industries, indicating investor expectations for stock price increases and volatility [3] - The proportion of high premium convertible bonds in the market is higher than in previous years, suggesting that if stock market expectations remain stable, high premium convertible bonds will continue to thrive [3] - The valuation of convertible bonds is rising, but the sustainability of this increase depends on stock market expectations [3] Group 4 - As of November 14, 2025, the 5-10 year government bond ETF index has seen a slight decline of 0.01%, while the ETF itself has increased by 0.01% [5] - The 5-10 year government bond ETF has shown a 3.15% increase over the past year, with active trading and a recent scale of 1.656 billion yuan [5] - The ETF has a historical profitability rate of 100% over three years, with a monthly profitability probability of 71.06% [5] Group 5 - The maximum drawdown for the 5-10 year government bond ETF in the past six months is 1.09%, with a management fee of 0.15% and a custody fee of 0.05% [6] - The ETF closely tracks the index of active government bonds with maturities of 5, 7, and 10 years, reflecting the overall performance of these bonds [6]

Group 1 - The focus for government bonds is on the 7-year maturity, while for policy bank bonds, the 3-year and 10-year maturities are emphasized [1] - The 10-year government bond spread between 250016 and 250011 is around 7-8 basis points, with expectations for increased liquidity in 250016, potentially leading to a switch in the main bond [1] - The 30-year government bond 25T6 is expected to become the next main bond due to improved liquidity, with a potential spread reduction to 3-6 basis points compared to 25T2 [2] Group 2 - The National Development Bank bond ETF (159651) has seen a 1.55% increase over the past year, with a current price of 106.36 yuan as of September 22, 2025 [2] - The trading volume for the National Development Bank bond ETF was 520.09 million yuan, with an average daily trading volume of 4.58 billion yuan over the past year [3] - The ETF has a management fee of 0.15% and a custody fee of 0.05%, which are among the lowest in comparable funds [4]

Group 1 - The core viewpoint emphasizes the safety and reliability of the National Development Bank (NDB) bond ETF as a cornerstone asset, supported by substantial government credit [1] - The NDB bond ETF is regarded as a "quasi-gold bond," trusted by institutional investors and providing a convenient channel for individual investors to access high-quality bonds [1] - The ETF offers five key advantages: stable income, excellent liquidity, low investment threshold, tax-exempt dividend income, and serves as a core asset allocation tool [1] Group 2 - As of September 18, 2025, the NDB bond ETF has shown a 1.53% increase over the past year, with a trading volume of 4.61 billion yuan and an active market turnover rate of 89.56% [2] - The ETF has a maximum drawdown of 0.12% over the past six months, which is the smallest among comparable funds, with a recovery period of 8 days [3] - The management fee for the NDB bond ETF is 0.15%, and the custody fee is 0.05%, both of which are the lowest among comparable funds [4]