1. Report Industry Investment Rating - No information provided in the given content 2. Core View of the Report - Last week (3/23 - 3/27), bond - type ETFs had a net inflow of 21.5 billion yuan. Credit - bond ETFs, interest - rate bond ETFs, and convertible - bond ETFs had net inflows of 19.7 billion yuan, 3.1 billion yuan, and a net outflow of 1.3 billion yuan respectively. Their cumulative unit net value weekly changes were +0.06%, +0.12%, and +1.02% [2][14]. - Thanks to the scarcity support of short - and medium - term coupon assets due to supply contraction and the demand support from "asset relocation" of wealth management products and continuous acceptance by public funds, credit bonds maintained strong resilience in the recent volatile market [31]. 3. Summary by Directory 3.1 Issuance Progress Tracking - There were no newly issued bond ETFs last week [3][18]. 3.2 Stock Product Tracking - As of March 27, 2026, the circulating market values of interest - rate bond ETFs, credit - bond ETFs, and convertible - bond ETFs were 130.4 billion yuan, 401.1 billion yuan, and 72.8 billion yuan respectively, with credit - bond ETFs accounting for 66% of the total. Haifutong CSI Short - term Financing ETF and Boshi Convertible - bond ETF had the top two circulating market values, at 91.4 billion yuan and 60.7 billion yuan respectively [4][20]. - Compared with last week, the circulating market values of interest - rate bond ETFs, credit - bond ETFs, and convertible - bond ETFs increased by 3.3 billion yuan, 18.3 billion yuan, and decreased by 0.5 billion yuan respectively. Products with significant scale increases last week included Harvest CSI AAA Science and Technology Innovation Corporate Bond ETF, Haifutong CSI Short - term Financing ETF, and Southern CSI AAA Science and Technology Innovation Corporate Bond ETF, with increases of 6.2 billion yuan, 4.3 billion yuan, and 3.3 billion yuan respectively [4][20]. - Among credit - bond ETFs, the circulating market values of benchmark - making credit - bond ETFs and science - and - technology innovation bond ETFs were 100.9 billion yuan and 277.5 billion yuan respectively, increasing by 0.5 billion yuan and 12.3 billion yuan compared with last week. The scale of science - and - technology innovation bond ETFs ended a ten - week decline [4][22]. 3.3 ETF Performance Tracking - The cumulative unit net values of interest - rate bond ETFs and credit - bond ETFs closed at 1.19 and 1.03 respectively. The benchmark - making credit - bond ETF's return since its establishment has marginally climbed to 1.89%, and the science - and - technology innovation bond ETF's return since its establishment has risen to 0.85% [5][23][31]. 3.4 Premium/Discount Rate Tracking - Last week, the average premium/discount rates of credit - bond ETFs, interest - rate bond ETFs, and convertible - bond ETFs were - 0.03%, - 0.01%, and - 0.10% respectively. The average trading price of credit - bond ETFs was lower than the fund's unit net value, indicating low allocation sentiment. Specifically, the weekly average premium/discount rates of benchmark - making credit - bond ETFs and science - and - technology innovation bond ETFs were - 0.07% and - 0.03% respectively, and the discount rates continued to converge [6][35]. 3.5 Turnover Rate Tracking - Last week, the turnover rate ranked as convertible - bond ETFs > interest - rate bond ETFs > credit - bond ETFs. The weekly turnover rate of convertible - bond ETFs improved to 155%, while those of interest - rate and credit - bond ETFs slightly declined to 144% and 96% respectively. Products with high turnover rates included Huaxia Shanghai Stock Exchange Benchmark - making Treasury Bond ETF, Guotai CSI AAA Science and Technology Innovation Corporate Bond ETF, and Haifutong Shanghai Stock Exchange 5 - year Local Government Bond ETF [7][40].

Group 1 - The report discusses the current market's focus on the direction of the bond market amid a tug-of-war between bullish and bearish sentiments, emphasizing the need to monitor factors beyond inflation that could exceed expectations [1][7] - Key factors influencing the bond market include the recovery strength and sustainability of the macroeconomic fundamentals, which are seen as the core contradictions to watch in the next phase [4][9] - The steepening of the yield curve is attributed to a shift in long-term macro narratives, with a focus on the transition from old to new economic drivers and the easing of credit contraction pressures [10][12] Group 2 - The report suggests that the bond market environment in the first half of 2026 will differ from that of 2025, with limited downward space for bond yields and potential upward risks requiring new catalysts [16] - Investment strategies for credit bonds should focus on the 3-year maturity range, with a cautious approach to duration while seeking opportunities in the upcoming credit market [19][21] - The report highlights the anticipated recovery of perpetual bonds issuance in the second quarter, with manageable pressure expected, particularly in the context of the evolving demand dynamics [23][24] Group 3 - The report identifies the next observation window for the growth of credit bond ETFs as potentially occurring in April-May, driven by market conditions and the recent regulatory changes in the technology innovation bond sector [25][26] - The recent decline in the convertible bond market is linked to external shocks and a risk-averse approach by investors, leading to significant reductions in positions [27][28] - Future pricing logic in the convertible bond market will increasingly depend on how equities are priced in response to external shocks, with a focus on potential mispricing opportunities relative to equities [29]

1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core Viewpoints of the Report - The behavior of institutional investors has become a core variable influencing the short - to medium - term trends and operation rhythm of the credit bond market. The steepening of the yield curve, prominent structural market conditions, and intensified differentiation of credit spreads may be the core characteristics of the market [1][7]. - In 2026, the short - to medium - term trends and operation rhythm of the credit bond market will still be dominated by institutional behavior. The marginal behavioral changes of funds, wealth management, and insurance, the three core institutional investors, will reshape the market pattern in terms of term structure, spread trends, and variety differentiation [3][7][51]. 3. Summary According to the Table of Contents 3.1 Fund: Significant Behavioral Elasticity Driven by Liabilities, Further Deepening of Instrumental and Structural Features in 2026 3.1.1 Core Bond Allocation Features: Dominated by Liabilities, Focus on Duration and Leverage - The redemption pressure on the liability side directly determines the asset - side allocation, leading to pro - cyclical trading behavior. A positive feedback loop exists between fund net value and investor redemptions. In a rising bond market, funds increase leverage and duration to allocate more credit bonds; in a falling market, forced selling occurs due to redemption pressure [11]. - The leverage ratio is subject to regulatory constraints, and duration adjustment is highly correlated with market conditions and liability - side pressure. The regulatory upper limits for the leverage ratio of open - end and closed - end bond funds are 140% and 200% respectively. Duration adjustment varies with market conditions and the stability of the liability side [11][12]. - Policy changes and concentrated product maturities in 2025 directly triggered significant fluctuations in fund bond allocation behavior. After the release of the fund fee regulations in September 2025, funds sold off bonds in advance. In November, the net purchase of credit bonds increased due to the maturity of amortized cost - method bond funds [12]. 3.1.2 Instrumental Trend Prominent in 2026, Sustained Structural Impact - Under the new fee regulations, product substitution effects are evident. Short - term trading becomes more instrumental, and medium - to long - term allocation focuses on performance. Bond ETFs and inter - bank certificate of deposit funds have replaced traditional short - term bond funds, increasing short - term credit bond trading activity and volatility. Medium - to long - term pure bond funds focus on duration timing and variety selection [15]. - The opening rhythm of amortized cost - method bond funds in 2026 remains a key variable, driving the structural market of credit bonds. Concentrated openings will lead to increased demand for 3 - 5 - year high - grade ordinary credit bonds, while dispersed openings will have a milder impact. The concentrated maturity periods in 2026 are March, May, June, and July [17]. - Pay attention to potential policy benefits for credit bond and sci - tech innovation bond ETFs. Scale expansion will drive the valuation repair and liquidity improvement of constituent bonds. As of March 24, 2026, the scale of 24 sci - tech innovation bond ETFs decreased by 8.91 billion yuan compared to the end of 2025, but the relative value of constituent bonds is prominent [20][23]. 3.2 Wealth Management: Challenges of Full Net - Value Transformation 3.2.1 Core Bond Allocation Features: Focus on Allocation, Weakened Trading, and Significant Seasonal Bond Allocation Patterns - Wealth management's bond allocation strategy is mainly hold - to - maturity, with weakened trading attributes. The allocation willingness is positively correlated with credit spreads. After the net - value transformation in 2022, wealth management shifted from trading to hold - to - maturity due to investors' low tolerance for net - value fluctuations. The bond - buying and - selling rhythm is affected by bank's seasonal balance - sheet returns, liability - side stability, and primary - market bond issuance [26][28]. - Seasonal bond allocation patterns are clear, and there are opportunities for short - term spread compression in specific windows. At the beginning of each quarter (April, July, October), there are usually opportunities to compress the credit spreads of short - term high - grade credit bonds such as 1 - year AAA inter - bank certificates of deposit and 2 - year - or - less AAA bonds [29]. 3.2.2 In 2026, Stabilizing Net Value is the Core, and the Direction of Fund Flows is Key - Under full net - value transformation, the function of wealth management as a stabilizer in the bond market is weakened, and low - volatility and high - liquidity assets are preferred. In a rising bond market, wealth management will moderately increase credit bond allocation without excessive leverage and duration extension; in a falling market, it will shorten duration and increase low - volatility asset holdings. This will intensify the term differentiation in the credit bond market [30]. - The peak of high - interest deposit repricing maturity will affect the demand structure of credit bonds. If funds flow into wealth management after high - interest deposits mature, it will support short - term high - grade credit bonds; if funds flow into the equity market, it may cause short - term disturbances in the bond market [34]. 3.3 Insurance: Stock - Bond Rebalancing in 2026 3.3.1 Core Bond Allocation Features: Liability - Driven Long - Term Allocation, Bond Allocation Rhythm Affected by Multiple Factors - Insurance funds have long - term liabilities with rigid costs, and premium income shows seasonal characteristics with a slowdown in growth. Insurance funds need to allocate long - term assets to match asset - liability duration. Premium income is concentrated in January, and the proportion of dividend - paying insurance may increase [39]. - The bond allocation rhythm is driven by multiple factors, with a significant characteristic of timing allocation at interest - rate peaks. Insurance funds prefer to participate in primary - market bond subscriptions, especially for long - term local government bonds and credit bonds. They also consider deposit yields and market interest rates when allocating bonds [40]. - Asset - side allocation is diversified, with local government bonds as the core allocation. After the contraction of non - standard assets, insurance funds are actively seeking alternative assets such as ultra - long - term interest - rate bonds, local government bonds, fixed - income plus products, and overseas fixed - income assets. Insurance funds have significant pricing power for long - term credit bonds [44]. 3.3.2 Stock - Bond Rebalancing + New Accounting Standards in 2026, More Cautious Allocation Style - In a low - interest - rate environment, stock - bond rebalancing is initiated, increasing the proportion of equity asset allocation and restricting the incremental allocation of pure bonds. This may weaken the承接 force for long - term credit bonds, widen the spreads of long - term credit bonds, and intensify term differentiation in the credit bond market [47][49]. - After non - listed insurance companies fully implement the new accounting standards in 2026, the preference for Tier 2 and perpetual bonds may further shrink, and credit risk appetite will be more cautious. This will intensify the grade spread differentiation and liquidity stratification in the credit bond market [50]. 3.4 Outlook on the Core Trends of the Credit Bond Market with Institutional Behavior Reshaping the Landscape - The credit bond yield curve will continue to steepen, and the ability to absorb long - term bonds may be limited. Wealth management focuses on short - term high - grade low - volatility assets, funds focus on short - to medium - term trading, and insurance may reduce long - term bond positions, leading to a steeper yield curve and potential widening of long - term credit spreads [51]. - Product innovation and maturity rhythms will drive a structural market, which will be the mainstream feature in 2026. The maturity rhythm of amortized cost - method bond funds will determine the phased allocation opportunities for 3 - 5 - year high - grade ordinary credit bonds, and the scale expansion of credit bond and sci - tech innovation bond ETFs will drive the valuation repair of constituent bonds [51][52]. - Changes in insurance allocation preferences may put continuous pressure on Tier 2 and perpetual bonds and low - to medium - grade credit bonds. The new accounting standards will affect the preference for Tier 2 and perpetual bonds, and the credit risk appetite of insurance will be more cautious, intensifying the grade spread differentiation [52].

Report Summary 1. Report Investment Rating No information provided regarding the industry investment rating. 2. Core View Last week, the ChinaBond New Composite Index rose 0.02% throughout the week. Short - term and medium - to - long - term pure bond funds increased by 0.05% and 0.07% respectively. The ChinaBond AAA Sci - tech Innovation Bond Index and the Shanghai Stock Exchange Benchmark Market - making Corporate Bond Index rose 0.06% and 0.07% respectively. Bond - type ETFs had a net outflow of 804 million yuan in the past week, with different trends among different types of ETFs [3]. 3. Summary by Related Catalogs 3.1. Fund Flows - As of March 20, 2026, bond - type ETFs had a net outflow of 804 million yuan in the past week. Interest - rate, credit, and convertible - bond ETFs had net outflows of 1.577 billion yuan, a net inflow of 5.35 billion yuan, and a net outflow of 4.577 billion yuan respectively. In credit - type ETFs, short - term financing, corporate bonds, and urban investment bonds had net inflows of 5.262 billion yuan, 158 million yuan, and 1.574 billion yuan respectively, while market - making credit bonds and sci - tech innovation bonds had net outflows of 535 million yuan and 1.11 billion yuan respectively. Since 2025, interest - rate, credit, and convertible - bond ETFs have had cumulative net inflows of 50.908 billion yuan, 470.265 billion yuan, and 30.175 billion yuan respectively, totaling 551.349 billion yuan [5]. 3.2. Net Value Performance - As of March 20, 2026, the net value trends of various types of bond ETF products were divergent. The 30 - year Treasury Bond ETF performed weakly, falling 0.28% throughout the week, while the China Development Bank Bond ETF and the Treasury Bond ETF Orient Fortune rose 0.08% and 0.07% respectively. The convertible - bond ETF and the Shanghai Stock Exchange Convertible - Bond ETF fell 3.06% and 2.96% respectively last week [6]. 3.3. Credit - Bond ETF and Sci - Tech Innovation Bond ETF Performance - As of March 20, 2026, the median net asset values per unit of credit - bond ETFs and sci - tech innovation bond ETFs were 1.0184 and 1.0060 respectively, both rising 0.06% throughout the week. Among credit - bond ETFs, the E Fund Corporate Bond ETF performed relatively well, rising 0.08% throughout the week. Among sci - tech innovation bond ETFs, the ICBC Sci - Tech Innovation Bond ETF and the Yongying Sci - Tech Innovation Bond ETF performed relatively well. As of March 20, 2026, the median discount rate of credit - bond ETFs was 7 basis points, and that of sci - tech innovation bond ETFs was 9 basis points [7]. 3.4. Credit - Type ETF Duration Tracking - As of March 20, 2026, the holding durations of short - term financing ETFs, corporate bond ETFs, and urban investment bond ETFs were 0.29 years, 2.02 years, and 2.06 years respectively. Among market - making credit - bond ETFs, the median holding durations of products tracking the Shanghai Market - making Corporate Bond Index and the Shenzhen Market - making Corporate Bond Index were 3.45 years and 2.81 years respectively. Among sci - tech innovation bond ETFs, the median holding durations of products tracking the AAA Sci - Tech Innovation Bond Index, the Shanghai AAA Sci - Tech Innovation Bond Index, and the Shenzhen AAA Sci - Tech Innovation Bond Index were 3.26 years, 3.21 years, and 3.10 years respectively [8].

Summary of Conference Call Notes Industry Overview - The notes primarily discuss the bond market dynamics in the context of the equity market fluctuations and the impact of geopolitical events, particularly in the Middle East, on market sentiment and performance. Key Points and Arguments Changes in Stock-Bond Relationship - The relationship between stocks and bonds has undergone significant changes in 2026, necessitating a reevaluation of traditional analysis frameworks. The overlap between stock and bond investors is increasing, particularly due to the rise of "fixed income plus" products, which have seen rapid growth since the second half of 2025. This shift indicates that when "fixed income plus" funds face outflows, they may exert pressure on both stock and bond markets [2][3][4]. Bond Market Pressures - The bond market is expected to face pressure until mid-April 2026, with potential opportunities for buying in the second quarter. The anticipated selling pressure may come from the 5-10 year policy financial bonds and secondary capital bonds, which could be sold off to avoid losses in equity positions [1][2][3]. Inflation and Economic Recovery - Input inflation and endogenous economic recovery are compressing the bond market's trading window. Short-term inflation expectations are likely to rise, impacting the Producer Price Index (PPI) and Consumer Price Index (CPI), which will create pressure on the bond market. The market is expected to face upward interest rate expectations in both the short and long term [3][4]. Credit Bond ETF Market Dynamics - The credit bond ETF market has seen a significant decline in scale, with the Sci-Tech bond ETF and benchmark rate bond ETF dropping by approximately 90 billion and 27 billion respectively. This decline is attributed to a rapid growth effect at the end of 2025 and a weakening profit effect for credit bond ETFs [4][5]. Market Adjustments and Strategies - The recent adjustments in the A-share and convertible bond markets are primarily due to geopolitical tensions in the Middle East, leading to a decline in the Shanghai Composite Index by 3.38%, falling below 4,000 points. The market is expected to exhibit high volatility and structural rotation, with a focus on sectors supported by performance, such as technology and energy [6][7][8]. Investment Strategies - In the current uncertain environment, a "steady progress" investment strategy is recommended, focusing on managing positions and waiting for valuation pressures to ease. Key strategies include: - Core positions in "double low" convertible bonds with relatively low prices and premium rates. - Elastic positions in equity-type convertible bonds with compressed premium rates to capture rebounds when conditions improve. - Investment themes centered around energy transition and technology sectors that are less affected by rising oil prices [8]. Other Important Insights - The bond market's core focus has shifted from the performance of equities to whether equity movements indicate rising prices or financing demands. The negative impact of rising energy prices on the bond market is expected to be more pronounced than before [2][3]. - The market's sensitivity to geopolitical events is anticipated to decrease over time, with a return to fundamental-driven pricing logic as the Chinese economy remains relatively stable [8].

Group 1 - The core view of the report indicates that the spread of credit bond ETFs is primarily influenced by two factors: market sentiment and calendar effects. Recent trends show that the spread of credit bond ETFs continues to recover due to strong certainty in the short to medium credit market [7][8]. Group 2 - In the primary issuance segment, net financing has increased. For the week of March 16 to March 20, 2026, short-term financing issued amounted to 1190.2 billion yuan, while maturing debt was 1100.1 billion yuan. The total issuance of major credit bond varieties reached 3824.3 billion yuan, with net financing of 949.7 billion yuan, an increase from the previous week [16]. Group 3 - In the secondary trading segment, transaction volume increased, and the overall term spread widened. During the same week, major credit bond varieties had a total transaction volume of 9214 billion yuan, an increase of 865 billion yuan from the previous week. The yields on medium-term notes decreased overall, with the 3-year AAA medium-term note yield down by 1.9 basis points to 1.78% [19][20].

1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core Viewpoints of the Report The report analyzes the credit bond ETF market from multiple perspectives, including index market trends, ETF market trends, liquidity, scale, and risk - return. It indicates that the bond market is expected to be in a volatile state in March, with inflation expectations dominating bond pricing. It recommends a strategy of medium - short duration and high - coupon protection and suggests focusing on the Haifutong Urban Investment Bond ETF (511220.SH), the Haifutong Short - Term Financing ETF (511360.SH), and the Bosera Convertible Bond ETF (511380.SH) [7][64]. 3. Summary by Relevant Sections Index Market Trends - **Bond Index Market Trends**: Pure bond indexes rose slightly, and convertible bond indexes fell. The ChinaBond Financial Bond Index had the best performance in the past two weeks, with a 0.20% increase, while the ChinaBond Medium - and High - Grade Corporate Bond Spread Factor Net Price (Total Value) Index had the lowest increase, at 0.04%. Convertible bond indexes fluctuated downward, with the CSI Convertible Bond and Exchangeable Bond Index and the SSE Investment - Grade Convertible Bond and Exchangeable Bond Index falling by 3.07% and 2.67% respectively in the past two weeks [2][12]. - **Important Credit Bond Index Spread Situation**: The yields of credit bond indexes declined, and the spread trends showed less differentiation. Most credit bond index spreads widened, and credit bonds underperformed interest - rate bonds. The Shanghai Urban Investment Bond Index had the highest estimated yield (1.87%) and the highest spread (28.46bp) on March 13, 2026, while the ChinaBond Financial Bond Index had the lowest spread at 9.50bp [13]. Credit Bond ETF Market Trends - Pure bond ETFs generally rose, and convertible bond ETFs fell. Among the benchmark market - making bond ETFs, the average increase of Shenzhen Market - Making Credit Bonds was higher than that of Shanghai Market - Making Corporate Bonds. Among the science and technology innovation bond ETFs, the Invesco Science and Technology Innovation Bond ETF (159400.SZ) had the highest increase of 0.20%, and the Huaxia Science and Technology Innovation Bond ETF (159112.SZ) had the lowest increase of 0.06%. Among pure bond ETFs, the Dacheng Credit Bond ETF (159395.SZ) had the highest increase of 0.20%. The Bosera Convertible Bond ETF (511380.SH) and the Haifutong Convertible Bond ETF (511180.SH) fell by 3.38% and 2.67% respectively [3][19]. Credit Bond ETF Liquidity - The Haifutong Short - Term Financing ETF (511360.SH) was the most actively traded, with a trading volume of 586.87 billion yuan in the past two weeks, a month - on - month increase of 155.38%, an average daily trading volume of 58.687 billion yuan, and a high turnover rate of 747.23%. The total trading volume of science and technology innovation bond ETFs in the past two weeks was 1205.866 billion yuan, with an average daily trading volume of 120.587 billion yuan and an average turnover rate of 467.30%. The total trading volume of benchmark market - making bond ETFs in the past two weeks was 288.207 billion yuan, with an average daily trading volume of 28.821 billion yuan and an average turnover rate of 254.56%. The total trading volume of convertible bond ETFs in the past two weeks was 157.644 billion yuan, with an average daily trading volume of 15.764 billion yuan and an average turnover rate of 214.11% [4][25]. Credit Bond ETF Scale - The scales of different types of ETFs showed mixed trends. Short - term financing ETFs and urban investment bond ETFs continued to receive net capital inflows, while the scales of science and technology innovation bond ETFs and benchmark market - making bond ETFs continued to decline, and the scale of convertible bond ETFs began to decline. As of March 13, 2026, the scale of the Haifutong Short - Term Financing ETF (511360.SH) was 81.829 billion yuan, a month - on - month increase of 4.604 billion yuan; the scale of the Haifutong Urban Investment Bond ETF (511220.SH) was 33.887 billion yuan, a month - on - month increase of 2.530 billion yuan [4][36]. Credit Bond ETF Risk - Return Analysis - **Unit Net Value**: The unit net values of pure bond ETFs increased, while those of convertible bond ETFs decreased. By March 13, 2026, the unit net values of benchmark market - making bond ETFs exceeded 101 yuan, and those of science and technology innovation bond ETFs exceeded 100 yuan. The unit net value of the short - term financing ETF continued to rise steadily, exceeding 113 yuan, and the unit net value of the urban investment bond ETF rose slightly to 10.29 yuan. The unit net values of the Bosera Convertible Bond ETF (511380.SH) and the Haifutong Convertible Bond ETF (511180.SH) fell to 14.13 yuan and 12.98 yuan respectively in the past two weeks [42]. - **Income**: The coupon rates of component bonds were concentrated, and the urban investment ETF had the greatest coupon rate advantage. Most credit bond ETFs saw a decline in the weighted coupon rate of component bonds at the end of the period compared to the beginning. Convertible bond ETFs had the lowest coupon rates, with the weighted coupon rates of the Bosera Convertible Bond ETF (511380.SH) and the Haifutong Convertible Bond ETF (511180.SH) at 0.24% and 0.23% respectively. The Haifutong Short - Term Financing ETF (511360.SH) had a weighted coupon rate of 1.63%. The weighted coupon rate of benchmark market - making bond ETFs was higher than that of science and technology innovation bond ETFs. The Dacheng Credit Bond ETF (159395.SZ) in benchmark market - making credit bonds had the highest weighted coupon rate of 2.69%, and the Winwin Science and Technology Innovation Bond ETF (511150.SH) in science and technology innovation bond ETFs had the highest weighted coupon rate of 2.29%. The Haifutong Urban Investment Bond ETF (511220.SH) had the highest weighted coupon rate of 3.27%. In terms of capital gains, the weighted yields of pure bond ETFs increased at the end of the period compared to the beginning, and the capital gain income was positive [45]. - **Weighted Duration and Convexity**: Most credit bond ETFs reduced their durations, and the weighted durations of science and technology innovation bond ETFs were differentiated. Affected by inflation expectations, most credit bond ETFs reduced their durations. The China Merchants Science and Technology Innovation Bond ETF (551900.SH) had the longest weighted duration of 3.86, and the Haifutong Short - Term Financing ETF (511360.SH) had the shortest duration of 0.30. The Bosera Credit Bond ETF (159396.SH), the Haifutong Credit Bond ETF (511190.SH), the Southern Credit Bond ETF (511070.SH), and the Winwin Science and Technology Innovation Bond ETF (511150.SH) had significantly higher convexity than other ETFs, mainly due to their allocation of perpetual bonds, which increased the overall convexity. Considering both duration and convexity, the Haifutong Credit Bond ETF (511190.SH) and the Winwin Science and Technology Innovation Bond ETF (511150.SH) had strong anti - decline capabilities [50][51]. - **Credit Risk**: The overall credit risk of credit bond ETFs was low. The component bonds of science and technology innovation bond ETFs, benchmark market - making bond ETFs, the Haifutong Short - Term Financing ETF, and corporate bond ETFs were all rated AAA. On March 13, 2026, in the Haifutong Urban Investment Bond ETF, AAA - rated component bonds accounted for 40.50%, AA + - rated component bonds accounted for 42.70%, and AA - rated component bonds accounted for 16.80%. In the Bosera Convertible Bond ETF (511380.SH), component bonds rated AA - and below accounted for 58.38%, and in the Haifutong Convertible Bond ETF (511180.SH), AA - rated component bonds accounted for 64.04%. Although convertible bonds had low credit ratings, they had conversion options, so the default risk was still low [55]. - **Cost - Effectiveness**: The corporate bond ETF and the Haifutong Short - Term Financing ETF had the highest risk - return ratios. In terms of returns, the Invesco Science and Technology Innovation Bond ETF (159400.SZ) had the highest annualized interval return of 4.12%, and the Bosera Convertible Bond ETF (511380.SH) had the lowest annualized interval return of - 60.52%. In terms of drawdowns, the Bosera Convertible Bond ETF (511380.SH) and the Haifutong Convertible Bond ETF (511180.SH) had higher maximum drawdowns than pure credit bond ETFs due to the fluctuations in the returns of their underlying stocks. Among pure bond ETFs, the Bank of China Science and Technology Innovation Bond ETF (551060.SH) had the largest drawdown, but the overall drawdowns of pure bond ETFs were small. In terms of risk - return ratios, the Haifutong Short - Term Financing ETF (511220.SH) and the corporate bond ETF (511030.SH) had the highest cost - effectiveness in the past two weeks, with Sharpe ratios of 0.91 and 0.87 respectively and Calmar ratios of 0 and 497.88 respectively [58]. Investment Recommendations - Based on the economic fundamentals in February, which showed characteristics of contraction in manufacturing and non - manufacturing, rising inflation, stable social financing growth, and continued rebound and repair of industrial profits, and the tight balance of the capital market, it is expected that the bond market will be in a volatile state in March, with inflation expectations dominating bond pricing. It is recommended to adopt a strategy of medium - short duration and high - coupon protection in March. After comprehensively comparing the durations, convexities, and risk - return ratios of bond indexes and credit bond ETFs, it is recommended to focus on the Haifutong Urban Investment Bond ETF (511220.SH), the Haifutong Short - Term Financing ETF (511360.SH), and the Bosera Convertible Bond ETF (511380.SH) [64].

Core Insights - The report highlights a divergence between short-term and long-term bond performance, with credit bond ETFs experiencing continued outflows [3][5] - As of March 13, 2026, bond ETFs saw a total net outflow of 11.575 billion yuan over the past week, with specific outflows from interest rate, credit, and convertible bond ETFs [3][4] Market Performance - The China Bond Composite Index fell by 0.08% over the past week, while short-term pure bond funds rose by 0.03% and medium to long-term pure bond funds fell by 0.01% [3] - The 30-year government bond ETF showed a weak performance, declining by 1.49%, while the national development bond ETF and the national development ETF increased by 0.05% and 0.04%, respectively [3][4] Fund Flows - As of March 13, 2026, the net inflows for credit bond ETFs included 2.212 billion yuan for short-term bonds, 0.199 billion yuan for corporate bonds, and 0.721 billion yuan for urban investment bonds, while market-making credit bonds saw a net outflow of 3.206 billion yuan and sci-tech bonds experienced a net outflow of 5.066 billion yuan [3][4] ETF Performance - The median unit net value for credit bond ETFs and sci-tech bond ETFs stood at 1.0178 and 1.0054, respectively, with the former remaining flat and the latter declining by 0.01% [4] - The median duration for short-term bond ETFs, corporate bond ETFs, and urban investment bond ETFs were 0.30 years, 1.99 years, and 2.02 years, respectively [4]

1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - Last week (3/9 - 3/13), bond - type ETFs had a net capital outflow of 9.8 billion yuan. The net outflows of credit - bond ETFs, interest - rate bond ETFs, and convertible - bond ETFs were 4.8 billion yuan, 3.3 billion yuan, and 1.7 billion yuan respectively. The cumulative unit net value of credit - bond ETFs was basically the same as that of the previous Friday, while the weekly changes in the cumulative unit net values of interest - rate bond ETFs and convertible - bond ETFs were - 0.23% and - 1.11% respectively. The bond market adjusted significantly due to factors such as overseas geopolitical conflicts, a significant increase in international crude oil prices, increased domestic imported inflation pressure, and better - than - expected import and export data from January to February as well as a marginal recovery in social financing and credit. The long - end interest rate rose sharply, but the credit sector showed strong resilience [2][13]. 3. Summary According to Relevant Catalogs 3.1 Issuance Progress Tracking - No new bond ETFs were issued last week [3][17] 3.2 Stock Product Tracking - As of March 13, 2026, the circulating market values of interest - rate bond ETFs, credit - bond ETFs, and convertible - bond ETFs were 128.7 billion yuan, 377.5 billion yuan, and 77.9 billion yuan respectively, with the credit - bond ETFs accounting for 65% of the total. Compared with the previous week, the circulating market values of interest - rate bond ETFs, credit - bond ETFs, and convertible - bond ETFs decreased by 3.7 billion yuan, 4.5 billion yuan, and 2.8 billion yuan respectively. The market values of the benchmark - market - making credit - bond ETFs and science - innovation bond ETFs were 100.8 billion yuan and 266.3 billion yuan respectively, decreasing by 3.2 billion yuan and 5.1 billion yuan from the previous week [4][19][22] 3.3 ETF Performance Tracking - The average cumulative unit net values of 16 interest - rate bond ETFs and 35 credit - bond ETFs were 1.19 and 1.03 respectively. The returns since the establishment of the benchmark - market - making credit - bond ETFs and science - innovation bond ETFs increased to 1.76% and 0.73% respectively [5][26][27] 3.4 Premium/Discount Rate Tracking - Last week, the average premium/discount rates of credit - bond ETFs, interest - rate bond ETFs, and convertible - bond ETFs were - 0.065%, - 0.002%, and - 0.104% respectively. The average trading price of credit - bond ETFs was lower than the fund's unit net value, indicating low allocation sentiment. The weekly average premium/discount rates of the benchmark - market - making credit - bond ETFs and science - innovation bond ETFs were - 0.09% and - 0.07% respectively [6][33] 3.5 Turnover Rate Tracking - Last week, the turnover rate of interest - rate bond ETFs > credit - bond ETFs > convertible - bond ETFs. The weekly turnover rates of interest - rate bond ETFs and credit - bond ETFs improved, reaching 161% and 137% respectively, while the weekly turnover rate of convertible - bond ETFs slightly decreased to 94%. Products such as Huaxia Shanghai Stock Exchange Benchmark - Market - Making Treasury Bond ETF, Southern China Securities AAA Science - Innovation Corporate Bond ETF, and Guotai China Securities AAA Science - Innovation Corporate Bond ETF had relatively high turnover rates [7][38]

Report Industry Investment Rating The report does not mention the industry investment rating directly. Core Viewpoints of the Report - The investment value of credit - bond ETFs with a larger discount may depend on the investor's entry timing, and timing is more important than choosing the ETF. In the interest - rate decline stage, these ETFs may have higher potential returns and safety cushions, but are limited by liquidity. In the interest - rate increase stage, they may carry greater potential risks and more prominent liquidity disadvantages. [74][112] - In the future, as the products mature, the premium - discount rate of credit - bond ETFs may change from unilateral discount to bilateral discount and premium. The premium - discount rate of market - making bond ETFs is expected to stabilize earlier. However, the current low redemption caps of some products may pose liquidity risks in the long run. [66][67] - The difference in the premium - discount rate of credit - bond ETFs is mainly due to differences in redemption mechanisms and liquidity. Full - cash redemption ETFs have a lower absolute value of the premium - discount rate, and higher - liquidity ETFs can more effectively smooth out the premium - discount rate. [44][56] - Based on the daily - frequency premium - discount rate, the quantitative arbitrage models of single - credit - bond ETF and cross - ETF of the same index are constructed. The performance of different models and strategies varies among different types of credit - bond ETFs. [115][131] Summary According to the Directory 1. What is the premium - discount rate? - The premium - discount rate, also known as the discount - premium rate, measures the deviation between the secondary - market price of an ETF and the true value of its underlying assets. When the market price is higher than the net value, it is a premium; otherwise, it is a discount. For credit - bond ETFs, the market generally compares the official daily closing net asset value (NAV) because the underlying credit bonds are numerous and less actively traded, and the IOPV is not regularly disclosed. [9][13] - The deviation between the secondary - market price of credit - bond ETFs and the underlying asset NAV is the result of the combined action of market microstructure, investor sentiment, and arbitrage mechanisms. [12][13] 2. What are the characteristics of the premium - discount rate of credit - bond ETFs? - As of March 6, 2026, the total scale of credit - bond ETFs reached 524.4 billion yuan. Most credit - bond ETFs are currently in a discount state, but the characteristics of the premium - discount rate of each credit - bond ETF vary significantly. [21] - Old - three credit - bond ETFs: They were listed earlier. In the early listing period, due to factors such as a small market capacity, few participating institutions, and an imperfect market - maker system, the discount was large, and then gradually converged. As of March 6, 2026, the premium - discount rates of the short - term financing ETF, urban investment bond ETF, and corporate bond ETF were - 0.4/5.0/3.0 BP, respectively, at a medium or relatively high historical level. [26] - Market - making bond ETFs: They were slightly discounted in the first week of listing, then in a slightly premium state for a long time, and have been in a discount state since July 2025. As of March 6, 2026, the median premium - discount rate was - 9.1 BP, at a medium historical level. [31] - Science and technology innovation bond ETFs: Except for the Fuguofund on the listing day, they were in a premium state, but most turned to a discount state after one week and have been in a discount state since then. The absolute value of the premium - discount rate of 8 full - cash redemption products is relatively low. As of March 6, 2026, the median premium - discount rate was - 10.8 BP, at a relatively high historical level. [36] - The reasons for the differences in the premium - discount rate of credit - bond ETFs are mainly the differences in redemption mechanisms and liquidity. The difference in redemption mechanisms is an important reason, and full - cash redemption ETFs have a lower absolute value of the premium - discount rate. Liquidity difference is the core reason, and higher - liquidity ETFs can more effectively smooth out the premium - discount rate. [44][56] - In the future, the premium - discount rate of credit - bond ETFs may change from unilateral discount to bilateral discount and premium. Market - making bond ETFs are expected to achieve stability in the premium - discount rate earlier, but the low redemption caps of some products may pose liquidity risks in the long run. [66][67] 3. Are credit - bond ETFs with a larger discount more cost - effective? - The investment value of credit - bond ETFs with a larger discount depends on the investor's entry timing. In the interest - rate decline stage, these ETFs may have higher potential returns and safety cushions, but are limited by liquidity. In the interest - rate increase stage, they may carry greater potential risks and more prominent liquidity disadvantages. [74][112] - In the short term, credit - bond ETFs with a larger discount may provide a tool for increasing returns during a phased decline in interest rates, but attention should be paid to the potential restriction of liquidity disadvantages on the strategy capacity. In the long term, it is more important to focus on the fund manager's net - value management ability and the product's own liquidity, and credit - bond ETFs with stable discount - premium may have greater long - term exploration advantages. [106][111] 4. Daily - frequency quantitative arbitrage strategies for credit - bond ETFs based on the premium - discount rate 4.1 Single - credit - bond ETF daily - frequency premium - discount rate arbitrage model - A daily - frequency premium - discount rate arbitrage model for credit - bond ETFs is constructed based on the premium - discount rate of the closing price on day T relative to the NAV on day T. The basic model uses the rolling 20 - day quantile of the daily premium - discount rate of each credit - bond ETF to determine portfolio position operations. [115][116] - The basic model is improved by adding opening - price adjustment and interest - rate timing. The back - testing results show that for old - three credit - bond ETFs, various arbitrage strategies have poor effects; for market - making bond ETFs, the premium - discount rate arbitrage strategy and the premium - discount rate & opening - price adjustment strategy have insignificant thickening effects, but the premium - discount rate & interest - rate timing strategy significantly thickens the risk - return ratio; for science and technology innovation bond ETFs, the first - batch science and technology innovation bond ETFs have obvious thickening effects in various arbitrage strategies, and most science and technology innovation bond ETFs have good thickening effects under the interest - rate timing strategy. Credit - bond ETFs with a larger discount may have better potential performance - thickening effects in arbitrage strategies. [117][121] 4.2 Daily - frequency premium - discount rate arbitrage rotation model for different credit - bond ETFs of the same index - A daily - frequency premium - discount rate arbitrage rotation model for different credit - bond ETFs of the same index is constructed, aiming to buy the "cheapest" credit - bond ETF of the same index to obtain potentially greater returns. There are "absolute" (the largest discount) and "relative" (the lowest quantile) schemes. [131] - The back - testing results show that for Shanghai market - making credit - bond ETFs and Shenzhen market - making credit - bond ETFs, various arbitrage strategies have poor performance - thickening effects, possibly due to high trading costs caused by frequent position changes; for Shanghai AAA science and technology innovation bond ETFs, various rotation arbitrage strategies based on the absolute low of the premium - discount rate have obvious performance - thickening effects; for China Securities AAA science and technology innovation bond ETFs, the rotation arbitrage strategy based on the absolute low of the premium - discount rate performs well, and the performance thickening after adding interest - rate timing is obvious. The Shanghai AAA science and technology innovation bond may be a better choice for cross - ETF rotation arbitrage of the same index. Adding interest - rate timing can improve the arbitrage effect, indicating that interest - rate timing may be more important than choosing the index and ETF. Attention should also be paid to the potential restriction of liquidity on the strategy capacity. [140][173]