Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - Last week, the credit bond market adjusted significantly, with the ChinaBond New Composite Index falling 0.22% for the week. Short - term and medium - to - long - term pure bond funds declined by 0.04% and 0.12% respectively. The CSI AAA Sci - tech Innovation Bond Index and the SSE Benchmark Market - making Corporate Bond Index dropped 0.30% and 0.34% respectively [8]. 3. Summary by Related Catalogs 3.1 Funds Flow - As of September 26, 2025, bond - type ETFs had a net inflow of 117.5 billion yuan in the past week. Interest - rate, credit, and convertible - bond ETFs had net outflows of 1.444 billion yuan, net inflows of 119.269 billion yuan, and net outflows of 325 million yuan respectively. Among credit - type ETFs, short - term financing, corporate bonds, and urban investment bonds had net outflows of 574 million yuan, 22 million yuan, and 70 million yuan respectively. Market - making credit - bond ETFs had a net outflow of 1.425 billion yuan, while sci - tech innovation bonds had a net inflow of 121.36 billion yuan. - As of September 26, 2025, the cumulative net inflows of interest - rate, credit, and convertible - bond ETFs for the year were 62.338 billion yuan, 420.901 billion yuan, and 26.697 billion yuan respectively, totaling 509.936 billion yuan [4]. 3.2 Net Value Performance - Throughout the week, the net values of interest - rate and credit - bond ETF products adjusted to varying degrees. The 30 - year Treasury Bond ETF performed weakly, falling 0.50% for the week as of September 26, 2025. Among other products, the benchmark Treasury Bond ETF and the Policy - Financial Bond ETF declined by about 0.2%. The Treasury - Policy Financial Bond ETF, the 0 - 4 Local Government Bond ETF, and the Short - term Financing ETF performed well. The Convertible Bond ETF and the SSE Convertible Bond ETF rose 0.88% and 0.89% respectively last week [5]. 3.3 Performance of Credit - Bond ETFs and Sci - tech Innovation Bond ETFs - As of September 26, 2025, the median unit net values of credit - bond ETFs and sci - tech innovation bond ETFs were 1.0047 and 0.9931 respectively, falling 0.28% and 0.29% for the week. Among credit - bond ETFs, the SSE Corporate Bond ETF and the Credit - Bond ETF Fund both declined 0.34%, performing weakly, while the Credit - Bond ETF Tianhong and the Credit - Bond ETF Dacheng performed better. Among sci - tech innovation bond ETFs, the Sci - tech Innovation Bond ETF Southern fell 0.32%, and the Sci - tech Innovation Bond ETF E Fund and the Sci - tech Innovation Bond ETF Invesco performed relatively well. - As of September 26, 2025, the median discount rate of credit - bond ETFs was 41BP, and that of sci - tech innovation bond ETFs was 9BP [6]. 3.4 Credit - Type ETF Duration Tracking - As of September 26, 2025, the holding durations of the Short - term Financing ETF, the Corporate Bond ETF, and the Urban Investment Bond ETF were 0.31 years, 2.06 years, and 2.22 years respectively. Among market - making credit - bond ETFs, the median holding durations of products tracking the Shanghai Market - making Corporate Bond and Shenzhen Market - making Corporate Bond were 4.15 years and 2.99 years respectively. Among sci - tech innovation bond ETFs, the median holding durations of products tracking the AAA Sci - tech Innovation Bond, the Shanghai AAA Sci - tech Innovation Bond, and the Shenzhen AAA Sci - tech Innovation Bond were 3.26 years, 3.53 years, and 2.97 years respectively [9].

Group 1 - The company bond ETF (511030.SH) experienced a decline of 0.04% on September 24, 2025 [1] - The net outflow of main funds (transactions over 1 million yuan) reached 1.084 billion yuan, ranking among the top three in the entire market [1] - The latest trading volume of the fund was 17.5224 million units, with the latest transaction amount falling below 1.9 billion yuan [1] Group 2 - The proportion of net outflow of main funds in the transaction amount reached 58.38% on the same day [1]

Group 1 - The second batch of Sci-Tech Innovation Bond ETFs will be listed on September 24, with 14 public funds participating in the issuance, following the first batch launched on July 17 [1] - The total issuance scale of the second batch of 14 Sci-Tech Innovation Bond ETFs reaches 40.786 billion yuan, with 13 of them exceeding 2.9 billion yuan each [1] - The total scale of Sci-Tech Innovation Bond ETFs has surpassed 170 billion yuan, while the overall scale of bond ETFs has exceeded 600 billion yuan for the first time [1] Group 2 - The largest bond ETFs include Convertible Bond ETF at 59.218 billion yuan, Short-term Bond ETF at 58.516 billion yuan, and Policy Financial Bond ETF at 45.615 billion yuan [3] - Other notable bond ETFs include 30-Year Treasury Bond ETF at 30.895 billion yuan and City Investment Bond ETF at 24.767 billion yuan [3] - The newly launched Sci-Tech Innovation Bond ETFs are expected to enhance the liquidity and market presence of bond ETFs [8] Group 3 - According to Guotai Junan Securities, the ticket interest strategy will dominate from 2025 onwards, with Sci-Tech Innovation Bond ETFs showing resilience during market adjustments [7] - The performance of actively managed pure bond funds indicates that short-term bonds outperform medium to long-term bonds, and credit bonds are favored over interest rate bonds [7] - The liquidity of bond ETFs is expected to improve as the current market environment gradually stabilizes [7] Group 4 - The new sales fee regulations by the China Securities Regulatory Commission are anticipated to create greater development opportunities for bond ETFs [8] - The proposed changes in redemption fees may lead to a shift in institutional investment from interest rate bond funds to bond ETFs, enhancing their attractiveness [8]

Core Viewpoint - The company bond ETF (511030) is influenced by macroeconomic policies, interest rate changes, and credit risks in the bond market [1] Group 1: Market and Economic Indicators - The U.S. Treasury auctioned a four-month Treasury bill with a winning yield of 3.815% and a bid-to-cover ratio of 3.06 [2] - The Bank of Canada lowered its benchmark overnight rate by 25 basis points to 2.5% due to economic weakness and reduced inflation risks, with no forward guidance provided [2] - The Federal Reserve also cut rates by 25 basis points, bringing the federal funds rate target range to 4.00%-4.25%, amid rising inflation and employment risks [2][3] Group 2: ETF Performance Metrics - As of September 17, 2025, the company bond ETF (511030) increased by 0.03%, marking three consecutive days of gains, with a latest price of 106.15 yuan [3] - The ETF's scale reached 22.851 billion yuan, with recent inflows and outflows remaining balanced, totaling 97.7382 million yuan over the last ten trading days [4] - The ETF has achieved a net value increase of 13.47% over the past five years, with a maximum monthly return of 1.22% since inception [4] Group 3: Risk and Return Analysis - The maximum drawdown for the ETF in the last six months was 0.19%, with a relative benchmark drawdown of 0.08% [5] - The ETF's management fee is 0.15%, and the custody fee is 0.05% [6] Group 4: Tracking Accuracy - The ETF's tracking error over the past month was 0.012%, closely following the China Bond - Medium to High Grade Corporate Bond Spread Factor Index [7]

Group 1 - The company bond ETF (511030) recorded a financing buy of 403,100 yuan and a financing repayment of 275,800 yuan on September 10, resulting in a net financing buy of 127,300 yuan and a financing balance of 7,880,400 yuan. Over the past three trading days, the cumulative net buy has reached 5,110,800 yuan [1] - The financing balance increased by 1.64% compared to the previous day, reaching 7,880,400 yuan on September 10 [2][3] - The net financing buy on September 9 was significantly higher at 4,415,200 yuan, indicating a strong interest in the bond ETF [2][3] Group 2 - The total margin trading balance on September 10 was 7,880,400 yuan, reflecting a change of 127,300 yuan, which is a 1.64% increase [3] - The margin trading balance showed a notable increase of 132.28% on September 9 compared to the previous day, highlighting volatility in trading activity [3] - The financing activity indicates that investors are generally optimistic about the bond ETF, as evidenced by the net buying trend over the last few days [1][2]

Core Viewpoint - The China Securities Regulatory Commission (CSRC) has released a draft regulation on the management of sales fees for publicly raised securities investment funds, which includes new rules for redemption fees on bond funds, exempting ETFs and index funds, thus benefiting bond ETFs significantly [1] Group 1: Company Bond ETF Performance - The company bond ETF (511030) has a static yield of 1.91% and a stable net value with minimal market discount, maintaining a unique positioning amidst increasing competition in the bond ETF market [1] - As of September 5, 2025, the company bond ETF has seen a cumulative increase of 1.18% over the past six months [1] - The latest price for the company bond ETF is 106.21 yuan, with a trading volume of 24.98 billion yuan and a turnover rate of 10.93% [1] Group 2: Fund Flow and Liquidity - The company bond ETF has a current scale of 22.861 billion yuan, with recent fund inflows and outflows remaining balanced [1] - Over the past five trading days, there have been net inflows on four days, totaling 444 million yuan, with an average daily net inflow of 8.877 million yuan [1] Group 3: Historical Performance Metrics - Over the past five years, the net value of the company bond ETF has increased by 13.69% [2] - The highest monthly return since inception was 1.22%, with the longest consecutive monthly gains being nine months and a maximum increase of 3.80% [2] - The annual profit percentage stands at 83.33%, with a monthly profit probability of 79.48% and a 100% probability of profit over a three-year holding period [2] Group 4: Risk and Fee Structure - The maximum drawdown for the company bond ETF over the past six months is 0.19%, with a relative benchmark drawdown of 0.08% [3] - The management fee for the company bond ETF is 0.15%, and the custody fee is 0.05% [4] - The tracking error for the company bond ETF year-to-date is 0.013% [4]

Group 1 - The macro timing strategy has an annualized return of 7.08% and a Sharpe ratio of 1.34 as of August 29, 2025, with the latest portfolio including various ETFs such as the CSI 500 ETF (8.35%) and government bond ETFs (38.21%) [2][4][8] - The momentum strategy has an annualized return of 20.22% since 2020, with a recent portfolio allocation including the CSI Digital Economy Theme ETF (19.51%) and the Shanghai Stock Exchange Sci-Tech Innovation Board Chip ETF (20.37%) [10][14] - The industry rotation strategy has achieved an annualized return of 9.34% since 2020, with the latest holdings including non-ferrous metals ETFs and green power ETFs [19][16] Group 2 - The Copula-based second-order stochastic dominance strategy has an annualized return of 15.52% since 2020, with the latest portfolio including the Huaxia CSI Agricultural Theme ETF (6.71%) and the Guangfa CSI Major Consumption ETF (69.79%) [21][24] - The technology ETF allocation strategy based on quantile random forests has an annualized return of 12.33% since 2020, with a significant portion allocated to the Guangfa CSI All-Index Information Technology ETF (4.78%) and the Huatai-PineBridge CSI Photovoltaic Industry ETF (76.51%) [27][31]

Group 1 - The overall revenue and profit growth of state-owned banks improved in 1H25, mainly driven by a significant increase in other non-interest income and cost release. Additionally, market interest rates and deposit rates declined, stabilizing the interest margin, leading to a marginal increase in net interest income growth [2][3]. - The asset quality of state-owned banks is relatively strong, with non-performing loan (NPL) ratios and attention rates remaining low and either stable or decreasing. The provision coverage ratio increased, enhancing the safety margin, and the capital adequacy ratio also improved, strengthening the risk resistance capability of these banks [2][4]. - Investment recommendations suggest a shift in the operating model and investment logic of bank stocks from "pro-cyclical" to "weak cycle." During periods of economic stagnation, high dividend yields from bank stocks will remain attractive, and the report continues to favor the stability and sustainability of bank stocks [2][5]. Group 2 - In terms of revenue, the year-on-year growth for 1H25 was +1.5%, with a turnaround from negative to positive growth compared to 1Q25. The net profit saw a slight decline of -0.1% year-on-year, but the decline narrowed compared to the previous quarter. The increase in revenue was largely attributed to the growth in non-interest income, particularly from the stock market [3][7]. - The asset quality analysis indicates that the overall NPL ratio remained stable at 1.27% in 1H25, with a slight decrease in the attention loan ratio. The overdue loan ratio increased slightly but remains low, and the provision coverage ratio rose to 237.50%, further enhancing the safety margin [4][9]. - The report highlights that the cost-to-income ratio for 1H25 was 29.3%, showing a year-on-year decrease, while the core Tier 1 capital adequacy ratio improved to 12.67%, maintaining a high level of capital strength [4][10].

Report Summary - The report analyzes the investment opportunities of credit bond ETFs under market adjustments and the upcoming expansion of science and technology innovation bond ETFs, suggesting three aspects to focus on for ETF allocation [4][33]. Group 1: Market Performance and Fund Flows - Affected by the strong performance of the equity market, the benchmark - market - making credit bond ETFs and science and technology innovation bond ETFs experienced significant pull - backs since mid - July, with a median maximum pull - back of about 0.5% [4][7]. - As of August 29, the median of the reinstated unit net value of credit bond ETFs and science and technology innovation bond ETFs was 1.0088 and 0.9969 respectively [7]. - Since late July, credit bond ETFs have seen significant outflows. As of the end of August, the latest total scale was 126.2 billion yuan, a decrease of 9.1 billion yuan from the peak of 135.3 billion yuan on July 18, while the scale of science and technology innovation bond ETFs remained relatively stable. As of the end of August, the total scale of credit bond - related ETFs was 350.1 billion yuan, an increase of 295.9 billion yuan from the beginning of the year [4][10]. Group 2: Discount Situation of Credit Bond - Related ETFs - Due to market adjustments and the diversion of science and technology innovation bond ETFs, the scale of credit bond ETFs declined, and there were obvious discounts in the secondary market. On August 18, the discount rate reached the range of - 0.3% to - 0.6%, with a median of - 54BP. The overall scale of science and technology innovation bond ETFs was stable, but there were also obvious discounts, with a median discount rate of about - 31BP on August 18. Among other varieties, short - term financing ETFs and corporate bond ETFs performed well, while urban investment bond ETFs also had obvious discounts [4][15]. - Historically, the duration of short - term financing ETFs is around 0.3 years, and the premium and discount rate is relatively stable. During the wealth management redemption wave at the end of 2022, the maximum discount rate of corporate bond ETFs and urban investment bond ETFs reached over - 3%. In September 2024 and March 2025, the maximum discount rates were about - 0.7% and - 0.4% respectively. Currently, the discount rates of credit bond ETFs and science and technology innovation bond ETFs are relatively high, and there is some right - side trading space after the market stabilizes [4][17]. Group 3: Comparison of Component Bonds and Non - Component Bonds - Regarding credit bond ETFs, taking the yields of 4Y - AAA ChinaBond medium - short - term notes/Shanghai - listed benchmark - market - making corporate bonds as a benchmark, from July 18 to the end of August, they increased by 16BP and 16.7BP respectively. The maximum spread since June this year was 3.6BP, the median was - 0.5BP, and the current latest spread is 1.5BP, indicating that component bonds have certain cost - effectiveness [4][22]. - For science and technology innovation bonds, taking inter - bank science and technology innovation bonds/exchange - traded science and technology innovation bonds as a benchmark, from July 18 to the end of August, they increased by 16.7BP and 13.7BP respectively. The maximum spread since June this year was 11BP, the median was 8BP, and the current latest spread is 8BP. With the upcoming concentrated listing of science and technology innovation bond ETFs, there is some space for long - position in component bonds [4][24]. Group 4: Comparison of Different ETF Products - Among credit bond ETFs, for the 4 products tracking the Shanghai - listed market - making corporate bond index, the excess returns compared to the benchmark since their listing this year range from - 20BP to - 60BP. The products tracking the Shenzhen - listed market - making credit bonds have a lower duration and relatively better overall performance, with excess returns in the range of - 10BP to - 40BP [4][26]. - Among science and technology innovation bond ETFs, the products tracking the AAA science and technology innovation bond index have excess returns in the range of - 5BP to - 30BP, with durations ranging from 3 to 4.5 years. The products tracking the Shanghai AAA and Shenzhen AAA science and technology innovation bonds have excess returns of about - 20BP [4][29]. - In terms of product strategies, some products have a relatively high proportion of credit bonds with a term of 7 years and above. Recently, the credit bond yield curve has steeply increased, and long - duration bonds have performed relatively weakly [4][29]. Group 5: Investment Opportunities - From the perspective of ETFs themselves, the current high discount rate provides right - side trading opportunities after the market stabilizes to gain the discount rate repair space [4][33]. - From the perspective of component bonds, the recent relatively large adjustment of science and technology innovation bond component bonds may bring opportunities with the upcoming expansion of science and technology innovation bond products [4][33]. - Comparing specific product strategies, products with a relatively high proportion of medium - and short - term allocations have performed better recently [4][33].

Core Viewpoint - The bond market shows signs of improvement, but concerns remain regarding potential inflation driven by rising commodity prices and PPI increases [1] Bond Market Analysis - Long-term forecast for 10-year government bond yields is expected to fluctuate between 1.65% and 1.85% [1] - Short-term positive factors are apparent, while negative factors are largely uncertain, leading to increased concerns in the bond market [1] ETF Performance - The Ping An Company Bond ETF (511030) has the best performance in terms of controlling drawdown during the recent bond market adjustment, with minimal trading discount and stable net value [1] - The table provided shows various ETFs, their scale, recent trading discounts, and performance metrics, indicating the relative stability of the Ping An ETF compared to others [1]