信用型 ETF 资金流出，久期下降 ——债券 ETF 跟踪 证券研究报告/固收事件点评报告 2026 年 01 月 12 日 分析师：吕品 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 资金流向 相关报告 截至 2026 年 1 月 9 日，债券型 ETF 近一周合计净流出 643.52 亿元，利率型、信用 型、可转债型 ETF 分别净流出 104.54 亿元、净流出 592.24 亿元、净流入 53.25 亿 元。具体拆分来看，信用型 ETF 中，短融、公司债、城投债分别净流出 83.94 亿元、 净流入 2.42 亿元、净流出 0.06 亿元，做市信用债净流出 70.71 亿元，科创债净流出 439.95 亿元。截至 2026 年 1 月 9 日，利率型、信用型、可转债 ETF 自 2025 年以来 累计净流入分别为 659.23 亿元、5010.41 亿元、231.51 亿元，合计达 5901.15 亿元。 净值表现 全周来看，各类型债券 ETF 产品净值走 ...

固 定 收 益 研 | | | 固定收益专题报告 债券 ETF 如何影响成分券的"量价" ――固定收益专题报告 | | 分析师： 王哲语 | | SAC NO： S1150524070001 2025 年 12 月 30 日 | | --- | --- | --- | --- | | 研 | [Table_Author] | 债券 | ETF 的升水/贴水用于衡量 ETF 价格高于/低于净值的状态，也就是债券 ETF | | | 证券分析师 | | 的价格和底层成分券的价格的偏离。本文聚焦债券 ETF 升贴水的主要特征及其对 | | 究 | [Table_IndInvest] 王哲语 | | 成分券的影响。 | | | 022-23839051 | | | | | wangzheyu@bhzq.com |  | 债券 ETF 升贴水对成分券的影响机制 | | | | | 以贴水为例，在债市调整阶段，债券 ETF 净值下跌，投资者信心不足，一方 | | | 周喜 | | 面，投资者在一级市场赎回份额，如果是实物申赎模式，投资者可能还需要将 | | | | | 赎回得到的债券变现；如果是现金申赎模式，基金管理人 ...

与此同时，该基金最新成交量为5246.13万份，最新成交额跌破5.40亿元，当日主力资金净流出成交额占 比达23.36%。 2025年12月29日，城投债ETF（511220.SH）收跌0.11%，主力资金（单笔成交额100万元以上）净流出 1.25亿元，居全市场第一梯队。（数据来源：Wind） 拉长时间看，该基金近4天主力资金加速流出，合计流出3.13亿元，居全市场第一梯队。（数据来源： Wind） ...

拉长时间看，该基金近3天主力资金加速流出，合计流出1.88亿元，居全市场第一梯队。（数据来源： Wind） 2025年12月26日，城投债ETF（511220.SH）收跌0.01%，主力资金（单笔成交额100万元以上）净流出 6863.46万元，居全市场第一梯队。（数据来源：Wind） 与此同时，该基金最新成交量为5906.63万份，最新成交额达6.02亿元，当日主力资金净流出成交额占比 达11.39%。 ...

Report Summary 1. Report Industry Investment Rating The provided content does not mention the report industry investment rating. 2. Core Viewpoints - Since October, the net value of credit bond ETFs has significantly recovered compared to the end of September, with interest rates showing a downward trend. The net value of different types of credit bond ETFs, including science - innovation bond ETFs, benchmark - market - making credit bond ETFs, and others, has increased to varying degrees [2]. - There is a structural divergence in the trends of the circulating shares and market values of credit bond ETFs. Science - innovation bond ETFs have contributed the main scale increment, while the shares and market values of benchmark - market - making credit bond ETFs have been gradually declining since early September [2]. - The market has fully priced the underlying bonds of the second batch of science - innovation bond ETFs in advance. The yield decline of the underlying bonds of the CSI AAA Science - Innovation Bond Index may be similar to that of general credit bonds, and the subsequent market trends of credit bond ETFs' underlying bonds may be in line with general credit bonds [2]. - The discount of credit bond ETFs has significantly narrowed compared to the first half of October, and there may still be room for further recovery in the future, mainly due to factors such as the potential demand from amortized fixed - open bond funds, the impact of the new regulations on public fund redemption fees, the support from fixed - income wealth management products, and the expected decline in interest rates [2][3][4]. 3. Summary by Related Catalogs Net Value Performance - As of November 21, the average unit net value of science - innovation bond ETFs has increased by 0.63% compared to the end of September, and most of them have recovered above 100 yuan. The average unit net value of benchmark - market - making credit bond ETFs has increased by 0.67% and is above 100 yuan. The net values of the three credit bond ETFs listed before the beginning of 2025 have also recovered to different degrees [2]. Share and Market Value Trends - As of November 21, the total market value of benchmark - market - making credit bond ETFs is 119.7 billion yuan, with 1.187 billion circulating shares; the total market value of science - innovation bond ETFs is 253.6 billion yuan, with 2.534 billion circulating shares; the total market value of corporate bond spread factor ETFs, urban investment bond ETFs, and short - term financing ETFs is 126.4 billion yuan, an increase of 15.6 billion yuan compared to the end of September [2]. - The shares and market values of benchmark - market - making credit bond ETFs have been gradually declining since early September, while the total market value of science - innovation bond ETFs has rapidly climbed to over 250 billion yuan as of November 21, an increase of 125.1 billion yuan compared to September 23 [2]. Pricing of Underlying Bonds - Since the listing of the second batch of 14 science - innovation bond ETFs in late September, the yields of the underlying bonds of the CSI AAA Science - Innovation Bond Index have declined significantly. The decline in the yields of underlying bonds with different remaining maturities is in the range of 10 - 19BP, and the decline is not significantly different from that of general credit bonds [2]. Discount and Recovery Potential - As of November 21, the discount rate of benchmark - market - making credit bond ETFs is 0.25%, and that of science - innovation bond ETFs is only 0.03%, significantly narrowing compared to the first half of October. The discounts of corporate bond spread factor ETFs and urban investment bond ETFs have also returned to near zero [2][3]. - There are four main reasons for the potential further recovery of credit bond ETF discounts: the potential demand from amortized fixed - open bond funds, the impact of the new regulations on public fund redemption fees, the support from fixed - income wealth management products, and the expected decline in interest rates [3][4].

Group 1 - The 城投债ETF (511220.SH) closed flat on November 21, 2025, with a net outflow of 126 million yuan from major funds (transactions over 1 million yuan), ranking first in the market [1] - The latest trading volume of the fund reached 13.3 million units, with a total transaction value of 1.359 billion yuan, indicating that the net outflow of major funds accounted for 9.29% of the total transaction value on that day [1]

Core Insights - The bond ETF market has reached a new high with a total scale exceeding 700 billion yuan, marking significant growth in 2023 [1] - There has been a net inflow of over 427 billion yuan into bond ETFs this year, with 20 ETFs attracting more than 10 billion yuan each [1] - Institutional investors dominate the bond ETF market, accounting for 92% of the total investors [1] Group 1: Market Overview - As of November 14, 2023, the total scale of bond ETFs is 706.29 billion yuan, a record high [1] - The bond ETF market has seen a notable expansion this year, with 53 bond ETFs contributing to the total scale [1] - The short-term bond ETF has attracted nearly 40 billion yuan, while the 30-year government bond ETF has seen over 29 billion yuan in net inflows [1] Group 2: Types of Bond ETFs - The main categories of bond ETFs include interest rate bond ETFs, credit bond ETFs, and convertible bond ETFs, each with distinct risk-return characteristics [2][3][4] - Interest rate bond ETFs are based on government bonds and policy financial bonds, while credit bond ETFs focus on corporate bonds [2][3] - Convertible bond ETFs serve as a hybrid between bonds and stocks, providing unique investment opportunities [4] Group 3: Factors Driving Growth - The growth of bond ETFs is driven by increased demand from investors in a low-interest environment, leading to heightened sensitivity to fund fees [5] - Regulatory support and product innovation have contributed to the introduction of 32 new bond ETFs this year [6] - Enhanced liquidity from market makers and broker-dealers has significantly improved the trading environment for bond ETFs, creating a positive feedback loop [6] Group 4: Future Outlook - The bond ETF market is expected to face challenges in 2025, with diminishing correlations between long-term bonds and both fundamental and liquidity factors [6] - Institutional behavior is increasingly influencing the bond market, with a shift towards equity-bond rebalancing due to declining risk-return ratios [6] - The asset management sector is anticipated to focus on multi-asset and multi-strategy developments in response to changing market conditions [6]

Group 1 - The 城投债ETF (511220.SH) experienced a slight increase of 0.08% on November 5, 2025 [1] - The fund saw a net outflow of main funds (transactions over 1 million yuan) amounting to 46.73 million yuan, ranking first in the market [1] - The latest trading volume for the fund was 41.52 million units, with a total transaction value of 424 million yuan, where the net outflow accounted for 11.03% of the total transaction value [1]

1. Report Industry Investment Rating No information provided in the given text. 2. Core View of the Report The bond ETF market is experiencing a recovery, with both trading volume and prices rising. The net inflow of funds into bond - type ETFs has accelerated, and the capital situation of local bond ETFs has significantly improved. The share inflows of interest - rate bond and credit - bond ETFs have marginally improved, while the share of local bond ETFs has shown a steep increase. The net values of major representative bond ETFs have continued to grow [2]. 3. Summary According to the Directory 3.1 1.1 各类债券 ETF 资金净流入情况 - The net inflow of funds into bond - type ETFs has accelerated. Last week, the net inflows of interest - rate bond ETFs, credit - bond ETFs, and convertible - bond ETFs were 4.489 billion yuan, 9.919 billion yuan, and - 1.692 billion yuan respectively, with a total net inflow of 12.717 billion yuan in the bond ETF market. The capital situation of local bond ETFs has significantly improved, with the net inflow scale increasing substantially last week. Specifically, the top three in terms of net inflow amount were Science and Technology Innovation Bond ETF (+6.323 billion yuan), local bond - type ETFs (+3.087 billion yuan), and Short - term Financing Bond ETF (+2.003 billion yuan), and only the convertible - bond ETF had a negative net inflow of funds [2][5]. 3.2 1.2 各类债券 ETF 份额走势 - The share inflows of interest - rate bond and credit - bond ETFs have marginally improved, and the share of local bond ETFs has shown a steep increase. As of the close on October 31, 2025, the shares of treasury - bond, policy - financial - bond, local - bond, credit - bond, and convertible - bond ETFs changed by 8.38 million shares, 3.31 million shares, 26.99 million shares, 207.60 million shares, and - 124.20 million shares respectively compared to the previous week's close, with a total change of 122.08 million shares in bond - type ETFs [2][16]. 3.3 1.3 主要债券 ETF 份额及净值走势 - The share inflow of the Urban Investment Bond ETF has increased significantly. As of the close on October 31, 2025, the shares of the 30 - year Treasury Bond ETF, Policy Financial Bond ETF, 5 - year Local Bond ETF, Urban Investment Bond ETF, and Convertible Bond ETF changed by 6.24 million shares, 1.49 million shares, no change, 123.50 million shares, and - 146.80 million shares respectively compared to the previous week's close. - The net values of all representative targets have continued to grow. As of the close on October 31, 2025, the net values of the 30 - year Treasury Bond ETF, Policy Financial Bond ETF, 5 - year Local Bond ETF, Urban Investment Bond ETF, and Convertible Bond ETF changed by 1.21%, 0.46%, 0.22%, 0.19%, and 0.74% respectively compared to the previous week's close [2][21][24]. 3.4 1.4 基准做市信用债 ETF 份额及净值走势 - There was no significant change in the share, with only a small inflow. As of the close on October 31, 2025, the shares of the existing 8 credit - bond ETFs changed by no change, no change, 0.20 million shares, no change, no change, 0.20 million shares, 0.25 million shares, and 0.20 million shares respectively compared to the close on October 24, 2025. - The net values continued the upward trend. As of the close on October 31, 2025, the net values of the 8 credit - bond ETFs changed by 0.26%, 0.27%, 0.28%, 0.24%, 0.33%, 0.34%, 0.35%, and 0.34% respectively compared to the close on October 24, 2025 [2][28]. 3.5 1.5 科创债 ETF 份额及净值走势 - The shares of Science and Technology Innovation Bond ETF Tianhong and Science and Technology Innovation Bond ETF Taikang led the increase significantly. Among the existing 24 Science and Technology Innovation Bond ETFs, the top three products in terms of net share inflow last week were Science and Technology Innovation Bond ETF Tianhong, Science and Technology Innovation Bond ETF Taikang, and Science and Technology Innovation Bond ETF Invesco, with changes of 43.62 million shares, 22.14 million shares, and 1.70 million shares respectively compared to the close on October 24, 2025. - The net values have increased for multiple consecutive weeks. The top three Science and Technology Innovation Bond ETFs in terms of net - value increase last week were Science and Technology Innovation Bond ETF Tianhong, Science and Technology Innovation Bond ETF Boshi, and Science and Technology Innovation Bond ETF Fuguo, with increases of 0.33%, 0.32%, and 0.32% respectively [2][32][35]. 3.6 1.6 单只债券 ETF 市场表现情况 - The net - value increase of ultra - long - term Treasury Bond ETF led again, and the scales of 0 - 4 Local Bond ETF and Science and Technology Innovation Bond ETF Tianhong led the growth significantly. Last week, the net - value increases of 30 - year Treasury Bond ETF Boshi and 30 - year Treasury Bond ETF continued to lead, at 1.38% and 1.27% respectively. - In terms of premium/discount rates, 30 - year Treasury Bond ETF, 30 - year Treasury Bond ETF Boshi, and Urban Investment Bond ETF led in terms of premium rates. In terms of scale change, the top three in terms of net inflow amount were Science and Technology Innovation Bond ETF Tianhong (+4.463 billion yuan), 0 - 4 Local Bond ETF (+3.029 billion yuan), and Science and Technology Innovation Bond ETF Taikang (+2.199 billion yuan). The convertible - bond ETF had a significantly higher net outflow amount than other products last week, at - 1.979 billion yuan, indicating that funds were still withdrawing [2][37].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The report focuses on the product design, operation mechanism, and investment logic of credit bond ETFs. Credit bond ETFs achieve tracking through sampling replication of indexes, with diversified annualized returns and durations, catering to various investment needs. The PCF list, market - maker system, and repurchase system enhance the transparency and tradability of the products. Credit bond ETFs have advantages in risk diversification and liquidity, and offer arbitrage opportunities through price differences between the primary and secondary markets, but costs need careful evaluation [4]. - Credit bond ETFs are becoming increasingly important in asset allocation and liquidity management, with their institutional design and trading mechanisms continuously improving, gradually evolving from emerging products to widely - recognized investment tools [17]. 3. Summary by Related Catalogs 3.1 Credit Bond ETF Product Design and Index Tracking - Credit bond ETFs are passive index funds that mainly track credit bond series indexes compiled by China Securities Index and China National Securities Index. They generally use sampling replication instead of full replication due to the large number of individual bonds and significant liquidity differences in the credit bond market. Sampling replication can control tracking errors, reduce transaction costs, and potentially achieve excess returns through active management [19]. - Different indexes have different selection criteria for component bonds, covering aspects such as issuance scale, credit rating, and remaining maturity. The annualized returns of the indexes tracked by credit bond ETFs have been positive in the past three years, showing a trend of decline, rise, and then decline since 2022. There are significant differences in duration characteristics among indexes, with some suitable for long - term and others for short - term investment [25][29]. 3.2 Transparency and Efficiency: PCF List and Market - Making Mechanism - The PCF list is the core tool in the subscription and redemption process, providing information on a basket of bonds and cash substitution arrangements. It includes information from T - 1 days (minimum subscription/redemption unit net value, cash difference, and fund share net value) and T days (estimated cash part, cash substitution ratio limit, etc.), helping investors understand the value and capital requirements of ETFs [36][37]. - The market - maker system consists of primary market - makers and general market - makers (or primary liquidity providers and general liquidity providers in the Shenzhen Stock Exchange). Market - makers have obligations to quote prices, and exchanges evaluate and incentivize them based on service quality. This system enhances the liquidity of credit bond ETFs in the secondary market [69]. - Credit bond ETFs are gradually included in the general collateralized repurchase system, which improves the efficiency of capital use. There are three types of repurchase methods in the bond market, each with different characteristics in terms of standardization, flexibility, and risk [73]. 3.3 Investment Logic: Allocation Value and Arbitrage Space - As a bottom - position allocation tool, credit bond ETFs are characterized by stability and efficiency. They can diversify credit risks, provide stable coupon income, and have strong liquidity, suitable for long - term holding. They can also be used for leverage financing to increase returns, and are an important part of diversified asset allocation [81][82]. - Credit bond ETFs can achieve arbitrage through primary and secondary market trading, including premium arbitrage and discount arbitrage. However, due to the lack of IOPV disclosure in credit bond ETFs, alternative methods are needed for estimation. Additionally, the uncertainty of coupon - replacement costs and the liquidity of component bonds need to be considered during the arbitrage process [91][94].