Recently, small and medium enterprises' private bonds are rumored to have its first default of interest. ANBOUND think tank scholars highlighted that it reflects the difficulty of private bond development amongst the small and medium enterprises. The construction of market rules for small and medium enterprises’ private bonds should be improved from the perspective of promoting the development of Chinese high-yield bonds market. It is the possible way for private bonds to play a role in multi-level capital market such as mergers and acquisitions.