信用半月谈第一期：从产品机制和机构行为看信用债ETF扩容的影响

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - Credit - bond ETFs may become important asset allocation and liquidity management tools for institutional investors due to their low fees, controllable credit risks, good liquidity (T + 0), and leverage benefits, but they may have a certain "crowding - out" effect on existing bond investments [5]. - Under the expansion of credit - bond ETFs, seizing constituent bonds has become an important strategy for investors. Recently, affected by the expansion, the market has seen a continuous trend of seizing constituent bonds, with these bonds performing well, having significantly higher liquidity, and lower yields and credit spreads compared to non - constituent bonds [5]. - In a low - interest - rate environment and with the expansion of credit - bond ETFs, potential risks under changes in institutional behavior should be noted. In the face of significant market shocks, credit - bond ETFs may face significant discounts and redemption pressures [5]. 3. Summary by Relevant Catalogs 3.1 Credit - bond ETF Mechanism Analysis 3.1.1 What is a Credit - bond ETF? - A credit - bond ETF is an open - ended index fund that is listed and traded on a stock exchange and invests in a portfolio of bonds listed on the stock exchange corresponding to a specific credit - bond index. Its investment goal is to minimize the tracking deviation and tracking error from the index, with requirements for controlling the absolute value of the daily average tracking deviation and the annualized tracking error. It has advantages such as low fees, controllable credit risks, good liquidity (T + 0), and leverage benefits (pledgeable for repurchase). It mainly invests in the constituent bonds and alternative bonds of the target index (≥ 80%/90% of the fund's net value), and its investment strategies include sampling replication and substitution strategies [2][9]. 3.1.2 How to Subscribe and Redeem Credit - bond ETFs? - The fund manager publishes the subscription and redemption list (PCF) before the market opens every day. The subscription and redemption of credit - bond ETFs follow a T + 0 confirmation and T + 2 fund settlement mechanism. On T day, investors can submit subscription or redemption applications during trading hours, and the shares or physical bonds are immediately available after the delivery of the consideration (portfolio bonds/cash). On T + 1 day, the settlement of cash substitution and the clearing of cash differences are carried out. Within T + 2 days, the settlement of cash differences is completed (the manager buys bonds on behalf of investors, with excess refunded and shortage supplemented). Except for short - term financing ETFs and some science - innovation bond ETFs (such as those of Fullgoal and Southern) which require full - cash substitution for subscription and redemption, others allow cash substitution for subscription but mostly do not allow it for redemption [2][32]. 3.1.3 Deconstruction of Credit - bond ETF Liquidity - T + 0 trading: Successfully subscribed shares can be used immediately, and can be sold, redeemed, or pledged on the same day. Bonds obtained from redemption can be sold, pledged, or used to subscribe for other ETFs on the same day. - Pledge repurchase: Currently, 9 credit - bond ETFs are included in the general pledge library, with a pledge rate mostly around 60% (determined by China Securities Depository and Clearing Corporation Limited based on the principle of prudence and updated daily). Science - innovation bond ETFs may also be included in the future. - Market - maker system: Market - makers provide liquidity services such as two - sided quotes, and market - making assessment indicators include hard requirements such as quote time coverage, maximum spread limit, and minimum quote volume [2][40]. 3.2 Main Investors in Credit - bond ETFs - Credit - bond ETF investors are mainly institutional investors, accounting for nearly 90%. Among the top ten investors, securities firms' proprietary trading accounts for the highest proportion (about 48%), and banks, trusts, and insurance companies are also important investors (with each accounting for over 10%) [2]. - Except for short - term financing ETFs and urban investment bond ETFs, the concentration of investors in other credit - bond ETFs is relatively high (the total proportion of the top ten investors often exceeds 60%). The top ten investors in the initial offering of benchmark market - making credit - bond ETFs and science - innovation bond ETFs are mostly securities firms' proprietary trading. However, the types of investors in benchmark market - making credit - bond ETFs are more diverse, while science - innovation bond ETFs have more institutions such as banks, trusts, and wealth management companies among their investors [2][70]. 3.3 Impact of Credit - bond ETFs on Institutional Behavior - Credit - bond ETFs may become important asset allocation and liquidity management tools for institutional investors, but they may also have a certain "crowding - out" effect on existing bond investments [5]. - Under the expansion of credit - bond ETFs, seizing constituent bonds has become an important strategy for investors, leading to better performance and higher liquidity of these bonds [5]. - In a low - interest - rate environment and with the expansion of credit - bond ETFs, in the face of significant market shocks, credit - bond ETFs may face significant discounts and redemption pressures. The impact on the market during the redemption stage may have different scenarios, including direct selling pressure on constituent bonds, a further decline in the liquidity of constituent bonds, and an increase in the redemption pressure on other bond funds [5].