债券研究周报：低利率下，信用债ETF扩容可期-20250722

Group 1: Report Industry Investment Rating - Not mentioned in the provided content Group 2: Core Views of the Report - In the context of sustained low interest rates, credit bond ETFs have achieved rapid expansion due to their advantages such as low fees, good liquidity, and the ability to be used for margin financing. The continuous expansion of ETFs will support credit spreads at a low level, and component bonds may perform better. Newly launched science and technology bond ETFs still have investment value. As component bonds become more crowded in trading, individual bonds of the same issuer not included in the index may have potential relative valuation advantages [2][22]. - However, due to the high liquidity of credit bond ETFs, there may be greater valuation adjustment risks when the bond market adjusts or experiences redemptions. Currently, the trading of credit bond ETFs is relatively crowded, so investors are advised to control their positions in the short term and focus on post - adjustment layout opportunities [2][26]. Group 3: Summary by Relevant Catalogs 1. Low Interest Rates and the Potential Expansion of Credit Bond ETFs - Credit Bond ETF Advantages: - The types of tracking indexes are diverse, and the coverage of maturities is gradually improving. Among the 21 listed credit bond ETFs, different products cover different maturities, with newly launched products providing longer - term options [13]. - As on - exchange products, they support T + 0 trading, allowing for flexible trading and higher capital utilization efficiency [17]. - Benchmark - market - making credit bond ETFs have better liquidity. Their underlying bonds are high - quality credit bonds, and they have been included in the list of collateral for margin repurchase since June, enhancing capital efficiency and strategy flexibility [17]. - Impact on the Bond Market: The rapid expansion of credit bond ETFs has led to a continuous narrowing of credit spreads, especially for component bonds. Science and technology bond ETFs have also attracted significant capital inflows. There are investment opportunities in component bonds and individual bonds not included in the index, but there are also risks of greater valuation adjustments during market downturns [18][22][26]. 3. Institutional Fund Tracking - Fund Prices: This week (July 14 - 18, 2025), liquidity tightened slightly. R007 closed at 1.51%, remaining basically unchanged from last week, while DR007 closed at 1.51%, up 3BP from last week. The 6 - month national stock transfer discount rate closed at 0.86%, down 8BP from last week [3][38]. - Financing Situation: The balance of inter - bank pledged reverse repurchase this week was 114,846.9 billion yuan, a 2.2% decrease from last week. Fund companies and bank wealth management products had net financing of 39.1 billion yuan and - 43.65 billion yuan respectively [41]. 4. Quantitative Tracking of Institutional Behavior - Fund Duration: This week, the measured durations of high - performing and general interest - rate bond funds were 6.90 and 5.72 respectively, increasing by 0.02 and 0.15 from last week [50]. - "Asset Scarcity" Index: The "asset scarcity" index showed a slight upward trend [4]. - Institutional Behavior Trading Signals: Trading signals for secondary capital bonds, ultra - long - term government bonds, and 10 - year local government bonds are provided, with specific construction methods referring to relevant reports [61][64][67]. - Institutional Leverage: The overall market leverage ratio was 107.1% this week, a 0.2 - percentage - point decrease from last week. Among different institutions, the leverage ratios of insurance, fund, and securities companies decreased by 1.3, 0.6, and 1.3 percentage points respectively [68]. - Bank Self - Investment Comparison Table: The table shows the nominal yields, tax costs, capital occupation costs, and after - tax and risk - adjusted returns of different investment products such as general loans, 10 - year government bonds, and 10 - year AAA - rated local government bonds [73]. 5. Asset Management Product Data Tracking - Funds: Information on the weekly establishment scale of different types of funds and the 2025 annualized yield distribution of funds is presented [75]. - Bank Wealth Management: The weekly issuance volume of bank wealth management products and the 2025 annualized yield distribution of wealth management products are shown. The overall market product break - even rate decreased this week, reaching 1.4% [77][78]. 6. Treasury Bond Futures Trend Tracking - Information on the trend of cross - period spreads and the basis level of the next - quarter T contract is provided, but specific analysis is not elaborated in the summary [84]. 7. General Asset Management Landscape - Information on the scale changes of general asset management, public funds, and bank wealth management products is presented, with different data cut - off points [86][89].