【债券日报】信用债ETF成分券行情表现跟踪-20250729

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - This year, credit - bond ETFs have attracted significant market attention, with a structural rush for related index component bonds. In July, the first batch of 10 science - innovation bond ETFs were officially listed, expanding the market, boosting institutional trading, and further driving down the yields of index component bonds. Recently, the growth rate of credit - bond ETF scale has slowed, and the overall bond market has been weak due to the stock - bond seesaw effect, causing the component bond market to slow down. The report will continuously track the performance of credit - bond ETF - related indicators from multiple dimensions [5][9]. 3. Summary by Directory Credit - bond ETF Indicators and PCF Lists - The daily subscription and redemption list of credit - bond ETFs is announced before the opening of the exchange, including data on component securities, cash substitution, fund share net value, etc. The report conducts daily tracking of the PCF list of credit - bond ETFs, observes changes in PCF component bonds, and calculates indicators such as duration, component bond valuation yield changes, fund static yield, and perpetual bond ratio of each credit - bond ETF based on the PCF component bonds [2][12]. - The basic situation and market performance of various credit - bond ETFs are presented, including subscription and redemption mechanisms, number of bonds, cash substitution premiums, duration, static yields, perpetual bond ratios, component bond valuation average changes, closing price changes, and cumulative unit net value growth rates. For example, the static yield of the China Securities AAA Science - Innovation Corporate Bond Index is 1.91%, and the closing price change rate is - 0.11% [13]. - The important indicators of some PCF list component bonds are shown, including cash substitution marks, cash substitution ratios, fixed cash substitution amounts, bond issuance volumes, valuation full prices, T - 1 day valuation yields, subscription and redemption unit market values, valuation changes, whether they are index bonds, and current bond yields [15]. - The share changes of credit - bond ETFs are presented, covering science - innovation bond ETFs, Shanghai Stock Exchange benchmark - market - making corporate bond ETFs, Shenzhen Stock Exchange benchmark - market - making credit - bond ETFs, and other types of ETFs from July 3, 2025, to July 25, 2025 [16]. Index Component Bond Market Performance - The report selects the component bonds of credit - bond ETF - related indexes, dynamically matches the enterprise - bond valuation yield curves with the same remaining term and implied rating, calculates the excess spread of individual bonds, and compares the credit spreads, excess spreads of component bonds, and the credit spreads of comparable enterprise bonds to observe the market performance of component bonds from multiple dimensions. It also conducts a separate analysis of non - perpetual index component bonds [6][18]. - Multiple charts show the excess spreads of benchmark - market - making bonds on the Shanghai and Shenzhen Stock Exchanges, including different time - period (such as 3 - 5 years, 7 years and above) and different bond - type (such as excluding perpetual bonds) excess spreads, as well as the excess spreads of science - innovation bond index component bonds (including benchmark - market - making and non - benchmark - market - making) and the credit spreads of component bonds in different time - periods [19][20][22][31][33].