固收深度报告20250811债券“科技板”见微知著：非ETF成分券科创债，布局正当时

Group 1: Report's Core View - Analyze the secondary - market performance of product component bonds and tracking index component bonds of science - and - technology innovation bonds (STIBs) ETF before and after its listing to determine the layout direction and bond - selection strategy of STIBs after the component bond market [1][13] - The valuation yields and credit spreads of STIBs ETF component bonds and non - ETF component bonds in the STIBs index show the same changing trends but with different amplitudes. Non - ETF component bonds generally have higher valuation yields and credit spreads. Currently, non - ETF component bonds have more potential for spread compression and less crowded trading, presenting a good configuration window period [7] Group 2: Industry Investment Rating - Not mentioned in the report Group 3: Summary According to the Directory 3.1 STIBs ETF Component Bonds' Secondary - Market Performance Comparison before and after Listing - As of July 31, 2025, 10 STIBs ETFs involve 543 component bonds (excluding duplicates), and the number of component bonds in each ETF has increased compared to the listing day [14] - In Interval 1 (January 1 - June 17, 2025), the average yield of STIBs ETF component bonds first rose and then fell, with a central value of about 2.03%. The yield increased in the early stage due to macro - interest - rate fluctuations and then decreased as funds flowed in. The credit spread showed a narrowing trend, with a central value of about 41.14BP, at the 61.20% quantile level since 2025 [15][16] - In Interval 2 (June 18 - July 16, 2025), the yield of STIBs ETF component bonds significantly decreased, and the credit spread rapidly compressed. The central value of the credit spread was 29.10BP, at the 15.20% quantile level since 2025. Some trading - disk investors started to take profits due to the high callback risk [16][17] - In Interval 3 (July 17 - July 31, 2025), the yield of STIBs ETF component bonds first decreased and then increased. The credit spread showed a similar trend. The central value of the credit spread was 17.35BP, at the 3.60% quantile level since 2025. The current entry has average cost - effectiveness and may face high adjustment risks [18][19] 3.2 Secondary - Market Performance Comparison of Tracking Index Component Bonds Not Included in STIBs ETF - As of July 31, 2025, the CSI, SSE, and SZSE AAA STIBs indexes tracked by STIBs ETF involve 899 underlying component bonds, among which 357 are not included in STIBs ETF component bonds, accounting for 39.71% [24] - In Interval 1, the yield of non - ETF component bonds first rose and then fell, similar to the overall bond market and STIBs ETF component bonds. The credit spread narrowed, with a central value of about 46.49BP, at the 74.10% quantile level since 2025, presenting a good left - side layout opportunity [27] - In Interval 2, the yield of non - ETF component bonds decreased, and the credit spread compressed. However, the decline in yield and the compression in credit spread were slightly lower than those of STIBs ETF component bonds. The allocation value between the two types of bonds began to diverge [28][29] - In Interval 3, the yield of non - ETF component bonds first decreased and then increased, but the change was slower than that of STIBs ETF component bonds. The credit spread widened, and the compression space was relatively larger than that of STIBs ETF component bonds [30][31] 3.3 Comparison of the Allocation Value between STIBs ETF Component Bonds and Non - ETF Component Bonds in the STIBs Index - Although the valuation yields and credit spreads of the two types of STIBs show the same trends, the amplitudes are different. Non - ETF component bonds generally have higher valuation yields and credit spreads [7][38] - In Interval 1, the excess spread between non - ETF component bonds and STIBs ETF component bonds was relatively stable, ranging from 1.41BP to 9.26BP [7] - In Interval 2, the excess spread widened from 2.79BP on June 17, 2025, to 9.18BP on July 16, 2025. The spread - return space of STIBs ETF component bonds was gradually consumed [7] - In Interval 3, the excess spread further widened from 10.42BP on July 17, 2025, to 11.74BP on July 31, 2025. The allocation value of non - ETF component bonds became prominent [7] - The proportion of bonds with a credit spread of over 40BP in non - ETF component bonds is 14.79%, while that in STIBs ETF component bonds is 5.94%. Non - ETF component bonds have a larger selection range for bonds with spread - compression potential [7]