信用债ETF手册：当前如何看待信用债类ETF投资机会？

Report Summary - The report analyzes the investment opportunities of credit bond ETFs under market adjustments and the upcoming expansion of science and technology innovation bond ETFs, suggesting three aspects to focus on for ETF allocation [4][33]. Group 1: Market Performance and Fund Flows - Affected by the strong performance of the equity market, the benchmark - market - making credit bond ETFs and science and technology innovation bond ETFs experienced significant pull - backs since mid - July, with a median maximum pull - back of about 0.5% [4][7]. - As of August 29, the median of the reinstated unit net value of credit bond ETFs and science and technology innovation bond ETFs was 1.0088 and 0.9969 respectively [7]. - Since late July, credit bond ETFs have seen significant outflows. As of the end of August, the latest total scale was 126.2 billion yuan, a decrease of 9.1 billion yuan from the peak of 135.3 billion yuan on July 18, while the scale of science and technology innovation bond ETFs remained relatively stable. As of the end of August, the total scale of credit bond - related ETFs was 350.1 billion yuan, an increase of 295.9 billion yuan from the beginning of the year [4][10]. Group 2: Discount Situation of Credit Bond - Related ETFs - Due to market adjustments and the diversion of science and technology innovation bond ETFs, the scale of credit bond ETFs declined, and there were obvious discounts in the secondary market. On August 18, the discount rate reached the range of - 0.3% to - 0.6%, with a median of - 54BP. The overall scale of science and technology innovation bond ETFs was stable, but there were also obvious discounts, with a median discount rate of about - 31BP on August 18. Among other varieties, short - term financing ETFs and corporate bond ETFs performed well, while urban investment bond ETFs also had obvious discounts [4][15]. - Historically, the duration of short - term financing ETFs is around 0.3 years, and the premium and discount rate is relatively stable. During the wealth management redemption wave at the end of 2022, the maximum discount rate of corporate bond ETFs and urban investment bond ETFs reached over - 3%. In September 2024 and March 2025, the maximum discount rates were about - 0.7% and - 0.4% respectively. Currently, the discount rates of credit bond ETFs and science and technology innovation bond ETFs are relatively high, and there is some right - side trading space after the market stabilizes [4][17]. Group 3: Comparison of Component Bonds and Non - Component Bonds - Regarding credit bond ETFs, taking the yields of 4Y - AAA ChinaBond medium - short - term notes/Shanghai - listed benchmark - market - making corporate bonds as a benchmark, from July 18 to the end of August, they increased by 16BP and 16.7BP respectively. The maximum spread since June this year was 3.6BP, the median was - 0.5BP, and the current latest spread is 1.5BP, indicating that component bonds have certain cost - effectiveness [4][22]. - For science and technology innovation bonds, taking inter - bank science and technology innovation bonds/exchange - traded science and technology innovation bonds as a benchmark, from July 18 to the end of August, they increased by 16.7BP and 13.7BP respectively. The maximum spread since June this year was 11BP, the median was 8BP, and the current latest spread is 8BP. With the upcoming concentrated listing of science and technology innovation bond ETFs, there is some space for long - position in component bonds [4][24]. Group 4: Comparison of Different ETF Products - Among credit bond ETFs, for the 4 products tracking the Shanghai - listed market - making corporate bond index, the excess returns compared to the benchmark since their listing this year range from - 20BP to - 60BP. The products tracking the Shenzhen - listed market - making credit bonds have a lower duration and relatively better overall performance, with excess returns in the range of - 10BP to - 40BP [4][26]. - Among science and technology innovation bond ETFs, the products tracking the AAA science and technology innovation bond index have excess returns in the range of - 5BP to - 30BP, with durations ranging from 3 to 4.5 years. The products tracking the Shanghai AAA and Shenzhen AAA science and technology innovation bonds have excess returns of about - 20BP [4][29]. - In terms of product strategies, some products have a relatively high proportion of credit bonds with a term of 7 years and above. Recently, the credit bond yield curve has steeply increased, and long - duration bonds have performed relatively weakly [4][29]. Group 5: Investment Opportunities - From the perspective of ETFs themselves, the current high discount rate provides right - side trading opportunities after the market stabilizes to gain the discount rate repair space [4][33]. - From the perspective of component bonds, the recent relatively large adjustment of science and technology innovation bond component bonds may bring opportunities with the upcoming expansion of science and technology innovation bond products [4][33]. - Comparing specific product strategies, products with a relatively high proportion of medium - and short - term allocations have performed better recently [4][33].