科创债ETF成分券“超涨”利差有扩大潜力

1. Report Industry Investment Rating - The report does not provide an industry investment rating [1][4][7] 2. Core Viewpoints of the Report - The "over - rising" spread of Science - Tech Bond ETF component bonds has potential to widen. The second batch of Science - Tech Bond ETFs may bring about a repeat of the rush - to - buy market and a compression of liquidity premium, leading to an expansion of the "over - rising" spread. The inclusion of existing Science - Tech Bond ETFs in the pledgeable pool may also contribute to the compression of the spread [4][7] - For Science - Tech Bond ETF component bonds, perpetual bonds have a smaller "over - rising" spread and greater potential for compression compared to non - perpetual bonds. Institutions with stable liability ends are recommended to participate in advance [4][10] - In terms of the overall credit bond strategy, continue to recommend short - term, medium - to - high - quality, and highly liquid entities, and dig for "convex points" along the yield curve. After the short - end negative sentiment is fully released, start to increase allocations [4][13] 3. Summary by Directory 3.1 Credit Bond Weekly Viewpoint: The "Over - Rising" Spread of Science - Tech Bond ETF Component Bonds Has Potential to Widen - The "over - rising" spread of Science - Tech Bond ETF component bonds has remained stable at 7 - 8bp in the past month, with little over - adjustment in adverse market conditions. Trading opportunities mainly lie in individual bond pricing deviations [4][7] - On August 20, 14 fund companies collectively submitted applications for the second batch of Science - Tech Bond ETFs, which are expected to expand the "over - rising" spread of component bonds. The change in the "over - rising" spread from June to July was in line with the establishment and expansion of ETFs but with a slight lead. The listing of the second batch may repeat the rush - to - buy market, and the inclusion of existing ETFs in the pledgeable pool since August 27 may boost the compression of the "over - rising" spread [4][7] - The "over - rising" spread of Science - Tech Bond ETF component bonds is affected by factors such as terms, maturities, and outstanding scales. Perpetual bonds have a smaller and more volatile "over - rising" spread compared to non - perpetual bonds, and it is expected that the spread of perpetual bonds will continue to compress by about 5bp. Institutions with stable liability ends are recommended to participate in advance [4][10] - In terms of the overall credit bond strategy, continue to recommend short - term, medium - to - high - quality, and highly liquid entities, and dig for "convex points" along the yield curve. After the short - end negative sentiment is fully released, start to increase allocations. Currently, the steep part of the yield curve has shifted from 1 - 2Y to 2 - 3Y, and the recommended logic and entities remain unchanged [4][13] 3.2 Credit Bond Weekly Review: Short - End Starts to Recover, Long - End Continues to Adjust 3.2.1 Negative Information Monitoring - There were no bond defaults or overdue events, no downgrades of corporate main ratings or outlooks, and no downgrades of bond ratings during the week from August 25 to August 31, 2025. However, on August 28, Fitch downgraded the ratings of Vanke and its subsidiary, and on August 25, Moody's downgraded the ratings of Crown Resorts. There were also several major negative events, including overdue debts of Sunshine City, the chairman of Taihe Group being placed under detention, the default of "19 Han Dang Ke MTN001" of Wuhan Contemporary Technology Industry Group, and overdue debts of Guizhou Hongcai Investment Group [16][17][18] 3.2.2 Primary Issuance: Subscription Sentiment Improves, but Net Financing Remains Negative - The primary issuance volume of credit bonds continued to decline month - on - month, and the maturity volume also decreased slightly. The net financing was still negative. From August 25 to August 31, the primary issuance of credit bonds was 229.2 billion yuan, a 7% month - on - month decrease, and the total repayment amount dropped to 259.6 billion yuan, resulting in a net financing outflow of 30.4 billion yuan, with a smaller net outflow compared to the previous period [19] - The number of cancelled or postponed bond issuances decreased significantly month - on - month, indicating that the primary market sentiment is recovering. The average coupon rates of newly issued AAA and AA+ bonds were 2.21% and 2.45% respectively, with the AA+ rate down 15bp compared to the previous week. The frequency of newly issued AA/AA - bonds remained low [20] 3.2.3 Secondary Trading: Long - End Spreads Face Greater Pressure to Widen - The valuations of short - and medium - term credit bonds started to recover, but the long - end continued to adjust, with an overall decline of about 1bp. Spreads also faced greater pressure to widen at the long - end. The upward pressure on bond market valuations eased slightly last week, with the yields of high - grade short - term bonds dropping significantly by 3 - 4bp, while the low - grade and long - term bonds with weak liquidity were still making up for losses, with an upward movement of about 2 - 3bp. The risk - free rate curve declined at the short - end and remained unchanged at the medium - and long - ends, and the credit spreads fluctuated narrowly overall, but the 5Y spreads generally widened by about 3bp [24] - The term spreads of all grades widened significantly, with the 5Y - 1Y spreads of AAA and AA+ grades widening by up to 6 - 7bp and the AA grade widening by 4bp. The AA - AAA grade spreads fluctuated narrowly [27] - In terms of urban investment bond credit spreads, the spreads of each province fluctuated within ±1bp last week, with little differentiation among provinces and inconspicuous fluctuations in high - valuation areas. The spread of Inner Mongolia widened by up to 2bp [29] - In terms of industrial bond credit spreads, the spreads of each industry mainly narrowed by about 1bp last week, slightly outperforming urban investment bonds. The spread of the real estate industry narrowed by up to 4bp month - on - month [31] - In secondary trading, the liquidity of credit bonds further declined, with the turnover rate dropping 0.02 percentage points to 1.62% month - on - month. The issuers of the top ten bonds in terms of turnover rate were mostly central and local state - owned enterprises. There were 3 bonds with a discount of more than 10% last week, issued by Country Garden and Sunshine City. Among individual entities, the urban investment entities with the largest spread narrowing or widening were scattered. In the industrial sector, the top five entities with the largest spread widening were all real estate enterprises, and the valuations of private enterprises in the construction and communication sectors also increased significantly [33][35]