信用债ETF系列报告：折价修复后，信用债ETF怎么看？

Report Summary 1. Report Industry Investment Rating The provided content does not mention the report industry investment rating. 2. Core Viewpoints - Since October, the net value of credit bond ETFs has significantly recovered compared to the end of September, with interest rates showing a downward trend. The net value of different types of credit bond ETFs, including science - innovation bond ETFs, benchmark - market - making credit bond ETFs, and others, has increased to varying degrees [2]. - There is a structural divergence in the trends of the circulating shares and market values of credit bond ETFs. Science - innovation bond ETFs have contributed the main scale increment, while the shares and market values of benchmark - market - making credit bond ETFs have been gradually declining since early September [2]. - The market has fully priced the underlying bonds of the second batch of science - innovation bond ETFs in advance. The yield decline of the underlying bonds of the CSI AAA Science - Innovation Bond Index may be similar to that of general credit bonds, and the subsequent market trends of credit bond ETFs' underlying bonds may be in line with general credit bonds [2]. - The discount of credit bond ETFs has significantly narrowed compared to the first half of October, and there may still be room for further recovery in the future, mainly due to factors such as the potential demand from amortized fixed - open bond funds, the impact of the new regulations on public fund redemption fees, the support from fixed - income wealth management products, and the expected decline in interest rates [2][3][4]. 3. Summary by Related Catalogs Net Value Performance - As of November 21, the average unit net value of science - innovation bond ETFs has increased by 0.63% compared to the end of September, and most of them have recovered above 100 yuan. The average unit net value of benchmark - market - making credit bond ETFs has increased by 0.67% and is above 100 yuan. The net values of the three credit bond ETFs listed before the beginning of 2025 have also recovered to different degrees [2]. Share and Market Value Trends - As of November 21, the total market value of benchmark - market - making credit bond ETFs is 119.7 billion yuan, with 1.187 billion circulating shares; the total market value of science - innovation bond ETFs is 253.6 billion yuan, with 2.534 billion circulating shares; the total market value of corporate bond spread factor ETFs, urban investment bond ETFs, and short - term financing ETFs is 126.4 billion yuan, an increase of 15.6 billion yuan compared to the end of September [2]. - The shares and market values of benchmark - market - making credit bond ETFs have been gradually declining since early September, while the total market value of science - innovation bond ETFs has rapidly climbed to over 250 billion yuan as of November 21, an increase of 125.1 billion yuan compared to September 23 [2]. Pricing of Underlying Bonds - Since the listing of the second batch of 14 science - innovation bond ETFs in late September, the yields of the underlying bonds of the CSI AAA Science - Innovation Bond Index have declined significantly. The decline in the yields of underlying bonds with different remaining maturities is in the range of 10 - 19BP, and the decline is not significantly different from that of general credit bonds [2]. Discount and Recovery Potential - As of November 21, the discount rate of benchmark - market - making credit bond ETFs is 0.25%, and that of science - innovation bond ETFs is only 0.03%, significantly narrowing compared to the first half of October. The discounts of corporate bond spread factor ETFs and urban investment bond ETFs have also returned to near zero [2][3]. - There are four main reasons for the potential further recovery of credit bond ETF discounts: the potential demand from amortized fixed - open bond funds, the impact of the new regulations on public fund redemption fees, the support from fixed - income wealth management products, and the expected decline in interest rates [3][4].