科创债ETF规模大增186亿元

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - From December 15 - 19, the scale of credit - bond ETFs increased by 19 billion yuan to 528.2 billion yuan, mainly contributed by science - innovation bond ETFs which grew by 18.6 billion yuan [1]. - Most science - innovation bond ETFs have been reducing their weighted duration of PCF holding bonds since December. Benchmark market - making credit - bond ETFs are also slightly reducing their duration [2]. - The median of the "non - component bond - component bond" spread of science - innovation bond ETFs slightly increased by 0.7bp to 6.9bp this week, and the trading activity of component bonds increased slightly but is still at a low level [3]. 3. Summary by Related Catalog Scale of ETFs - On December 19, the total scale of 35 credit - bond ETFs was 528.2 billion yuan, 19 billion yuan more than on December 12. Among science - innovation bond ETFs, 5 products had a scale increase of over 15%. The scale of Harvest Science - Innovation Bond ETF increased the most, by 5.4 billion yuan to 32 billion yuan, and it has grown by 11.1 billion yuan since December, becoming the largest in scale. The scale of YinHua Science - Innovation Bond ETF increased by 34%, growing 3.7 billion yuan to 14.5 billion yuan [1][5]. Duration of ETFs - Since December, most science - innovation bond ETFs have been reducing their duration. This week, 15 out of them (63%) continued to slightly reduce their duration, with a median decline of 0.02 years. The duration of Harvest Science - Innovation Bond ETF decreased the most, by 0.14 years to 3.4 years. 8 products increased their duration, with a maximum increase of 0.35 years. Benchmark market - making credit - bond ETFs also slightly reduced their duration, with only 3 products having a slight increase and the median decline of the other 5 being 0.28 years [2]. Bond Trading of ETFs - While reducing the duration, science - innovation bond ETFs mainly increased and decreased their holdings of relatively short - term bonds. They mainly increased their holdings of 2 - 3 - year bonds for three consecutive weeks in December, with the main industries being finance, urban investment, and coal. The reduction was also mainly in 2 - 3 - year bonds, with relatively scattered industries. Benchmark market - making credit - bond ETFs mainly increased their holdings of 4 - 5 - year and 2 - 3 - year bonds, with the main industries being industrial investment platforms, finance, and building materials, and mainly reduced their holdings in financial holding and water service industries [2]. Valuation of ETFs - The median of the "non - component bond - component bond" spread of science - innovation bond ETFs did not continue to decline this week, slightly increasing by 0.7bp to 6.9bp, possibly due to the significant increase in the scale of science - innovation bond ETFs from December 15 - 19 and a slight increase in the trading activity of component bonds. The ratio of the trading volume of science - innovation bond ETF component bonds to that of credit bonds was 6.7%, 0.7 percentage points higher than last week, but the trading activity was still at a low level [3].