固定收益专题报告：债券ETF如何影响成分券的“量价”

1. Report Industry Investment Rating - No relevant content provided in the given report. 2. Core Viewpoints of the Report - The report focuses on the main characteristics of bond ETF premiums and discounts and their impact on component bonds. It analyzes the influence mechanism of bond ETF premiums and discounts on component bonds, the characteristics and influencing factors of premiums and discounts, the volume - price changes of component bonds during premium and discount periods, and provides corresponding conclusions and insights [8][61]. 3. Summary According to Relevant Catalogs 3.1 Bond ETF Premium and Discount Impact Mechanism on Component Bonds - The premium - discount rate is used to measure the deviation between the bond ETF price and the net value. In the discount stage, investors redeem shares in the primary market and sell ETFs in the secondary market, leading to a decline in the ETF price and net value. Arbitrage behavior can repair the discount to some extent. In the premium stage, investors subscribe for shares in the primary market and buy ETFs in the secondary market, causing the ETF price and net value to rise, and arbitrage can repair the premium. Different redemption mechanisms (physical redemption and cash redemption) have different impacts on ETFs [9][10][12]. 3.2 Characteristics and Influencing Factors of Bond ETF Premiums and Discounts 3.2.1 When Do Premiums and Discounts Occur? - Local - government bond ETFs had continuous deep discounts from 2022 - 2023, mainly due to low trading activity. Since 2024, they have maintained a slight premium. Credit - type ETFs had discounts from September 2022 to April 2023 and in the second half of 2025, and slight premiums in 2024 and the second quarter of 2025. The physical redemption mode often has a deeper discount than the cash redemption mode [17][20][21]. 3.2.2 How Do Turnover, Share, and Net Value Change During Premium and Discount Stages? - Turnover: In the deep - discount stage, turnover is prone to peak, but the correlation has weakened since 2025 [28][29][40]. - Share: There is synchronicity between short - term deep discounts and share redemptions [33][34][36]. - Net Value: In the deep - discount stage, the ETF net value often recovers before the price [38]. - Summary: In the deep - discount stage, the underlying asset liquidity of the ETF is extremely restricted. Turnover is prone to peak, but it does not necessarily correspond to continuous large - scale redemptions. Since 2025, the correlation between the premium - discount rate and turnover, share, and net - value changes has weakened [40]. 3.3 Volume - Price Change Characteristics of ETF Component Bonds During Premium and Discount Stages 3.3.1 Volume: Trading Activity - The trading activity is measured by the ratio of the number of bonds with transactions to the number of bonds without transactions. The trading activity of component bonds in different indexes responds differently to ETF premiums and discounts. The urban investment index shows an anti - intuitive phenomenon, while the Shanghai and Shenzhen market - making indexes conform to the theoretical mechanism [43][44][46]. 3.3.2 Price: Credit Spread - The credit spread is measured by the difference between the bond's yield to maturity and the yield of the same - term China Development Bank bond. In the deep - discount stage of the urban investment index, the credit spread of non - component bonds widens more significantly. In the Shanghai and Shenzhen market - making indexes, the credit spread of component bonds widens significantly during premium and discount periods, indicating higher price - discovery efficiency [53][54][56]. 3.4 Main Conclusions and Insights - In the deep - discount stage, the underlying asset liquidity is restricted, and large - scale redemptions often occur during short - term discounts in the continuous premium stage. Different indexes have different response patterns to ETF premiums and discounts. When selecting bonds in the discount stage, it is necessary to judge the source of the discount. The lack of liquidity in the credit - bond market is a major constraint, and bond ETFs should improve market efficiency and provide protection during market adjustments [62][63].