信用债ETF系列报告：近期信用债ETF的几项动态

1. Report Industry Investment Rating - No industry investment rating is provided in the report [1][2] 2. Core Viewpoints - The logic supporting the discount repair of credit bond ETFs remains unchanged, and the discount is expected to oscillate towards zero in Q1 2026 [3][27] - The investment value of short - to medium - term science and technology bond components that have experienced short - term over - decline is emerging [3][43] 3. Summary by Section 3.1 Credit Bond ETFs: Surge and Decline, with Continuous Net Value Repair - In mid - to late December 2025, the circulating shares and market value of credit bond ETFs surged rapidly, then declined quickly in early 2026. As of January 28, 2026, the total market value of benchmark market - making credit bond ETFs was 108.3 billion yuan, and the circulating shares were 1.072 billion; the total market value of science and technology bond ETFs was 291.7 billion yuan, with 2.911 billion circulating shares; the total market value of corporate bond spread factor ETFs, urban investment bond ETFs, and short - term financing ETFs was 126.9 billion yuan, with 3.679 billion circulating shares [3][7] - From December 16 - 31, 2025, 8 benchmark market - making credit bond ETFs had a net inflow of 12 billion yuan, and a net outflow of 20.2 billion yuan from January 5 - 28, 2026; 24 science and technology bond ETFs had a net inflow of 87.1 billion yuan from December 16 - 31, 2025, and a net outflow of 65.9 billion yuan from January 5 - 28, 2026 [3][7] - As of January 28, 2026, the average unit net value of science and technology bond ETFs was 100.42 yuan per share (only the Southern Science and Technology Bond ETF was below 100 yuan), and the average unit net value of benchmark market - making credit bond ETFs was 101.28 yuan per share. The net value of credit bond ETFs has been continuously repairing since early December 2025 [15] 3.2 The Discount Repair of Credit Bond ETFs is still Promising - From November 21, 2025, to January 28, 2026, benchmark market - making credit bond ETFs maintained a deep discount of 19 - 47 BP without signs of repair; the discount rate of science and technology bond ETFs has been continuously repairing since late November 2025, briefly approaching zero from December 23 - 26, 2025, and then quickly falling back to a deep discount [19] - The reason for the difference in the discount rate between the two types of ETFs in late December 2025 may be due to liquidity differences. Science and technology bond ETFs have better on - site liquidity and are better discount arbitrage targets [25] - The logic supporting the discount repair remains unchanged. In Q1 2026, the discount of credit bond ETFs is expected to oscillate towards zero [27] 3.3 Is there Room for Excess Returns in the Component Bonds? - The valuation yield of short - term components of the CSI AAA science and technology innovation corporate bond index has increased since early 2026, while the medium - to long - term components over 3 years have decreased to varying degrees, and the yield curve has flattened [29] - The excess spread of the CSI AAA science and technology innovation index components has narrowed and then widened. The adjustment range is greater than that of the Shanghai - listed market - making corporate bond index, indicating that the science and technology bond index components are more sensitive to market conditions [29][35] - The excess spread of short - to medium - term science and technology bond components has adjusted to near the high since December 2025, and their investment value is emerging [43] 3.4 Review of the Top Three Science and Technology Bond ETFs by Average Daily Trading Volume in 2025 3.4.1 Science and Technology Bond ETF Guotai - As of January 28, 2026, the circulating shares were 128 million, the total market value was 12.884 billion yuan, and the unit net value was 100.56 yuan per share. It had the highest average daily trading volume in 2025, reaching 9.488 billion yuan [44] - As of January 28, 2026, the discount rate was 0.24%, in the 13.4% percentile since listing, with sufficient discount arbitrage space [45] - The fund tracks the CSI AAA science and technology innovation corporate bond index. 98.5% of its component bonds are issued by central and local state - owned enterprises. The weighted average remaining exercise period is 3.27 years [47] 3.4.2 Science and Technology Bond ETF Huatianfu - As of January 28, 2026, the circulating shares were 191 million, the total market value was 19.095 billion yuan, and the unit net value was 100.42 yuan per share. The average daily trading volume in 2025 was 7.835 billion yuan [54] - As of January 28, 2026, the discount rate was 0.24%, in the 21.9% percentile since listing. From September 30, 2025, to January 28, 2026, the maximum drawdown was 0.26%, and the annualized volatility was 0.33%, better than the average level of science and technology bond ETFs [54] - The fund tracks the CSI AAA science and technology innovation corporate bond index. 96.6% of its component bonds are issued by central and local state - owned enterprises. The weighted average remaining exercise period is 3.26 years [57] 3.4.3 Science and Technology Bond ETF Nanfang - As of January 28, 2026, the circulating shares were 97 million, the total market value was 9.666 billion yuan, and the unit net value was 99.94 yuan per share. The average daily trading volume in 2025 was 7.237 billion yuan [59] - As of January 28, 2026, the discount rate was 0.03%, in the 52.6% percentile since listing. From September 30, 2025, to January 28, 2026, the annualized volatility was 0.51%, which may be suitable for more aggressive institutions [59][64] - The fund tracks the CSI AAA science and technology innovation corporate bond index. 98.1% of its component bonds are issued by central and local state - owned enterprises. The weighted average remaining exercise period is 3.61 years [61]