国泰海通证券研究·2025-06-05 22:12Core Insights - The introduction of general pledged repos for credit bond ETFs is expected to equalize the functional differences between credit bond ETFs and underlying assets, potentially lowering financing costs and enhancing investor returns [1][2]. Group 1: General Pledged Repo Implementation - Nine credit bond ETFs have received approval letters from China Securities Depository and Clearing Corporation, allowing them to be included in the repo collateral pool, with a total scale exceeding 70 billion yuan as of the end of May [1]. - The implementation of general pledged repos is anticipated to release policy dividends, further promoting the growth of credit bond ETFs [1][2]. Group 2: Mechanism and Risk Management - The standard bond system will be adopted for the general pledged repo, with collateral eligibility determined by bond type and rating, while the 2025 guidelines expand the scope but raise rating requirements [2]. - Daily mark-to-market pricing will be used for repo discount rates, and any adjustments in collateral eligibility or discount rates may necessitate timely replenishment of collateral to avoid shortfall risks [2]. Group 3: Benefits of Credit Bond ETFs - Using credit bond ETFs as collateral can enhance convenience and reduce the volatility of discount rates, thereby lowering pledge risks and overall financing costs [3]. - The frequency and magnitude of discount rate adjustments for credit bonds can lead to higher transaction costs during extreme market conditions, making ETFs a more stable option for collateral [3]. Group 4: Performance Differentiation Among Bond ETFs - Performance differentiation may occur among bond ETFs, even those tracking the same index, due to variations in underlying asset liquidity and management strategies [4]. - Index funds may adopt sampling replication methods and exhibit active management characteristics to address liquidity constraints, leading to potential deviations from the index [4].