国泰海通｜固收：ETF扩容能稳定提升信用债流动性吗

Core Viewpoint - The expansion of the ETF market in the U.S. is expected to temporarily enhance turnover rates, while the liquidity premium of domestic bond ETFs is already relatively high [1]. Group 1: U.S. Bond ETF Market Trends - The U.S. bond ETF market is projected to grow significantly from $554.48 billion in 2023 to $1,152.81 billion in 2024, marking a growth rate of 107.9%. However, a noticeable decline is expected in 2025, with the market size dropping to $441.57 billion by June 2025 [2]. - During the periods of market expansion, particularly in early 2022, the turnover rate of U.S. credit bond ETFs increased, with an annual average turnover rate of 41% and peaks of 43% and 45% during specific months [2]. - There is no clear positive correlation between the expansion of the U.S. bond ETF market and turnover rates over a longer time frame, as evidenced from 2018 to 2020 when market size increased but turnover rates did not [2]. Group 2: Trading Activity and Liquidity Premium - The number of transactions for constituent bonds has significantly increased with the expansion of ETFs. For instance, the proportion of constituent bonds in the AAA benchmark market-making credit bond index has risen to 91.7% since July 2025 [3]. - The liquidity premium is reasonably anchored within 10 basis points (BP). Since 2024, the risk associated with high-grade urban investment bonds and secondary capital bonds has been similar, with a central spread of 0 and fluctuations generally within 10 BP [4]. - Some constituent bonds are experiencing liquidity premiums exceeding 15 BP due to heightened buying sentiment among certain institutions [5]. Group 3: Market Sentiment and ETF Dynamics - The expansion of ETFs is unlikely to lead to a sustained increase in the liquidity of constituent bonds. The physical redemption mechanism makes it easier to increase the scale of credit bond ETFs, but the liquidity of some constituent bonds may peak and decline as their market size decreases [5]. - Market sentiment significantly influences liquidity, with changes in ETF scale reflecting market emotions. The fluctuation in cash redemption products may be more pronounced during market adjustments, potentially putting pressure on the constituent bonds in the PCF list [5].