Report Industry Investment Rating No information provided in the content. Core View of the Report - This year, credit bond ETFs have attracted significant market attention, with a structural rush to buy the component bonds of relevant indices. In July, the first batch of 10 science - innovation bond ETFs were officially listed, expanding the market and boosting the decline in the yields of index component bonds. Recently, the scale growth of credit bond ETFs has slowed down, and the overall bond market has shown weakness due to the stock - bond seesaw effect, causing the market for component bonds to slow down. The report will continuously track the performance of relevant indicators of credit bond ETFs from multiple dimensions [1][6]. Summary by Relevant Catalogs Credit Bond ETF Indicators and PCF Lists - The daily subscription and redemption list of credit bond ETFs is announced before the opening of the exchange. It includes data on component securities, cash substitution, fund share net value, etc. The report conducts daily tracking of the PCF lists of credit bond ETFs, observes changes in PCF component bonds, and calculates indicators such as the duration, changes in the estimated yields of component bonds, static yields of funds, and the proportion of perpetual bonds of each credit bond ETF [2][7]. - The basic situation and market performance of multiple credit bond ETFs are presented, including information on redemption mechanisms, the number of bonds, cash substitution premium ratios, durations, static yields, proportions of perpetual bonds, average changes in the estimated values of component bonds, closing price changes, and cumulative unit net value growth rates [10]. - The important indicator information of some PCF list component bonds is provided, including cash substitution signs, cash substitution premium ratios, fixed substitution amounts, bond issuance volumes, estimated full prices, subscription and redemption unit market values, market value weights, estimated modified durations, estimated yields, and changes in estimated yields [11]. - The share change data of credit bond ETFs from June 16, 2025, to July 25, 2025, are presented, covering various types of ETFs such as science - innovation bond ETFs, Shanghai - based benchmark - making corporate bond ETFs, Shenzhen - based benchmark - making credit bond ETFs, corporate bond ETFs, urban investment bond ETFs, and short - term financing ETFs [12]. Index Component Bond Market Performance - The component bonds of credit bond ETF - related indices are selected, and the excess spreads of individual bonds are obtained by dynamically matching the estimated yield curves of corporate bonds with the same remaining term and implied rating and then subtracting them. The credit spreads, excess spreads of component bonds, and the credit spreads of comparable corporate bonds are compared to observe the market performance of component bonds from multiple dimensions. Non - perpetual bond index component bonds are also analyzed separately [3][13]. - Multiple charts are used to show the excess spreads of benchmark - making bonds on the Shanghai and Shenzhen Stock Exchanges and the excess spreads and spreads of component bonds of the China Securities AAA Science - Innovation Bond Index under different time - to - maturity ranges [5][16][25].

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - This year, credit - bond ETFs have attracted significant market attention, with a structural rush for related index component bonds. In July, the first batch of 10 science - innovation bond ETFs were officially listed, expanding the market, boosting institutional trading, and further driving down the yields of index component bonds. Recently, the growth rate of credit - bond ETF scale has slowed, and the overall bond market has been weak due to the stock - bond seesaw effect, causing the component bond market to slow down. The report will continuously track the performance of credit - bond ETF - related indicators from multiple dimensions [5][9]. 3. Summary by Directory Credit - bond ETF Indicators and PCF Lists - The daily subscription and redemption list of credit - bond ETFs is announced before the opening of the exchange, including data on component securities, cash substitution, fund share net value, etc. The report conducts daily tracking of the PCF list of credit - bond ETFs, observes changes in PCF component bonds, and calculates indicators such as duration, component bond valuation yield changes, fund static yield, and perpetual bond ratio of each credit - bond ETF based on the PCF component bonds [2][12]. - The basic situation and market performance of various credit - bond ETFs are presented, including subscription and redemption mechanisms, number of bonds, cash substitution premiums, duration, static yields, perpetual bond ratios, component bond valuation average changes, closing price changes, and cumulative unit net value growth rates. For example, the static yield of the China Securities AAA Science - Innovation Corporate Bond Index is 1.91%, and the closing price change rate is - 0.11% [13]. - The important indicators of some PCF list component bonds are shown, including cash substitution marks, cash substitution ratios, fixed cash substitution amounts, bond issuance volumes, valuation full prices, T - 1 day valuation yields, subscription and redemption unit market values, valuation changes, whether they are index bonds, and current bond yields [15]. - The share changes of credit - bond ETFs are presented, covering science - innovation bond ETFs, Shanghai Stock Exchange benchmark - market - making corporate bond ETFs, Shenzhen Stock Exchange benchmark - market - making credit - bond ETFs, and other types of ETFs from July 3, 2025, to July 25, 2025 [16]. Index Component Bond Market Performance - The report selects the component bonds of credit - bond ETF - related indexes, dynamically matches the enterprise - bond valuation yield curves with the same remaining term and implied rating, calculates the excess spread of individual bonds, and compares the credit spreads, excess spreads of component bonds, and the credit spreads of comparable enterprise bonds to observe the market performance of component bonds from multiple dimensions. It also conducts a separate analysis of non - perpetual index component bonds [6][18]. - Multiple charts show the excess spreads of benchmark - market - making bonds on the Shanghai and Shenzhen Stock Exchanges, including different time - period (such as 3 - 5 years, 7 years and above) and different bond - type (such as excluding perpetual bonds) excess spreads, as well as the excess spreads of science - innovation bond index component bonds (including benchmark - market - making and non - benchmark - market - making) and the credit spreads of component bonds in different time - periods [19][20][22][31][33].