证券研究报告 晨会 hyzqdatemark 2025 年 07 月 31 日 投资要点： 资料来源：聚源，华源证券研究所，截至2025年07月31日 华源晨会精粹 20250731 固定收益 信用债 ETF 折价套利，可否参与？——信用债热点事件系列：7/21-7/25 期间，或受权益和商品市场强势表现影响，基准做市信用债 ETF 和科创债 ETF 整体 承压调整。科创债 ETF 上市以来资金净流入快速退坡，7/23-7/25 基准做市信用债 ETF 资金大幅流出。影响信用债 ETF 价格的底层因素主要包括：1、底层成分券的 估值波动；2、二级市场的机构行为和市场情绪（主要关注信用债 ETF 升贴水率）； 3、信用债 ETF 的一级申赎情况（若一级市场持续大额赎回会造成 ETF 成分券的二 级市场抛压，主要关注信用债 ETF 流通份额）。我们认为，二级市场折价或带来信 用债 ETF 性价比的阶段性提升，若后市交易情绪修复，ETF 升贴水率向中枢回归， 或将带动 ETF 价格修复，我们建议适度关注信用债 ETF 进入折价区间所带来的阶段 性交易机会。 风险提示：数据口径和统计计算结果偏误风险、理财负反馈对债市 ...

1. Report industry investment rating - This report does not provide an investment rating for the industry [1] 2. Core View of the Report - The secondary market discount may lead to a temporary increase in the cost - effectiveness of credit bond ETFs. If the trading sentiment recovers in the future and the ETF premium - discount rate reverts to the central level, it may drive the ETF price to recover. It is recommended to moderately focus on the temporary trading opportunities brought by credit bond ETFs entering the discount range [2] 3. Summary by Relevant Catalog 3.1 Credit bond ETF performance - From July 21 to July 25, affected by the strong performance of the equity and commodity markets, the benchmark - made credit bond ETFs and science - innovation bond ETFs were under pressure. The net worth and closing prices of 8 benchmark - made credit bond ETFs and 10 science - innovation bond ETFs declined for 4 consecutive days from July 21 to July 24 and showed differentiation on July 25. As of July 25, 2025, the closing prices of 10 science - innovation bond ETFs fell below 100 yuan, with cumulative declines ranging from 0.28% to 0.57% since listing; the closing prices of 8 benchmark - made credit bond ETFs also fell below 101 yuan, with declines ranging from 0.45% to 0.66% from July 17 to July 25. On July 28, the net worth of both types of ETFs recovered slightly [5] - Since the listing of science - innovation bond ETFs on July 17, the net capital inflow has rapidly declined. From July 23 to July 25, the benchmark - made credit bond ETFs saw a large - scale capital outflow. On July 24, the single - day net outflow of benchmark - made credit bond ETFs reached 2.52 billion yuan, the largest since the beginning of this year. More than half of the science - innovation bond ETFs had a small net capital outflow on July 24, just one week after listing [4][6] 3.2 How to view the discount trading opportunities of credit bond ETFs - Credit bond ETFs can be traded in the secondary market. Currently, 8 benchmark - made credit bond ETFs use physical subscription and redemption methods, and only 3 out of 10 science - innovation bond ETFs use cash subscription and redemption methods [12] - In the physical subscription and redemption model, investors are more likely to sell credit bond ETFs in the secondary market during market adjustments, which may lead to short - term discounts. After a short - term discount occurs, there are two possible directions: the market continues to adjust and the discount deepens, or the premium - discount rate reverts to the central level due to arbitrage activities [13] - Regarding the influencing factors, from July 17 to July 25, the valuation adjustments of the underlying component bonds of benchmark - made credit bond ETFs and science - innovation bond ETFs were not significantly different from those of non - component bonds, and no additional factors causing excessive valuation adjustments were observed [14] - From July 21 to July 25, the discount of benchmark - made credit bond ETFs deepened, and science - innovation bond ETFs gradually turned to a discount state. As of July 24, the discount of 8 credit bond ETFs ranged from 25 to 47 BP, significantly higher than the historical average; as of July 25, the discount of science - innovation bond ETFs ranged from 8 to 25 BP [17][18] - Although both types of ETFs are in the discount range, the trading sentiment may recover in the future, pulling the premium - discount rate back to the central level. The discount may bring a temporary increase in cost - effectiveness, and it is recommended to pay attention to the trading opportunities [19]