对于流动性溢价与风险点，我们的三点看法 ： 一是 ETF 扩容难以带来成分券流动性的持续提升，实物申 赎机制下，信用债 ETF 规模易增难减，部分成分券规模在 ETF 中总占比已较高，市场上流动的成分券规 模下降后，流动性或将见顶回落。二是部分成分券流动性溢价水平已较高，流动性溢价的合理水平在 10BP 以内，而当前部分机构抢筹情绪比较高涨的成分券利差已在 15BP 以上。三是交易所 - 银行间估 值分化后，交易所公司债成为偏进攻型品种，而银行间债券更偏防御，部分央国企或基于成本优势，更多 选择交易所市场，随着供给量的增加，交易所 - 银行间利差有望收窄。 建议关注市场情绪变化对流动性的影响 。 对 ETF 来说，规模变化可以反映现金申赎产品的市场情绪，升 贴水率变化可以反映实物申赎产品的市场情绪。我们认为，现金申赎产品的份额变动可能会更大，在市场 调整时， PCF 清单中的成分券存在承压的可能性。 风险提示： ETF 久期测算存在偏差；信用债突发负面舆情，打压债市风险偏好。 报告来源 以上内容节选自国泰海通证券已发布的证券研究报告。 报告名称： ETF扩容能稳定提升信用债流动性吗；报告日期：2024.07. ...

ETF 扩容能稳定提升信用债流动性吗 ■ 海外经验和国内溢价 本报告导读: 美国 ETF 市场增量规模提升对换手率提升具有暂时性,国内债券 ETF 成分券的流 动性溢价已经较高。 投资要点: 美国债券 ETF 市场规模 2023-2024 年大幅放量,2025年回落明显。 o 2023 年美国债券 ETF 市场规模为 5544.82 亿美元,2024年规模上 升至 11528.08亿美元,增速高达 107.9%,但 2025年整体规模回落 较为明显,截至2025年6月,美国债券 ETF 市场规模仅为 4415.7 亿美元。历次美国债券 ETF 规模放量期间,2022年美国信用债 ETF 换手率明显上升。回顾美国债券 EFT 规模效量时期,2022年1-2月、 4-5 月两段时期内换手率明显提升。2022年年均换手率为 41%,1-2 月、4-5月期间换手率分别上升至 43%、45%。拉长周期整体来看, 美国债券 ETF 规模放量与信用债 ETF 换手率的变化在趋势上并无 明显正相关性。拉长周期来看,美国债券 ETF 规模放量与换手率的 变化在趋势上并无明显正相关性。2018 至 2020年,美国 ETF 市场 ...

从资金流入看，今年以来整体ETF市场合计获得3715.97亿元的资金净流入，其中债券型ETF累计获得 2723.57亿元的资金净流入，在各类ETF中净流入金额居前。单只产品方面，海富通中证短融ETF今年以 来获得超230亿元的资金净流入，易方达上证基准做市公司债ETF、华夏上证基准做市公司债ETF、南 方上证基准做市公司债ETF等114只债券型ETF"吸金"超过百亿元。 基准做市信用债（公司债）ETF也是今年推出的创新型品种。首批8只基准做市信用债（公司债）ETF 在今年1月成立，合计募集规模超210亿元。上述产品最新合计规模为1344.4亿元，易方达上证基准做市 公司债ETF、南方上证基准做市公司债ETF与华夏上证基准做市公司债ETF规模超200亿元。 【深圳商报讯】（记者詹钰叶）今年以来，债券ETF持续扩容，科创债ETF等创新型品种不断亮相，助 推债券ETF总规模突破了5000亿元，较去年末增长近两倍。业内人士预计我国债券型ETF发展前景广 阔，未来发展空间值得期待。 在创新品种以及市场资金的共同推动下，目前全市场债券型ETF扩容至39只，合计规模达到5086.21亿 元，创下历史新高，占同期ETF总规模 ...

证券研究报告 东吴证券晨会纪要 东吴证券晨会纪要 2025-07-22 宏观策略 [Table_MacroStrategy] 宏观量化经济指数周报 20250720：科创债 ETF 扩容加快结构性政策工 具投放 科创债等直接融资市场的供给和需求有望继续扩张 海外周报 20250720：鲍威尔维护独立性令美联储 9 月难降息 核心观点：本周美国经济数据边际走强，"软数据"密歇根大学消费者信 心指数与"硬数据"零售销售均好于预期，美股上行；特朗普关税威胁一 度令美债利率抬升，但随后在通胀数据不及预期和美联储理事沃勒的鸽 派发言带动下，降息预期升温，美债利率有所回落，10 年期美债利率全 周升 0.62bps 至 4.416%。本周公布的 6 月美国核心 CPI 再度不及预期， 主要由于①本轮美国贸易商通过前置商品进口和加大来自墨西哥的 USCMA 免税商品和越南的低价商品，来对冲迄今为止的高关税对商品通 胀的冲击；②关税给服务部门和美国经济总需求带来负面影响。此外本周 特朗普提前解雇鲍威尔的传闻令市场一度出现震荡，但考虑到法律流程 的困难和鲍威尔任期即将结束，特朗普大概率不会耗费大量法律和政治 资源来推动对任期即 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - Credit - bond ETFs may become important asset allocation and liquidity management tools for institutional investors due to their low fees, controllable credit risks, good liquidity (T + 0), and leverage benefits, but they may have a certain "crowding - out" effect on existing bond investments [5]. - Under the expansion of credit - bond ETFs, seizing constituent bonds has become an important strategy for investors. Recently, affected by the expansion, the market has seen a continuous trend of seizing constituent bonds, with these bonds performing well, having significantly higher liquidity, and lower yields and credit spreads compared to non - constituent bonds [5]. - In a low - interest - rate environment and with the expansion of credit - bond ETFs, potential risks under changes in institutional behavior should be noted. In the face of significant market shocks, credit - bond ETFs may face significant discounts and redemption pressures [5]. 3. Summary by Relevant Catalogs 3.1 Credit - bond ETF Mechanism Analysis 3.1.1 What is a Credit - bond ETF? - A credit - bond ETF is an open - ended index fund that is listed and traded on a stock exchange and invests in a portfolio of bonds listed on the stock exchange corresponding to a specific credit - bond index. Its investment goal is to minimize the tracking deviation and tracking error from the index, with requirements for controlling the absolute value of the daily average tracking deviation and the annualized tracking error. It has advantages such as low fees, controllable credit risks, good liquidity (T + 0), and leverage benefits (pledgeable for repurchase). It mainly invests in the constituent bonds and alternative bonds of the target index (≥ 80%/90% of the fund's net value), and its investment strategies include sampling replication and substitution strategies [2][9]. 3.1.2 How to Subscribe and Redeem Credit - bond ETFs? - The fund manager publishes the subscription and redemption list (PCF) before the market opens every day. The subscription and redemption of credit - bond ETFs follow a T + 0 confirmation and T + 2 fund settlement mechanism. On T day, investors can submit subscription or redemption applications during trading hours, and the shares or physical bonds are immediately available after the delivery of the consideration (portfolio bonds/cash). On T + 1 day, the settlement of cash substitution and the clearing of cash differences are carried out. Within T + 2 days, the settlement of cash differences is completed (the manager buys bonds on behalf of investors, with excess refunded and shortage supplemented). Except for short - term financing ETFs and some science - innovation bond ETFs (such as those of Fullgoal and Southern) which require full - cash substitution for subscription and redemption, others allow cash substitution for subscription but mostly do not allow it for redemption [2][32]. 3.1.3 Deconstruction of Credit - bond ETF Liquidity - T + 0 trading: Successfully subscribed shares can be used immediately, and can be sold, redeemed, or pledged on the same day. Bonds obtained from redemption can be sold, pledged, or used to subscribe for other ETFs on the same day. - Pledge repurchase: Currently, 9 credit - bond ETFs are included in the general pledge library, with a pledge rate mostly around 60% (determined by China Securities Depository and Clearing Corporation Limited based on the principle of prudence and updated daily). Science - innovation bond ETFs may also be included in the future. - Market - maker system: Market - makers provide liquidity services such as two - sided quotes, and market - making assessment indicators include hard requirements such as quote time coverage, maximum spread limit, and minimum quote volume [2][40]. 3.2 Main Investors in Credit - bond ETFs - Credit - bond ETF investors are mainly institutional investors, accounting for nearly 90%. Among the top ten investors, securities firms' proprietary trading accounts for the highest proportion (about 48%), and banks, trusts, and insurance companies are also important investors (with each accounting for over 10%) [2]. - Except for short - term financing ETFs and urban investment bond ETFs, the concentration of investors in other credit - bond ETFs is relatively high (the total proportion of the top ten investors often exceeds 60%). The top ten investors in the initial offering of benchmark market - making credit - bond ETFs and science - innovation bond ETFs are mostly securities firms' proprietary trading. However, the types of investors in benchmark market - making credit - bond ETFs are more diverse, while science - innovation bond ETFs have more institutions such as banks, trusts, and wealth management companies among their investors [2][70]. 3.3 Impact of Credit - bond ETFs on Institutional Behavior - Credit - bond ETFs may become important asset allocation and liquidity management tools for institutional investors, but they may also have a certain "crowding - out" effect on existing bond investments [5]. - Under the expansion of credit - bond ETFs, seizing constituent bonds has become an important strategy for investors, leading to better performance and higher liquidity of these bonds [5]. - In a low - interest - rate environment and with the expansion of credit - bond ETFs, in the face of significant market shocks, credit - bond ETFs may face significant discounts and redemption pressures. The impact on the market during the redemption stage may have different scenarios, including direct selling pressure on constituent bonds, a further decline in the liquidity of constituent bonds, and an increase in the redemption pressure on other bond funds [5].

Core Viewpoint - The approval of the first batch of Shanghai Stock Exchange 580 ETFs by Huaxia and E Fund indicates a trend of simultaneous reporting and approval of ETFs and their corresponding funds, suggesting a linkage between on-market and off-market issuance [1] Group 1 - Huaxia and E Fund have received approval for the first batch of Shanghai Stock Exchange 580 ETFs, which were reported on June 23 [1] - The simultaneous reporting and approval of ETFs and linked funds is a rare occurrence, highlighting a new trend in the market [1] - The Shanghai 580 Index is positioned as a small-cap index for the Shanghai market, complementing the existing Shanghai 50, 180, and 380 indices [1]

Core Viewpoint - The credit bond ETF from Bosera is experiencing a tight market with active trading and significant liquidity, presenting investment opportunities in the medium to long-term credit bond market as the ETF expands [3][4]. Group 1: Market Performance - As of June 9, 2025, the Bosera credit bond ETF is priced at 100.8 yuan, with a turnover rate of 59.89% and a trading volume of 4.782 billion yuan, indicating active market participation [3]. - The ETF has achieved a record high in size at 8.681 billion yuan and a recent high in shares at 86.1831 million, ranking in the top quarter among comparable funds [4]. - Over the past six days, the ETF has seen continuous net inflows, totaling 1.105 billion yuan, with a peak single-day inflow of 702 million yuan [4]. Group 2: Investment Strategy - West Securities suggests that the expansion of the Shanghai and Shenzhen benchmark market-making credit bond ETF creates investment opportunities, particularly in the medium to long-term credit bond segment [3]. - The ETF's expansion may lead to valuation volatility risks, especially during market downturns, which could increase yield fluctuations [3]. - The recommendation is to focus on coupon opportunities and consider increasing allocations to medium to long-term credit bonds after seasonal disturbances subside [3]. Group 3: Performance Metrics - Since its inception, the Bosera credit bond ETF has recorded a maximum drawdown of 0.89%, with a recovery period of 26 days [5]. - The ETF has a management fee of 0.15% and a custody fee of 0.05%, which are among the lowest in its category [5]. - As of June 6, 2025, the ETF has the highest tracking accuracy among comparable funds, with a tracking error of 0.009% [5].

Core Insights - The main differences between the Shanghai and Shenzhen credit bond indices lie in duration, constituent bonds, and issuer concentration [1][2][4] - The total scale of credit bond ETFs has significantly increased, with a net growth of 95.4% since Q2, reaching a total scale of 304.2 billion yuan [1][4] Group 1: Credit Bond ETF Overview - The total number of bond ETFs in China has reached 29, with credit bond ETFs accounting for 11 of them, totaling 156.5 billion yuan, which is 51.45% of the total bond ETF scale [1][2] - The scale of credit bond ETFs has increased by 764 billion yuan since Q2, with individual ETFs showing growth rates between 104% and 201% [1][4] Group 2: Comparison of Shanghai and Shenzhen Indices - The Shanghai credit bond index consists of 212 constituent bonds with a total scale of 587.7 billion yuan, while the Shenzhen index has 220 bonds totaling 364 billion yuan [2][3] - The weighted duration of the Shanghai index is 4.11 years, compared to 3.05 years for the Shenzhen index, indicating a longer duration for the Shanghai index [2][4] Group 3: Growth of Constituent Bonds - The number of constituent bonds in the Shanghai index has increased by 44 since the end of 2024, while the Shenzhen index has seen an increase of 102 [3] - The total scale of constituent bonds in the Shanghai index has grown by 92.5 billion yuan, while the Shenzhen index has increased by 101.7 billion yuan [3]

今年以来，债券市场表现震荡，债券类基金回报远不及预期，但这并未妨碍债券型ETF市场的蓬勃发 展。在弱回报下，资金涌入债券型ETF力度不减。5月收官，债券型ETF规模再破新高，单月获超400亿 元资金净流入。与此同时，场内资金参与债券ETF交易热情高涨，如5月30日单日成交金额排名前12的 ETF产品中有10只ETF均为债券型ETF。另外，随着近期信用债ETF开展通用质押式回购业务正式落 地，9只债券型ETF产品获允作为通用质押式回购担保品，被纳入回购质押库，债券型ETF扩容有望按 下加速键，整体规模或将再上新台阶。(证券时报) ...

Core Insights - The credit bond ETF market has significantly expanded, with the total scale surpassing 105.4 billion yuan, marking a notable milestone in the industry [1][2] - The proportion of credit bond ETFs within the bond ETF market has increased from 31.08% at the end of last year to 42.71% currently, indicating a growing dominance [1] - The growth is attributed to favorable market conditions, policy support, and increasing investor demand for credit bond ETFs [5][6] Market Expansion - As of April 30, the total scale of credit bond ETFs reached 105.5 billion yuan, up from 54.1 billion yuan at the end of last year, representing a growth rate of over 95% [3] - The number of credit bond ETF products has increased from 3 to 11 since the end of last year, reflecting a robust expansion in product offerings [3][4] - Eight benchmark market-making corporate bond ETFs were launched in January, collectively raising 21.7 billion yuan, contributing to the rapid growth of the credit bond ETF market [3] Investor Demand - Various types of investors, including asset management accounts, pension funds, and insurance asset management, are showing strong interest in credit bond ETFs [7] - The demand for credit bond ETFs is expected to drive future growth, as they provide a convenient investment vehicle for both long-term allocation and short-term trading [7][8] Policy Support - Recent policy changes allow certain credit bond ETF products to engage in general pledge-style repurchase transactions, enhancing their attractiveness and liquidity [9] - The ability to use credit bond ETFs as collateral for financing is expected to further stimulate market participation and growth [10] Investment Opportunities - The current monetary policy environment suggests that mid-to-short-term credit bonds may offer better allocation value, making credit bond ETFs an appealing investment option [7][10] - The liquidity of credit bond ETFs is notably better than that of individual corporate bonds, which enhances their appeal to investors [10]