信用债类 ETF 贴水加深 ——债券 ETF 跟踪 证券研究报告/固收事件点评报告 2025 年 11 月 18 日 执业证书编号：S0740525060003 Email：lvpin@zts.com.cn 分析师：苏恩民 执业证书编号：S0740525070002 Email：suem@zts.com.cn 资金流向 相关报告 截至 2025 年 11 月 14 日，债券型 ETF 近一周合计净流入 1.76 亿元，利率型、信用 型、可转债型 ETF 分别净流入 13.51 亿元、净流出 1.96 亿元、净流出 9.79 亿元。具 体拆分来看，信用型 ETF 中，短融、公司债、城投债分别净流入 7.02 亿元、4.33 亿 元、3.24 亿元，做市信用债净流出 15.84 亿元，科创债净流出 0.71 亿元。截至 2025 年 11 月 14 日，利率型、信用型、可转债 ETF 年内累计净流入分别为 706.62 亿元、 4387.27 亿元、225.82 亿元，合计达 5319.72 亿元。 净值表现 分析师：吕品 全周来看，各类型债券 ETF 产品净值均明显修复。截至 2025 年 11 月 14 日， ...

Core Viewpoint - The FOF (Fund of Funds) market is experiencing significant growth in both the number of products and total fundraising, with a notable increase in "small blockbuster" FOFs, indicating a trend towards diversified asset allocation and the need for improved cross-market investment capabilities [1][2][6]. Group 1: FOF Market Growth - As of November 12, 2023, a new FOF from the Wanguo Fund raised nearly 1.8 billion yuan, contributing to over 60 FOFs established this year with a total fundraising exceeding 56 billion yuan, significantly higher than the 10.6 billion yuan raised in 2024 [1][2]. - The total scale of FOFs has surpassed 200 billion yuan, with 17 products raising over 1 billion yuan each, highlighting a growing interest in FOFs despite the overall market size being significantly smaller than the underlying funds [1][9]. Group 2: Performance of New FOFs - The newly established Wanguo Zhiyue Stable 90-Day Holding FOF raised 1.793 billion yuan with 5,835 effective subscriptions, while another product, Wanguo Hengyi 3-Month Holding ETF-FOF, raised 414 million yuan [2][5]. - In October alone, several FOFs raised over 2 billion yuan, including Huatai Bairui Yingtai Stable 3-Month Holding FOF, which raised 5.577 billion yuan, indicating a strong demand for these investment vehicles [3][5]. Group 3: Diversification and Asset Allocation - FOFs are increasingly diversifying their underlying assets, now including passive index funds and REITs, with a notable preference for gold and bond ETFs among FOF managers [6][7]. - The top ten most held index funds by FOFs are predominantly bond ETFs, reflecting a strategic shift towards safer asset classes amid market volatility [7][10]. Group 4: Challenges and Opportunities - Despite the growth, over 60% of FOFs have a scale of less than 200 million yuan, indicating a significant disparity in size compared to the underlying public funds, which exceed 30 trillion yuan [9]. - The FOF market faces challenges such as investor perception of complex structures and concerns over double fees, which may hinder further growth [9][10].

Core Insights - The report indicates a clear preference for index funds among public FOFs, particularly in the bond ETF category, with significant increases in holdings and allocations [1][6][8] Group 1: FOF Holdings and Preferences - As of the end of Q3, index bond funds saw a notable increase in FOF holdings, rising from 11.14% at the end of Q2 to 14.94%, with a total holding size of 15.672 billion [1][6] - FOFs favored gold ETFs and bond ETFs over stock ETFs, with the top ten heavily weighted index funds being bond ETFs [1][7] - A total of 98 FOFs held the Huaan Gold ETF, with a holding of 208 million shares valued at 1.735 billion, reflecting an increase of over 7 million shares from the previous quarter [2][3] Group 2: Specific ETF Holdings - The second to fourth most held ETFs by FOFs include Hai Fu Tong Zhong Zheng Short Bond ETF, Peng Yang Zhong Dai 30-Year Treasury ETF, and Hua Xia Hang Seng Technology ETF, with 67, 54, and 39 FOFs holding them respectively [3][4] - The Hai Fu Tong Zhong Zheng Short Bond ETF saw a significant increase in holdings, with one FOF increasing its position by 8.8541 million shares [3][4] Group 3: Overall Market Trends - By the end of Q3, the total market size of FOFs reached 187.246 billion, marking a quarter-on-quarter increase of 19.69% [8] - The overall size of index funds reached 7.75 trillion, with an increase of over 1 trillion from the previous quarter, indicating a strong growth trend in the ETF market [9] - The total size of ETFs in the market reached 5.77 trillion, with 2.04 trillion being new growth this year, particularly in bond ETFs which approached 700 billion, with over 500 billion being new growth [9]

Report Summary 1. Report Industry Investment Rating The document does not provide the industry investment rating. 2. Core Viewpoints - In August 2025, although the net value of credit - bond ETFs declined, the total market value and circulating shares remained stable, with the market value and shares of science - innovation bond ETFs increasing significantly [2]. - The decline in the net value of credit - bond ETFs did not trigger a negative feedback loop of fund share redemptions, and the secondary discount of credit - bond ETFs did not show signs of spreading to the primary market [2]. - As of the end of August 2025, 8 benchmark - making credit - bond ETFs and 10 science - innovation bond ETFs have been included in the exchange repurchase pledge pool, which can help holders improve leverage efficiency and relieve liquidity pressure [2]. - The secondary discount rate of credit - bond ETFs will fluctuate and return to the center. The bond market is expected to recover in the future, which may drive up the net value of credit - bond ETFs [2][3]. - In August 2025, the yields of the constituent bonds of listed credit - bond ETFs did not show obvious over - adjustment. Attention should be paid to the marginal impact that the listing of the second batch of science - innovation bond ETFs may bring [3]. 3. Summary by Relevant Content 3.1 Performance in August 2025 - **Market Environment**: In August 2025, the equity market continued its strong performance, and the Shanghai Composite Index rose from 3,573 at the end of July to 3,858 on August 29. Affected by the stock - bond seesaw effect, the bond market declined, and the yield of the active 10 - year Treasury bond rose from around 1.71% at the end of July to 1.78% on August 29 [2]. - **Net Value Performance**: The average unit net value of science - innovation bond ETFs decreased by 0.26% compared with the end of last month, and all adjusted to below 100 yuan by the end of August. The average unit net value of benchmark - making credit - bond ETFs decreased by 0.23% compared with the end of last month [2]. - **Market Value and Circulating Shares**: The total market value and circulating shares of credit - bond ETFs were generally stable in August, and there was no large - scale primary redemption of ETF shares. By the end of August, the total market value of benchmark - making credit - bond ETFs was 126.2 billion yuan, and the circulating shares were 1.254 billion, both slightly decreasing from the end of last month. The total market value of science - innovation bonds was 120.2 billion yuan, and the circulating shares were 1.207 billion, showing a significant increase from the end of last month [2]. - **Discount Rate**: On August 18, affected by the strong performance of the equity market, the discount rate of benchmark - making credit - bond ETFs deepened to over 0.5%, and the discount rate of science - innovation bond ETFs exceeded 0.3%. By the end of August, the discount rate of benchmark - making credit - bond ETFs was 0.2%, and that of science - innovation bond ETFs was 0.06%, showing a large - scale repair compared with the deep discount on August 18 [2]. 3.2 Inclusion in the Repurchase Pledge Pool - As of the end of August 2025, 8 benchmark - making credit - bond ETFs and 10 science - innovation bond ETFs have been included in the exchange repurchase pledge pool. Holders can choose to finance through repurchase to obtain liquidity instead of directly redeeming ETF shares at the primary level, which can relieve the pressure of ETF share redemptions to some extent [2][3]. 3.3 Future Outlook - **Market Factors**: As of the end of August 2025, the total number of fixed - income wealth management products in the market was 40,605, with a total scale of 28.68 trillion yuan, an increase of 120 billion yuan from the end of July. In August, wealth management products net - bought 59.9 billion yuan of credit bonds in the inter - bank market, showing no signs of negative feedback from wealth management redemptions [2]. - **Yield Forecast**: Considering factors such as continuous central bank easing and the decline in bank liability costs, the report expects the yield of the 10 - year Treasury bond to be between 1.6% - 1.8% in the second half of the year, and the bond market is expected to recover, which may drive up the net value of credit - bond ETFs [2][3]. 3.4 Component Bond Yields and Market Impact - In August 2025, the yields of the constituent bonds of the CSI AAA science - innovation bond index and the Shanghai Stock Exchange benchmark - making corporate bond index mostly showed significant corrections, but compared with the maturity yields of medium - and short - term notes of ChinaBond (AA+), the yields of the index constituent bonds did not show obvious over - adjustment [3]. - On August 20, 14 fund companies collectively submitted applications for the second batch of science - innovation bond ETFs. Based on the impact of the first batch of science - innovation bond ETFs on the yields of constituent bonds after listing, the second batch may bring a downward trend in the spreads of constituent bonds at the initial stage of listing. It is recommended to pay attention to the allocation opportunities of medium - and short - duration science - innovation bond ETF constituent bonds [3].

中国经济网北京8月15日讯 今日，平安基金公告，刘洁倩离任平安富时中国国企开放共赢ETF、平 安中高等级公司债利差因子ETF、平安粤港澳大湾区ETF、平安富时中国国企开放共赢ETF联接、平安 中证新能车ETF联接。 | 基金名称 | 平安中债-中高等级公司债利差因子交易型 | | --- | --- | | | 开放式指数证券投资基金 | | 基金简称 | 平安中高等级公司债利差因子 ETF | | 基金主代码 | 511030 | | 基金管理人名称 | 平安基金管理有限公司 | | 公告依据 | 《公开募集证券投资基金信息披露管理办 | | | 法》 | | 基金经理变更类型 | 解聘基金经理 | | 新任基金经理姓名 | - | | 共同管理本基金的其他基金经理姓名 | 王郡 | | 高任基金经理姓名 | 刘洁倩 | | 基金名称 | 平安中证粤港澳大湾区发展主题交易型开 | | --- | --- | | | 放式指数证券投资基金 | | 基金简称 | 粤港澳大湾区 ETF | | 基金主代码 | 512970 | | 基金管理人名称 | 平安基金管理有限公司 | | 公告依据 | 《公开募集证券投资 ...

平安粤港澳大湾区ETF成立于2019年9月23日，截至2025年8月14日，其今年来收益率为11.21%，成立来 收益率为32.87%，累计净值为1.3287元。 平安富时中国国企开放共赢ETF联接A/C成立于2024年3月26日，截至2025年8月14日，其今年来收益率 为-2.34%、-2.47%，成立来收益率为3.52%、3.23%，累计净值为1.0352元、1.0323元。平安富时中国国 企开放共赢ETF联接E成立于2025年6月23日，成立来收益率为1.70%。 平安中证新能车ETF联接A/C成立于2021年6月29日，截至2025年8月14日，其今年来收益率为12.75%、 12.47%，成立来收益率为-35.80%、-36.85%，累计净值为0.6420元、0.6315元。平安中证新能车ETF联 接E成立于2025年6月6日，成立来收益率为10.88%。 中国经济网北京8月15日讯今日，平安基金公告，刘洁倩离任平安富时中国国企开放共赢ETF、平安中 高等级公司债利差因子ETF、平安粤港澳大湾区ETF、平安富时中国国企开放共赢ETF联接、平安中证 新能车ETF联接。 刘洁倩曾先后担任国泰基金管理有 ...

Core Viewpoint - The bond fund market has seen a significant recovery since June, with record numbers in both the number of new funds and issuance scale, indicating strong investor interest in credit bonds [1][2]. Group 1: Bond Fund Issuance - As of June 26, 132 new public funds were established in June, with a total issuance of 1,038.73 billion units, marking the highest monthly record for the year [2]. - Among these, 30 bond funds were established, with a total issuance of 513.44 billion units, also a record for the year [2]. - Several bond funds experienced explosive demand, leading to early closures, such as the Huisheng and Shengchun bond fund, which reached its fundraising cap of 6 billion yuan in just 3 days [2]. Group 2: Credit Bond Market - There has been a notable increase in institutional investment in credit bonds, with a total of 2,130 billion yuan in 11 listed credit bond ETFs as of June 26, and a net subscription of over 80 billion yuan in the past month [3]. - Major credit bond ETFs, such as the Hai Fu Tong Zhong Zheng Short-term Bond ETF, have surpassed 50 billion yuan in scale, reflecting strong demand [3]. - Institutions are increasingly optimistic about credit bonds, particularly long-duration varieties, as they adjust their portfolios in response to market conditions [3][4]. Group 3: Market Outlook - The bond market is expected to maintain stability in the context of ongoing liquidity support from the central bank, with long-duration credit bonds likely to continue performing well [4]. - The current credit spread for 10-year bonds is considered relatively attractive, prompting attention to both primary and secondary market opportunities [4].