Harvest fund version mainly redeems in kind (that is, stocks), highlighting the transparency of ETF operation, but T+2 is settled, and T+0 is realized by launching margin financing and securities lending in disguise; Huatai Bairui's product scheme continues the T+0 settlement mode of the existing ETF in China, emphasizing the efficiency of capital turnover, but replaces all the Shenzhen Stock Exchange Index of the Shanghai and Shenzhen 300 Index with cash.
Harvest fund's Shanghai and Shenzhen 300ETF chose to give priority to physical redemption. Different from the existing single-market ETF, it introduces Deng Zhong Settlement Company to connect Deng Zhong Shenzhen Stock Exchange and Deng Zhong Shanghai Stock Exchange to complete off-exchange settlement, and the redemption instruction T+ 1 is confirmed, and the subscription share and redemption securities T+2 are available.
Harvest fund said that the core feature of ETFs in foreign mature markets is physical redemption, which is conducive to the transparency of operation and the certainty of arbitrage. Its securities delivery is generally completed after T+2, and the ETF share in the US market is T+3 delivery; Arbitrage efficiency does not depend on delivery cycle, and margin trading can realize T+0 trading.
Huatai Bairui's Shanghai and Shenzhen 300ETF still retains the characteristics of T+0, and intraday trading is not a problem for the arbitrage of ETF itself and the spot arbitrage of stock index futures.
The product scheme basically follows the design of the existing single-market ETF, but the difference is that all the constituent stocks in Shenzhen, which account for 25% of the Shanghai and Shenzhen 300 Index, are converted into cash. In other words, if it is a subscription share, investors need to prepare a basket of CSI 300 constituent stocks and a sum of cash, and then the fund company will buy CSI 300 constituent stocks on behalf of Shenzhen Stock Exchange. Ordinary ETFs only substitute cash for a small number of stocks that cannot be traded due to suspension of trading and other reasons, and it is limited to a certain proportion.
After comparison, we can see that the two products have their own shortcomings. Whether it is the extra capital cost of Jiashi version of margin financing and securities lending or the uncertainty of arbitrage efficiency of Huatai Bairui version, arbitrageurs may demand more discount premium space, and arbitrage opportunities will occur if the average price of ETF deviates from about one thousandth. After practice, investors may make a choice.