We examine how corporate bond ETFs differ from the bond portfolios they hold. ETFs exhibit lower liquidity risk but higher intermediary risk, especially for high-yield funds, less liquid portfolios, and those served by weaker Authorized Participants. Using a structural decomposition, we show that ETFs are more exposed to intermediation supply shocks, whereas the underlying bonds are more exposed to demand shocks. A stylized model rationalizes these differences through partial segmentation between ETF and bond markets. Overall, corporate bond ETFs transform the risk profile of underlying bonds, creating a trade-off between liquidity and intermediary risk.