固定收益深度报告：高评级转债性价比分析

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - The convertibles market has low trading enthusiasm due to the high - quality development of public funds and the lack of sustainability in the small - cap growth market. High - rating convertibles are scarce in terms of quantity and may become even more so with the potential delisting of some large - scale convertibles. Their valuations are low, and they are more cost - effective in the current market environment. In the short term, the stock - bond ratio favors bonds in the contraction cycle, and the convertibles position is reduced to 70%, with an 8:2 ratio of low - price (pure - bond substitute) to double - low convertibles, all being value - type targets [2][3][6] Summary by Relevant Catalogs 1. Recent Convertibles Market Review - After May Day, the pessimistic fundamental expectations were partially repaired. The overall trading activity of convertibles was low, with the average daily turnover remaining stable at 58.1 billion yuan compared to before May Day. The median convertible price was around 120 yuan, and the conversion premium rate and implied volatility were slightly adjusted. The bank - sector convertibles followed the rise of the underlying stocks but with a smaller increase. The market risk preference was low, and investors preferred the debt - hedging attribute of convertibles [12][13] 2. High - Rating Convertibles Cost - Effectiveness Analysis 2.1 Convertibles Market Alternative High - Quality Assets Are Scarce - AAA and AA+ level convertibles account for 7% and 9% of the whole market respectively, mainly in industries such as banking, non - banking, etc. Since the second half of 2023, the proportion of AAA and AA+ level convertibles has been decreasing, but their non - converted balance accounts for about 70% of the whole market. The delisting of Nanyin, Hangyin, and Pufa convertibles will significantly increase the scarcity of high - rating convertibles, and high - rating convertibles generally have a short remaining term [20][21] 2.2 High - Rating Convertibles Valuations Are Continuously Low - From the perspective of the conversion premium rate, the valuation of high - rating convertibles is low. Since the fourth quarter of 2024, although small - cap growth convertibles have had periodic market conditions, the conversion premium rate of AAA - level convertibles remains at a relatively low level. The reasons may be that funds prefer elastic varieties, and the shrinking scale of AAA - level convertibles supports the price and suppresses the valuation expansion [23][25] 2.3 Convertibles Market Credit Risk Concerns Have Not Returned to the Level Before 2024 - In 2024, the new "Nine - National - Articles" delisting rule strengthened the transmission of the underlying stock delisting risk to the convertibles market, and the market re - evaluated the credit risk of medium - and low - rating convertibles. In 2025, market concerns about credit risk have not subsided. The pure - bond premium rate repair is small, and the pure - bond premium rate of near - maturity convertibles is still negative. The credit qualification differentiation is intensified, and the credit spread of medium - and low - rating convertibles is at a historical high, while that of AAA - level convertibles is at a historical low. June is the peak period for convertibles rating adjustment, which may further suppress the risk preference for small - cap convertibles [30][31] 2.4 High - Rating Convertibles Are More Cost - Effective - In recent years, interest rate cuts aim to avoid systemic liquidity crises. The latest monetary policy report is beneficial to alleviating the pressure on the bank's liability side. In the context of low interest rates and asset shortage, high - rating convertibles are the core configuration of fixed - income +, and the supply contraction supports the valuation. With the approaching of the convertibles rating adjustment period, high - rating and stable convertibles are superior, and the positions of social security and insurance funds are also biased towards high - rating convertibles [33] 3. Asset Allocation Viewpoint - In the short term, according to the top - down view, the stock - bond ratio favors bonds in the contraction cycle. The trading value of both stocks and bonds is currently limited, and the convertibles position is reduced to 70%. The ratio of low - price (pure - bond substitute) to double - low convertibles is 8:2, all being value - type targets. The report also shows the convertibles broad - based portfolio [6][37]