转债市场周报：转债估值回落，静待加仓良机-20250601

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The equity market is expected to continue the pattern of index fluctuations and internal theme rotation, waiting for the progress of the technology industry to drive a new round of technology market upward. The bond market interest rate remains low, meaning the opportunity cost of convertible bonds is extremely low, and the potential allocation power of convertible bonds is abundant. If a large - balance convertible bond is downgraded in rating, it may be a good opportunity to increase positions in convertible bonds. In the stage of strong macro - uncertainty, the inconsistency of driving factors between the dividend and technology sectors can be used to reduce portfolio fluctuations, and targets supported by performance or (and) valuation drivers can be sought [2][18]. 3. Summary by Relevant Catalogs Market Trends (2025/5/26 - 2025/5/30) - Stock Market: The equity market fluctuated and closed down last week. The market hotspots rotated rapidly. The automobile sector adjusted significantly. The Shenwan primary industries showed more gains than losses, with environmental protection (+3.42%), medicine and biology (+2.21%), national defense and military industry (+2.13%), agriculture, forestry, animal husbandry and fishery (+1.79%), and computer (+1.77%) leading the gains, while the automobile (-4.11%), power equipment (-2.44%), non - ferrous metals (-2.40%), and comprehensive (-1.94%) sectors lagged behind [7][8]. - Bond Market: The bond market performance was differentiated. The 10 - year treasury bond interest rate closed at 1.67% on Friday, down 4.96bp from the previous week, while the 10 - year CDB bond interest rate rose slightly by 0.56bp [8]. - Convertible Bond Market: About half of the convertible bond individual bonds closed up. The CSI Convertible Bond Index rose 0.23% for the whole week, the median price rose 0.02%, the calculated arithmetic average parity rose 1.12% for the whole week, and the whole - market conversion premium rate decreased by 1.08% compared with the previous week. Most industries in the convertible bond market closed up, with media (+2.72%), building materials (+1.84%), banks (+1.82%), and beauty care (+1.72%) leading the gains, while household appliances (-2.42%), communication (-1.51%), automobile (-1.38%), and social services (-1.26%) lagged behind. The total turnover of the convertible bond market last week was 277.083 billion yuan, with an average daily turnover of 55.417 billion yuan, basically the same as the previous week [8][11][15]. Views and Strategies (2025/6/3 - 2025/6/6) - Equity Market Outlook: The equity market is expected to continue the pattern of index fluctuations and internal theme rotation, waiting for the progress of the technology industry to drive a new round of technology market upward [2][18]. - Bond Market Outlook: After the implementation of reserve requirement ratio cuts and interest rate cuts, the interest rate has not broken through the previous low, but the credit spread has significantly narrowed. Under the subsequent dominance of allocation power, the interest rate is difficult to rise or fall significantly [2][18]. - Convertible Bond Investment Strategy: If a large - balance convertible bond is downgraded in rating, it may be a good opportunity to increase positions in convertible bonds. In the stage of strong macro - uncertainty, the following three types of targets can be considered: - Performance - Driven: High - frequency data products, industries with excellent first - quarter performance, and stocks whose performance is driven by large customers [18]. - Event - Catalyzed: Industries affected by geopolitical conflicts, overseas technology blockades, innovation drug BD authorizations, and supply - side constraints [18]. - Dividend and Defensive: High - dividend assets and the power industry in the peak summer electricity consumption season [18]. Valuation Overview - As of May 30, 2025, the average conversion premium rates of convertible bonds in different price ranges of equity - biased convertible bonds are at different percentile levels since 2010 and 2021. The average YTM of debt - biased convertible bonds with a parity below 70 yuan is at the 15%/7% percentile level since 2010/2021. The average implied volatility of all convertible bonds is at the 50%/25% percentile level since 2010/2021, and the difference between the implied volatility of convertible bonds and the long - term actual volatility of the underlying stock is at the 10%/15% percentile level since 2010/2021 [19]. Primary Market Tracking - Last Week (2025/5/26 - 2025/5/30): The Hengshuai Convertible Bond was issued, and no convertible bonds were listed. As of now, there are 85 convertible bonds to be issued, with a total scale of 131.39 billion yuan, including 10 that have been approved for registration, with a total scale of 15.89 billion yuan, and 4 that have passed the listing committee, with a total scale of 3.23 billion yuan [28][29]. - Next Week (2025/6/3 - 2025/6/6): As of the announcement on May 30, there are no convertible bonds announced for issuance or listing [29].