转债月报20250805：转债估值高位，关注结构机会-20250805

Group 1: Report Industry Investment Rating - Not provided in the content Group 2: Core Views of the Report - In July 2025, the convertible bond and equity markets both rose rapidly with multiple catalysts, but there was a slight pullback at the end of the month. The valuation of convertible bonds is at a high level, and their elasticity is relatively weak. The current valuation increase is mainly driven by low - price convertible bonds, with a relatively healthy structure. Attention should be paid to potential investment opportunities in low - price and equity - biased convertible bonds [1][26][35] - The convertible bond market is expected to oscillate at a high valuation level. The support from the equity market may remain strong, and the risk of valuation decline is relatively weak. The "Huachuang Convertible Bond" focus portfolio for August 2025 has been adjusted [36][49] Group 3: Summary by Directory I. Convertible Bond Valuation at a High Level, Focus on Structural Opportunities - Market Review: In July, the equity and convertible bond markets both rose rapidly with multiple catalysts. The public funds in the Shanghai and Shenzhen stock exchanges increased their holdings of convertible bonds by 3.63%, and the ETF share increased by 19.46%. The small - cap style was strong throughout the month, and there was a slight pullback at the end of the month. The Wind All - A Index rose 4.75%, and the convertible bond index rose 2.87%, with the valuation increasing [1] - Analysis of High - Valuation Characteristics: High - valuation convertible bonds have weak elasticity. Reviewing historical high - valuation periods (March 2020, February 2022, August 2022), they were characterized by high - valuation pullback pressure and high Delta. Currently, the rapid increase in convertible bond valuation is due to fund buying and ETF share growth. The low - price varieties are strong, and the current Delta is around 0.55, providing a higher safety margin [2][16] - Investment Suggestions: There may be a bubble in convertible bond valuation. Pay attention to low - price and equity - biased convertible bonds. In a high - valuation environment, if there are theme catalysts, focus on equity - biased convertible bonds to increase elasticity, and also participate in low - price convertible bonds for bottom - line protection [3][35] II. Valuation Outlook: High - Level Oscillation, Relatively Healthy Structure - Support from the Equity Market: Multiple themes have driven the equity market, and sentiment is positive. The technology sector can continue to be followed [36] - Healthy Valuation Structure: The current valuation increase is mainly driven by low - price convertible bonds. Public funds and ETFs have increased their holdings, and the risk of valuation decline is relatively weak. As of July 31, 2025, the 100 - yuan par - value fitted conversion premium rate was 26.83%, up 2.11 pct from the end of June [36] - Valuation Compression in Different Categories: As of July 31, compared with the end of June, the conversion premium rates of debt - biased convertible bonds decreased significantly. Most industries, ratings, and scales of convertible bonds saw valuation compression [40][41] III. Key Focus Convertible Bonds - July Performance: From July 5 to August 4, the July convertible bond portfolio rose 4.42%, outperforming the benchmark index by 1.17 pct. Huayi, Fenggong, and Rongtai had the highest gains, while some bank convertible bonds adjusted slightly [46] - August Portfolio Adjustment: The "Huachuang Convertible Bond" focus portfolio for August is adjusted to include Xingqiu, Mingli, Fenggong, Zhanggu, Huayi, Yifeng, Shangyin, Ziyin, Zhongyin, Qingnong, and Xingye. The portfolio selection strategy combines top - down and bottom - up approaches, with specific selection requirements [49][53][54] IV. Market Review: Both Convertible Bonds and Underlying Stocks Rose, Valuation Significantly Increased - Overall Market Performance: In July, the underlying stock market rose, and the convertible bond market followed. The Shanghai Composite Index rose 3.74%, the Shenzhen Component Index rose 5.20%, the Wind All - A Index rose 4.75%, and the convertible bond index rose 2.87%. The valuation increased by 2.11 pct. The small - cap stocks performed better, and the pharmaceutical sector was relatively strong [55] - (1) Market Performance: Most Convertible Bond Sectors Rose, and the Tibet Revitalization Concept Heated Up Significantly: Most of the Shenwan primary industry indices rose in July, with steel, pharmaceutical biology, and building materials having the highest gains. In the convertible bond market, building materials, pharmaceutical biology, and household appliances had the highest gains [58] - (2) Capital Performance: Trading Volume in the Convertible Bond and Equity Markets Continued to Increase: The average daily trading volume of the CSI Convertible Bond Index in July was 728.88 billion yuan, up 16.32% from June. The average daily trading volume of the Wind All - A Index was 16,336.29 billion yuan, up 22.28% from June. The margin trading balance increased, and most industries received net margin purchases [68][69] V. Supply and Demand Situation: The Supply Scale of New Convertible Bonds Increased Month - on - Month, and the Pace of Pre - plans Slowed Down - (1) In July, 3 Convertible Bonds Were Issued, and 9 New Convertible Bonds Were Listed: In July, 3 new convertible bonds were issued, with a total scale of 84.52 billion yuan, and 9 new convertible bonds were listed, with a total scale of 43.52 billion yuan. The online subscription for new convertible bonds heated up, with an average effective subscription amount of 8.32 trillion yuan. The total effective subscription was 24.97 trillion yuan, and the online subscription success rate was 0.0096% [71][76] - Pending Issuance and New Pre - plans: The total pending issuance scale is about 84 billion yuan. As of July 31, 2025, 4 listed companies obtained approval for convertible bond issuance, and 3 companies passed the review meeting and were waiting for approval. Two companies announced new board pre - plans, with a total scale of 24.96 billion yuan, a 10.40% decrease from June [78][80] - Redemption and Downward Revision Announcements: In July, 5 convertible bonds announced redemption, and 8 convertible bonds announced downward revisions. Many convertible bonds also announced non - downward revisions, proposed downward revisions, or were expected to meet redemption conditions [85][89] - (2) In July, Holders in the Shanghai and Shenzhen Stock Exchanges Were Cautious Overall, while Public Funds Were Active: The total convertible bond holding value in the Shanghai and Shenzhen stock exchanges in July was 647.854 billion yuan, a decrease of 73.14 billion yuan from June. Public funds increased their holdings, while enterprise annuities decreased their holdings. Brokerage asset management also showed different trends in the two exchanges [92][98][100]