0827转债市场点评：择券空间有所恢复，转债或“超调”

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - The reasons for the current adjustment in the convertible bond market include potential reduction of equity - related asset allocation by fixed - income plus investors, a significant amount of profit - taking by absolute - return investors, and the high valuation triggering partial profit - taking indicators [1][7] - The probability of an over - adjustment in the convertible bond market is high, and the bond - selection space has returned to the level of mid - to early August. It is recommended to participate in the market, tilt towards equity - biased convertible bonds, and adjust the mid - and low - priced structure [2][10][12] 3. Summary by Relevant Catalogs 0827 Market Review and Analysis of Adjustment Causes - On August 27, 2025, the convertible bond market experienced a significant adjustment. The CSI Convertible Bond Index dropped 2.82%, and the median closing price of convertible bonds decreased by 2.85 percentage points to 132.32 yuan, while the median implied volatility fell 5 percentage points to 37%. The 100 - yuan premium rate remained relatively stable [5] - The reasons for the adjustment are that fixed - income plus investors may reduce equity - related asset allocation, absolute - return investors may have a large number of profit - taking positions, and the high valuation may trigger partial profit - taking indicators [1][7] The High Probability of Over - adjustment in the Market and the Emerging Opportunities - The probability of an over - adjustment in the convertible bond market is high, and the bond - selection space has returned to the level of mid - to early August. The equity market still has potential as an important date approaches, and the trading volume remains stable. The adjustment has expanded the bond - selection window for convertible bonds below 125 yuan and 130 yuan, and the space for high - gamma convertible bonds has also increased. The confidence of market investors in the convertible bond market is relatively strong [2][10] - After the adjustment, it is recommended to maintain participation, tilt towards equity - biased convertible bonds, and adjust the mid - and low - priced structure. High - priced equity - biased convertible bonds may have better value if the equity market rises. Mid - and low - priced convertible bonds are not cheap, and there may be greater valuation fluctuations. For mid - and low - priced bond allocation, it is recommended to focus on targets with debt - resolution needs and capabilities [2][12][13] - The convexity strategy has played a relatively anti - decline role. From August 25th to 27th, the net value of the convexity strategy continuously outperformed the CSI Convertible Bond Index, with an excess of about 0.64 percentage points on the 27th [13]