可转债周报：转债修复之后，风格会切换吗？-20250910

Report Key Points Summary 1. Report Industry Investment Rating No industry investment rating is provided in the content. 2. Report's Core View - From September 1 - 6, 2025, the convertible bond market repaired. Medium - sized varieties gained more attention, while the trading volume proportion of small - sized ones declined, indicating a shift in capital preference. Valuations stretched overall, with the median market price oscillating upwards and remaining at a high level. The implied volatility rose slightly, reflecting increased market optimism [2][6]. - In the industry, power equipment and light manufacturing performed well, while communication and computer sectors faced pressure. Trading was concentrated in electronics, power equipment, and machinery. Individual bonds were still driven by underlying stocks, and some callable bonds achieved high returns. Overall, medium - sized convertible bonds have relative advantages in terms of scale and scarcity. It is advisable to focus on individual bonds with underlying stock support and stable fundamentals, while being vigilant about short - term volatility risks in highly crowded areas [2][6]. 3. Summary by Related Catalogs Market Theme and Style Shift - There may be a trend in the equity market of switching from small - cap to mid - and large - cap indices. Since August 2025, the trading volume proportion of small - cap indices has declined, while that of mid - and large - cap indices has increased. The rolling excess returns of mid - and large - cap indices have also slightly risen since August 2025 [18]. - The attention to medium - sized convertible bonds has increased. The trading volume proportion of medium - and small - sized convertible bond indices shows a significant negative correlation. The proportion of small - sized indices has been in a downward trend since the end of June 2025, and the 12 - week rolling excess return of medium - sized convertible bonds is on the rise, indicating a possible style shift from small - to medium - sized [20]. - Medium - sized convertible bonds currently have relatively low overall scale compared to the previous high of the median market price. With scarcity and a relatively loose market environment, they may be supported to strengthen. Their valuation is in a reasonable range, with the balance - weighted conversion premium rate at the 31.4% quantile since September 2020 and the median premium rate at the 46.4% quantile [22]. Market Weekly Review - Equity Market: A - share major indices oscillated and consolidated, with the ChiNext Index rising against the trend. The large - cap sector showed relative resilience. Main funds continued to flow out, but the outflow pressure eased. On Friday, some funds flowed back, indicating market confidence in the future. Industries showed differentiation, with power equipment, non - ferrous metals and other cyclical and resource products strengthening, while AI and military sectors declined. Trading concentration remained high, with funds concentrated in electronics, power equipment, and computer sectors [10]. - Convertible Bond Market: The convertible bond market repaired overall, with large - cap varieties rebounding more prominently and small - cap ones relatively under pressure. Market sentiment improved. Valuations stretched overall, with the median market price oscillating upwards and remaining at a high level. The implied volatility rose slightly, reflecting market optimism. Power equipment and light manufacturing led the rise, while communication and computer sectors were relatively weak. Trading activity was concentrated in power equipment, electronics, and machinery. Individual bonds were mainly driven by underlying stocks, and some callable bonds continued to achieve high returns [10]. - Primary Market: The primary market supply was stable. There were no new bond listings, but 6 companies updated their issuance plans, indicating sufficient future reserves. In terms of terms, 4 bonds announced potential downward revisions, 4 announced no downward revisions, and 3 proposed downward revisions. In terms of redemptions, 5 bonds were expected to trigger redemptions, 2 announced no early redemptions, and 5 announced early redemptions [10].