转债周度专题：下修空间缩窄怎么看？-20250929

1. Report Industry Investment Rating The provided content does not mention the industry investment rating. 2. Core Viewpoints of the Report - The overall convertible bond downward - revision gaming space has gradually narrowed this year. With the upward trend of the equity market, the number of low - parity convertible bonds has decreased, and the number of convertible bonds triggering downward - revision, proposing downward - revision, and actually undergoing downward - revision has shown a downward trend. However, as the number of convertible bonds entering the put - back period and approaching maturity increases, the gaming opportunities for downward - revision may relatively increase, and the focus should be on the individual bond's downward - revision willingness [1][10]. - Against the background of the narrowing overall downward - revision gaming space, attention should be paid to the opportunities of underlying assets related to the fundamental expectations of the underlying stocks of convertible bonds and relatively low valuations. For equities, grasp the structural opportunities in the technology - growth direction and focus on the underlying assets with strong performance certainty in pro - cyclical and anti - involution beneficiary industries. Also, pay attention to low - price and low - premium varieties among high - rating and large - cap convertible bonds [2][20]. - The A - share market is expected to have a good allocation cost - performance ratio in terms of risk premium. The convertible bond supply is shrinking, and there is certain support on the demand side. Attention should be paid to the downward - revision gaming space, be vigilant against the forced - redemption risk, and appropriately focus on the short - term gaming opportunities of near - maturity convertible bonds. Industries worthy of attention include popular themes, domestic demand - oriented sectors, and high - dividend sectors under the Chinese - characteristic valuation system [23]. 3. Summary According to Relevant Catalogs 3.1. Convertible Bond Weekly Special Topic and Outlook 3.1.1. How to View the Narrowing Downward - Revision Space? - This week, three convertible bonds (Jingke Convertible Bond, Lanfan Convertible Bond, and Yong 22 Convertible Bond) underwent downward - revision. Since September, the total number of actually downward - revised convertible bonds has slightly increased compared to August. The number of convertible bonds proposed for downward - revision in September is the same as that in August, and the willingness for downward - revision may have marginally increased [10]. - In general this year, the downward - revision gaming space has gradually narrowed. The proportion of convertible bonds with a parity in the (0, 80] range has decreased from 40.7% at the beginning of the year to 22.2%. The number of convertible bonds triggering downward - revision, proposing downward - revision, and actually undergoing downward - revision has shown a downward trend. The willingness for downward - revision has not significantly increased since the peak in February [10]. - In the future, with the shrinking number of convertible bonds meeting the downward - revision conditions, the focus should be on the individual bond's downward - revision willingness. Although the equity market may have short - term adjustments, the overall upward expectation is still strong. The number of convertible bonds meeting the downward - revision conditions may remain relatively low, but the gaming opportunities for downward - revision may increase due to the increasing number of convertible bonds entering the put - back period and approaching maturity. It is recommended to screen potential downward - revision targets and pay attention to factors affecting the gaming returns of downward - revision [18]. - Against the background of the narrowing overall downward - revision gaming space, attention should be paid to the opportunities of underlying assets related to the fundamental expectations of the underlying stocks of convertible bonds and relatively low valuations. Focus on the structural opportunities in the technology - growth direction, such as AI computing power, semiconductors, and humanoid robots. Also, pay attention to pro - cyclical and anti - involution beneficiary industries [20]. - Attention should be paid to low - price and low - premium varieties among high - rating and large - cap convertible bonds. Since the end of August, some "fixed - income +" funds have redeemed, causing short - term pressure on high - rating and large - cap convertible bonds. As market sentiment stabilizes, funds may flow back, and attention should be paid to signs of the shift in capital allocation preferences [21]. 3.1.2. Weekly Review and Market Outlook - This week, the A - share market fluctuated upward. Different sectors showed different performances on each trading day [22]. - In terms of the stock market outlook, the A - share market still shows good allocation cost - performance in terms of risk premium. The domestic economic fundamentals are expected to gradually recover, and the weak resonance between economic fundamentals and capital flows is expected to start. - In the convertible bond market, considering the impact of refinancing policies, there is certain support on the demand side under the background of shrinking supply. The opportunity cost of convertible bonds is relatively low, but the current overall valuation is at a relatively high level, so attention should be paid to the callback risk. In terms of terms and conditions, attention should be paid to the downward - revision gaming space, be vigilant against the forced - redemption risk, and appropriately focus on the short - term gaming opportunities of near - maturity convertible bonds. Industries worthy of attention include popular themes, domestic demand - oriented sectors, and high - dividend sectors under the Chinese - characteristic valuation system [23]. 3.2. Weekly Tracking of the Convertible Bond Market 3.2.1. The Equity Market Closed Higher - This week, the main equity market indices closed higher. The Wind All - A Index rose 0.25%, the Shanghai Composite Index rose 0.21%, the Shenzhen Component Index rose 1.06%, and the ChiNext Index rose 1.96%. The market style was more inclined to large - cap growth. Among the small - cap indices, the CSI 1000 Index fell 0.55%, and the STAR 50 Index rose 6.47% [27]. - Seven Shenwan industry indices rose, and 24 industries fell. The power equipment, non - ferrous metals, and electronics industries led the market with increases of 3.86%, 3.52%, and 3.51% respectively. The social services, comprehensive, and commercial retail industries ranked among the top three in terms of decline, with declines of 5.92%, 4.61%, and 4.32% respectively [31]. 3.2.2. The Convertible Bond Market Closed Higher, and the Whole - Market Conversion Premium Rate Rose - This week, the convertible bond market closed higher. The CSI Convertible Bond Index rose 0.94%, the Shanghai Convertible Bond Index rose 1.01%, the Shenzhen Convertible Bond Index rose 0.85%, the Wind Convertible Bond Equal - Weighted Index rose 0.63%, and the Wind Convertible Bond Weighted Index rose 0.93% [33]. - The average daily trading volume of the convertible bond market decreased this week. The average daily trading volume was 78.919 billion yuan, a decrease of 2.882 billion yuan compared with last week, and the total trading volume for the week was 394.597 billion yuan [33]. - At the industry level of convertible bonds, 21 industries closed higher, and 8 industries closed lower. The electronics, national defense and military industry, and power equipment industries ranked among the top three in terms of increase, with increases of 3.14%, 3.13%, and 1.66% respectively. The communication, coal, and social services industries led the decline. At the corresponding underlying stock level, 12 industries closed higher, and 17 industries closed lower. The electronics, non - ferrous metals, and steel industries ranked among the top three in terms of increase, with increases of 7.97%, 4.26%, and 3.45% respectively. The pharmaceutical biology, light industry manufacturing, and communication industries led the decline [36]. - Most individual convertible bonds rose this week (270 out of 426). After excluding the closing data of newly listed convertible bonds this week, the top five convertible bonds in terms of weekly increase were Jize Convertible Bond (public utilities, 25.83%), Huicheng Convertible Bond (electronics, 19.41%), Jingda Convertible Bond (power equipment, 18.90%), Anji Convertible Bond (electronics, 13.97%), and Hangyu Convertible Bond (national defense and military industry, 11.00%). The top five convertible bonds in terms of weekly decline were Borei Convertible Bond (pharmaceutical biology, - 33.90%), Jingxing Convertible Bond (light industry manufacturing, - 15.89%), Jingzhuang Convertible Bond (construction and decoration, - 14.04%), Tongguang Convertible Bond (power equipment, - 13.54%), and Tianlu Convertible Bond (building materials, - 13.27%). The top five convertible bonds in terms of weekly trading volume were Liyang Convertible Bond (electronics, 13.473 billion yuan), Huicheng Convertible Bond (electronics, 12.193 billion yuan), Jize Convertible Bond (public utilities, 10.531 billion yuan), Jingxing Convertible Bond (light industry manufacturing, 10.042 billion yuan), and Zhongqi Convertible Bond (building materials, 9.787 billion yuan) [39]. - In terms of price, the median price of convertible bonds increased. The number of absolute low - price convertible bonds (with an absolute price less than 110 yuan) increased by 1 compared with last week, the number of convertible bonds in the price range of 110 - 130 yuan decreased by 17, the number of convertible bonds in the price range of 130 - 150 yuan increased by 12, the number of convertible bonds in the price range of 150 - 200 yuan decreased by 1, and the number of convertible bonds with a price greater than 200 yuan remained unchanged. As of this Friday, the median price of the whole - market convertible bonds was reported at 130.32 yuan, an increase of 0.62 yuan compared with last weekend [42]. - The weighted conversion value of the whole market decreased, and the premium rate increased. The weighted average conversion value of the whole market based on the outstanding bond balance was 100.36 yuan, a decrease of 0.12 yuan compared with last weekend. The whole - market weighted conversion premium rate was 38.89%, an increase of 1.27 percentage points compared with last weekend. The weighted average conversion premium rate for convertible bonds with a parity in the range of 90 - 110 yuan was 25.58%, an increase of 1.90 percentage points compared with last weekend. The median conversion premium rate was 29.05%, an increase of 1.30 percentage points compared with last weekend. In the long - term perspective, the current conversion premium rate for convertible bonds with a parity of 100 yuan is above the 50th percentile level since 2017. The median implied volatility of the whole market was 36.89%, an increase of 2.51 percentage points compared with last weekend. The pure - bond premium rate of debt - biased convertible bonds was 10.00%, an increase of 0.57 percentage points compared with last weekend [45]. 3.2.3. High - Frequency Tracking of Different Types of Convertible Bonds 3.2.3.1. Classification Valuation Changes - This week, there was valuation differentiation in the convertible bond structure. The valuations of convertible bonds with a parity of 80 - 90 yuan and 90 - 100 yuan decreased, while the valuations of most other convertible bonds increased. The valuations of convertible bonds with a rating of A and below decreased, while the valuations of other rated convertible bonds increased. The valuations of convertible bonds in each scale category increased [55]. - Since the beginning of 2024, the conversion premium rates of equity - biased and balanced convertible bonds have both rebounded from the bottom. As of this Friday, the conversion premium rate of equity - biased convertible bonds is above the 35th percentile level since 2017, and the conversion premium rate of balanced convertible bonds is above the 50th percentile level since 2017 [55]. 3.2.3.2. Market Index Performance - All rated convertible bonds rose this week. The AAA - rated convertible bonds rose 0.52%, the AA + - rated convertible bonds rose 1.54%, the AA - rated convertible bonds rose 0.99%, the AA - - rated convertible bonds rose 1.16%, the A + - rated convertible bonds rose 0.69%, and the convertible bonds with a rating of A and below rose 0.06%. Since 2023, the AAA - rated convertible bonds have recorded a return of 17.49%, the AA + - rated convertible bonds have recorded a return of 14.80%, the AA - rated convertible bonds have recorded a return of 20.11%, the AA - - rated convertible bonds have recorded a return of 28.01%, the A + - rated convertible bonds have recorded a return of 28.30%, and the convertible bonds with a rating of A and below have recorded a return of 29.58%. Historically, high - rated AAA convertible bonds have shown stable performance, while low - rated convertible bonds have shown weaker anti - decline properties and greater rebound strength [65]. - All convertible bonds of different scales rose this week. The small - cap convertible bonds rose 0.10%, the small - and medium - cap convertible bonds rose 0.84%, the medium - cap convertible bonds rose 1.16%, and the large - cap convertible bonds rose 0.89%. Since 2023, the small - cap convertible bonds have recorded a return of 29.52%, the small - and medium - cap convertible bonds have recorded a return of 26.75%, the medium - cap convertible bonds have recorded a return of 23.90%, and the large - cap convertible bonds have recorded a return of 17.10% [67]. 3.3. Tracking of Convertible Bond Supply and Terms 3.3.1. This Week's Primary - Market Issuance Plans - Two convertible bonds (Jin 25 Convertible Bond and Yingliu Convertible Bond) have been issued but not yet listed this week. - The number of primary - market approvals this week was five (from September 22 to September 26, 2025). Jinlang Technology's 1.677 - billion - yuan convertible bond issuance plan has been approved by the CSRC [71]. - Since the beginning of 2023 to September 26, 2025, the total number of planned convertible bonds is 103, with a total scale of 161.397 billion yuan. Among them, the number of convertible bonds with the board of directors' resolution passed is 18, with a total scale of 20.669 billion yuan; the number of convertible bonds passed by the general meeting of shareholders is 46, with a total scale of 76.366 billion yuan; the number of convertible bonds accepted by the exchange is 25, with a total scale of 45.629 billion yuan; the number of convertible bonds passed by the listing committee is 8, with a total scale of 5.305 billion yuan; and the number of convertible bonds approved for registration by the CSRC is 6, with a total scale of 13.429 billion yuan [72]. 3.3.2. Downward - Revision and Redemption Clauses - As of September 26, 2025, the tracking of downward - revision and redemption clauses this week is as follows: - Six convertible bonds announced that they are expected to trigger downward - revision. - Six convertible bonds announced that they will not undergo downward - revision, among which Kangyi Convertible Bond, Xinneng Convertible Bond, Guangli Convertible Bond, and Gongtong Convertible Bond announced that they will not undergo downward - revision within six months. - Jingke Convertible Bond, Lanfan Convertible Bond, and Yong 22 Convertible Bond announced the results of downward - revision [75]. - Nine convertible bonds announced that they are expected to trigger redemption. - Two convertible bonds announced that they will not be redeemed in advance. - Two convertible bonds announced early redemption [77][78]. - As of the end of this week, there is still one convertible bond in the put - back declaration period and 20 convertible bonds in the company's capital - reduction settlement declaration period. Attention should be paid to the price changes of convertible bonds and the marginal changes in the company's downward - revision tendency [80].