转债市场日度跟踪20251010-20251011

Report Industry Investment Rating No relevant content provided. Core Viewpoints - Today, convertible bonds followed the decline of underlying stocks, and the valuation compressed on a month - on - month basis [1]. - The trading sentiment in the convertible bond market heated up, while the overall market capitalization decreased [1]. - The large - cap value style was relatively dominant [1]. Summary by Related Catalogs Market Overview - Index performance: The CSI Convertible Bond Index decreased by 0.45% month - on - month, the Shanghai Composite Index decreased by 0.94%, the Shenzhen Component Index decreased by 2.70%, the ChiNext Index decreased by 4.55%, the SSE 50 Index decreased by 1.51%, and the CSI 1000 Index decreased by 1.49% [1]. - Market style: Large - cap growth decreased by 3.45%, large - cap value increased by 0.50%, mid - cap growth decreased by 2.74%, mid - cap value increased by 0.15%, small - cap growth decreased by 2.24%, and small - cap value increased by 0.13% [1]. - Fund performance: The trading volume of the convertible bond market was 70.395 billion yuan, a 7.69% month - on - month increase; the total trading volume of the Wind All - A Index was 2.534146 trillion yuan, a 5.15% month - on - month decrease; the net outflow of main funds from the Shanghai and Shenzhen stock markets was 92.96 billion yuan, and the yield of the 10 - year Treasury bond decreased by 0.06bp to 1.85% [1]. Convertible Bond Price - The central price of convertible bonds decreased, and the proportion of high - price bonds decreased. The weighted average closing price of convertible bonds was 132.54 yuan, a 0.45% decrease from yesterday. The closing price of equity - biased convertible bonds was 183.44 yuan, a 1.22% increase; the closing price of bond - biased convertible bonds was 118.86 yuan, a 0.06% decrease; the closing price of balanced convertible bonds was 128.15 yuan, with no change [2]. - The proportion of high - price bonds above 130 yuan was 57.97%, a 1.36 - percentage - point decrease from yesterday. The proportion of bonds in the 120 - 130 yuan range increased by 2.44 percentage points to 29.47%. There were no bonds with a closing price below 100 yuan. The median price was 132.31 yuan, a 0.37% decrease from yesterday [2]. Convertible Bond Valuation - Valuation compressed. The fitted conversion premium rate of 100 - yuan par value was 30.39%, a 0.17 - percentage - point decrease from yesterday; the overall weighted par value was 101.40 yuan, a 0.76% decrease from yesterday. The premium rate of equity - biased convertible bonds was 10.70%, a 0.02 - percentage - point increase; the premium rate of bond - biased convertible bonds was 86.97%, a 4.02 - percentage - point increase; the premium rate of balanced convertible bonds was 25.33%, a 0.52 - percentage - point increase [2]. Industry Performance - In the A - share market, 18 industries rose. The top three industries in terms of increase were building materials (+1.92%), coal (+1.37%), and textile and apparel (+1.30%); the top three industries in terms of decline were electronics (-4.71%), power equipment (-4.46%), and computer (-3.70%) [3]. - In the convertible bond market, 14 industries rose. The top three industries in terms of increase were beauty care (+2.25%), steel (+1.06%), and banking (+0.69%); the top three industries in terms of decline were environmental protection (-5.77%), communication (-3.12%), and electronics (-2.81%) [3]. - Closing price: The large - cycle sector decreased by 0.88%, the manufacturing sector decreased by 0.67%, the technology sector decreased by 2.27%, the large - consumption sector decreased by 0.10%, and the large - finance sector increased by 0.42% [3]. - Conversion premium rate: The large - cycle sector decreased by 0.79 percentage points, the manufacturing sector increased by 0.8 percentage points, the technology sector increased by 0.58 percentage points, the large - consumption sector increased by 0.34 percentage points, and the large - finance sector decreased by 0.15 percentage points [3]. - Conversion value: The large - cycle sector decreased by 0.50%, the manufacturing sector decreased by 0.97%, the technology sector decreased by 2.61%, the large - consumption sector increased by 0.28%, and the large - finance sector increased by 0.71% [3]. - Pure bond premium rate: The large - cycle sector decreased by 1.3 percentage points, the manufacturing sector decreased by 0.93 percentage points, the technology sector decreased by 3.6 percentage points, the large - consumption sector decreased by 0.19 percentage points, and the large - finance sector increased by 0.49 percentage points [4]. Industry Rotation - Building materials, coal, and textile and apparel led the rise. For example, building materials had a daily increase of 1.92% in the underlying stock market and 0.64% in the convertible bond market; coal had a daily increase of 1.37% in the underlying stock market and 0.37% in the convertible bond market; textile and apparel had a daily increase of 1.30% in the underlying stock market and - 0.10% in the convertible bond market [59].