转债周度专题：风格切换，往后怎么看？-20251020

1. Report Industry Investment Rating - Not provided in the content 2. Report's Core View - Maintain a relatively neutral attitude towards convertible bonds as a whole, considering the high valuation, potential institutional profit - taking in Q4, external risks, and possible credit risks near the performance period. Wait for opportunities when the market further corrects and the cost - performance improves. Also, pay attention to the Fourth Plenary Session of the Central Committee and uncertainties like Trump's tariff events [2][16] - Focus on three types of convertible bond structural opportunities: high - rated and large - cap style convertible bonds, opportunities for improved cost - performance in the technology growth direction after correction, and high - quality new bonds [3][17][18] 3. Summary According to Relevant Catalogs 3.1.转债周度专题与展望 3.1.1. 风格切换，往后怎么看？ - This week, the A - share equity and convertible bond markets declined overall, with a style shift. Large - cap value industries such as banking and coal outperformed technology growth sectors. The possible reasons for the style shift include the over - prominent structural market of technology sectors in Q3, leading to high valuations and crowding, year - end portfolio adjustment and defensive needs in Q4, and external risks and market sentiment disturbances [1][10][11] - For convertible bonds, maintain a neutral view. High - rated and large - cap convertible bonds showed better resilience, and investors can focus on high - rated and large - cap style convertible bonds, opportunities in the technology growth direction after correction, and high - quality new bonds [15][16][18] 3.1.2. 周度回顾与市场展望 - This week, the A - share market declined, with the ChiNext and STAR Market leading the fall. The risk - return ratio indicates that the A - share market still has good allocation value, and the weak resonance between the economic fundamentals and capital flows is expected to gradually start [19] - In the convertible bond market, considering the impact of refinancing policies, there is some support on the demand side under the background of shrinking supply. Given the low long - term yield of pure bonds, the opportunity cost of convertible bonds is relatively low, but be vigilant against correction risks. Pay attention to the game space of downward revisions, beware of forced redemptions, and appropriately focus on short - term game opportunities of near - maturity convertible bonds [20] - Industries to focus on include popular themes, domestic demand - oriented sectors, and high - dividend sectors under the China - specific valuation system [23] 3.2. 转债市场周度跟踪 3.2.1. 权益市场收跌 - This week, major equity market indices declined. The Wind All - A Index fell 3.45%, the Shanghai Composite Index fell 1.47%, and the Shenzhen Component Index fell 4.99%. The market style favored large - cap growth stocks. Among small - cap indices, the CSI 1000 fell 4.62% and the STAR 50 fell 6.16% [24] - Four Shenwan industry indices rose, and 27 declined. Banking, coal, and food and beverage industries led the gains, while electronics, media, and automobiles led the losses [28] 3.2.2. 转债市场收跌，全市场转股溢价率上行 - This week, the convertible bond market declined. The CSI Convertible Bond Index fell 2.35%, the Shanghai Convertible Bond Index fell 2.17%, and the Shenzhen Convertible Bond Index fell 2.63%. The average daily trading volume increased, with an average daily trading volume of 68.844 billion yuan, an increase of 0.961 billion yuan from last week, and a total weekly trading volume of 344.218 billion yuan [3][30] - At the industry level, one industry rose and 28 declined. The banking industry rose 1.09%, while electronics, non - ferrous metals, and communication industries led the decline. Most individual convertible bonds fell (367 out of 413). The median convertible bond price decreased [34][36][39] - The weighted conversion value of the whole market decreased, and the premium rate increased. The weighted conversion premium rate of the whole market was 40.23%, an increase of 1.18 pct from last weekend. The 100 - par premium rate decreased. The median implied volatility of the whole market decreased, and the pure - bond premium rate of debt - biased convertible bonds increased [4][41] 3.2.3. 不同类型转债高频跟踪 3.2.3.1. 分类估值变化 - This week, the valuations of convertible bonds in all categories increased, including those of different par values, ratings, and scales. Since the beginning of 2024, the conversion premium rates of equity - biased and balanced convertible bonds have rebounded from the bottom. As of Friday, the conversion premium rate of equity - biased convertible bonds is above the 35th percentile since 2017, and that of balanced convertible bonds is above the 50th percentile since 2017 [52] 3.2.3.2. 市场指数表现 - This week, AAA - rated convertible bonds rose, while other rated convertible bonds fell. Since 2023, high - rated AAA convertible bonds have shown stable performance, while low - rated convertible bonds have shown weaker resilience and greater rebound strength [66] - This week, convertible bonds of all scales declined. Since 2023, small - cap convertible bonds have recorded a 26.82% return, medium - small - cap convertible bonds 25.64%, medium - cap convertible bonds 22.32%, and large - cap convertible bonds 17.81% [69] 3.3. 转债供给与条款跟踪 3.3.1. 本周一级预案发行 - This week, there were no newly listed convertible bonds, and 4 convertible bonds were issued but not yet listed. The number of first - level approvals was 7. Since the beginning of 2023 to October 17, 2025, there have been 103 convertible bond plans in total, with a total scale of 159.263 billion yuan [73][74] 3.3.2. 下修&赎回条款 - This week, 7 convertible bonds announced that they were expected to trigger downward revisions, 9 announced no downward revisions, and Zhengchuan Convertible Bond announced the result of a downward revision. Six convertible bonds announced that they were expected to trigger redemptions, 5 announced no early redemptions, and 5 announced early redemptions. As of the end of this week, 2 convertible bonds were still in the put - option declaration period, and 12 were in the company's capital - reduction settlement declaration period [5][77][84]