转债投资机构行为分析手册：非公募篇

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report focuses on non - public fund - type convertible bond investment institutions, aiming to analyze their convertible bond investment strategies and preferences to understand the pricing mechanism and investment strategies of the convertible bond market [10]. 3. Summary by Directory 3.1 Annuity - type Products 3.1.1 Annuity and Pension Product Investment Mechanisms - "Enterprise annuity" is a supplementary endowment insurance system established by enterprises and their employees on the basis of participating in the basic endowment insurance. It involves multiple institutions such as trustees, account managers, and investment managers [11]. - The investment scope of enterprise annuity funds includes various financial products, and pension products are standard investment portfolios for enterprise annuity funds. Small - scale investment portfolios should prioritize investing in pension products [16]. - By the end of 2024, the total number of enterprises with enterprise annuity reached 159,300, with 32.42 million insured employees and a cumulative fund of 3.6422 trillion yuan. The total convertible bond - holding scale of enterprise annuity was about 130 billion yuan, accounting for less than 5% of the direct investment scale [19][21]. - By the end of 2024, there were 649 registered pension products, with 578 in actual operation and a total net asset value of 2.434307 trillion yuan, accounting for about 70% of the enterprise annuity plan's end - of - period asset amount [25]. 3.1.2 Pension Product Convertible Bond Investment Analysis - Pension products are the second most frequently disclosed "top ten holders" of convertible bonds, but the average holding scale is not high. The holding scale reached a peak of 22.657 billion yuan at the end of 2023 and then declined [30]. - In terms of industry distribution, pension products mainly hold convertible bonds in industries such as power equipment, chemicals, medicine, and banks. Since 2022, they have stably over - allocated convertible bonds in industries such as coal, public utilities, transportation, and commercial retail [31]. - In terms of rating distribution, pension products under - allocated AAA convertible bonds from 2017 to 2022, over - allocated them from mid - 2023 to mid - 2024, and then under - allocated them again at the end of 2024. They have stably over - allocated AA convertible bonds and under - allocated A+ and below convertible bonds [33]. - In terms of price distribution, pension product holdings are mainly concentrated in the 100 - 120 yuan range, with a stable under - allocation of high - price convertible bonds above 130 yuan and a cautious attitude towards those in the 120 - 130 yuan range. Since mid - 2024, they have significantly under - allocated convertible bonds below 100 yuan [34]. 3.1.3 Differences among Different Pension Managers - Among fund companies, the convertible bond - holding scale of pension products managed by E Fund exceeded that of ICBC Credit Suisse Fund again in mid - 2023, reaching about 5.849 billion yuan at the end of 2024. The convertible bond - holding scale of pension products managed by ICBC Credit Suisse Fund has been stable above 4 billion yuan since the end of 2023 [37]. - Among insurance companies, the convertible bond - holding scale of pension products managed by Huatai Asset nearly doubled to 1.065 billion yuan at the end of 2024, while that of People's Pension Insurance decreased significantly from 1.51 billion yuan in mid - 2024 to 178 million yuan at the end of 2024. The convertible bond - holding scales of China Life Pension and Ping An Pension also increased significantly at the end of 2024 [37]. - Taking E Fund as an example, its pension products prefer convertible bonds in the power equipment industry. Since the end of 2020, they have continuously over - allocated convertible bonds in upstream resources, cyclical industries, and some consumer and financial industries, and under - allocated convertible bonds in machinery, TMT, and other industries. In terms of rating, they have continuously over - allocated AA convertible bonds, over - allocated AA - convertible bonds since mid - 2023, and under - allocated AAA convertible bonds since mid - 2024 [39]. 3.2 Social Security Fund (Council) - As of the end of 2024, the total assets under the trusteeship of the Social Security Fund Council were 2.84 trillion yuan for pension funds and 3.32 trillion yuan for social security funds, with a total direct investment scale of about 1.53 trillion yuan and a entrusted investment scale of about 4.12 trillion yuan. The total convertible bond - holding scale of the social security fund was about 1.6 billion yuan, accounting for about 1% of the direct investment scale [2]. - The social security fund significantly over - allocated bank convertible bonds at the end of 2023 and mid - 2024 (about 5pct) and stably under - allocated them at other times. It also significantly and stably over - allocated AA+ and AA convertible bonds [2]. 3.3 Insurance Companies and Insurance Asset Management 3.3.1 Investment Mechanisms of Insurance Companies and Insurance Asset Management - Insurance companies have both self - investment and entrusted investment by investment managers such as insurance asset management companies. Self - managed funds account for about 30% of the insurance company's fund utilization balance. Insurance asset management companies also accept entrusted investment funds from third - party customers such as enterprise annuities, social security funds, and bank wealth management, accounting for about 20% of their management scale [3]. - In 2023, the total investment asset scale of insurance asset management companies was 26.16 trillion yuan, mainly in bonds, insurance asset management products, and bank deposits. At the end of 2023, insurance - type institutions directly held convertible bonds worth about 5.5 billion yuan, accounting for less than 0.2% of the insurance company's fund utilization balance of 28 trillion yuan [3]. 3.3.2 Insurance Self - investment Convertible Bond Investment Analysis - Insurance companies continuously and stably under - allocate convertible bonds in the agriculture, forestry, animal husbandry, and fishery industries (under - allocation of about 5pct), overall stably over - allocate bank convertible bonds, with an over - allocation ratio of about 20pct at the end of 2023, and significantly over - allocate AAA convertible bonds at the same time. They also significantly under - allocate convertible bonds above 120 yuan [3]. 3.3.3 Insurance Asset Management Convertible Bond Investment Analysis - Since June 2022, insurance asset management products have stably over - allocated petrochemical convertible bonds. In mid - 2024 and at the end of 2024, they significantly over - allocated power equipment convertible bonds, stably over - allocated AA+ convertible bonds (with an over - allocation ratio of up to 50pct since the end of June 2024), stably under - allocated AA - and below convertible bonds, and stably under - allocated AAA convertible bonds since the end of 2021 [3]. 3.4 Securities Self - investment - Since the end of 2021, securities self - investment has stably over - allocated bank convertible bonds. Since June 2022 (except mid - 2024), it has overall stably and significantly over - allocated AAA convertible bonds and clearly prefers convertible bonds in the 100 - 110 yuan range [4]. 3.5 Private Asset Management 3.5.1 Asset Management Plan Convertible Bond Investment Analysis - Since the end of 2022, asset management plans have stably over - allocated power equipment convertible bonds and under - allocated AA - and below convertible bonds [4]. 3.5.2 Private Fund Convertible Bond Investment Analysis - Since the end of 2022, private funds have significantly over - allocated electronic convertible bonds, with higher investment scales from institutions such as Ruijun Asset [4]. 3.6 QFII - Many institutions have obtained QFII qualifications, but their investment scale in the convertible bond market is not high. Institutions such as Northwest Asset Management and UBS AG often appear on the "top ten holders" list, and the convertible bond investment of Northwest Asset Management is highly analyzable [4].