可转债周报：流动性冲击下，转债估值有所回落-20251201

Report Summary 1. Investment Rating The report does not mention the industry investment rating. 2. Core Viewpoints - Last week, the external environment improved significantly, and the equity market rebounded with fluctuations. The strength of small and micro - cap stocks boosted the underlying stocks of convertible bonds. However, due to the impact of Vanke's bond extension event, the convertible bond market was the primary target for "fixed - income +" funds to reduce positions during net redemptions because of its good liquidity, resulting in a slight decline and a significant digestion of the previously rapidly rising valuation level. The convertible bond ETFs were divided, with a total net redemption of RMB 1.345 billion in convertible bonds. - Looking ahead, factors such as the new regulations for bond funds and year - end profit - taking sentiment increase the uncertainty on the demand side of the convertible bond market, amplifying price fluctuations. However, the basic pattern of weak supply and strong demand in the convertible bond market is unlikely to change substantially, and the impact is expected to be limited. The large - cap bottom - position convertible bonds with rapidly falling valuations have significant left - hand layout value. In the short term, convertible bonds are expected to follow the equity market in a high - to - low, structural market. After the Central Economic Work Conference provides direction for the market, an end - of - year pre - emptive market is expected to start, with hard - tech, new - consumption, and anti - involution - related convertible bonds remaining the key directions [2]. 3. Summary by Directory Policy Tracking - On November 25, the National Energy Administration issued the "Implementation Opinions on Promoting High - Quality Development of 'Artificial Intelligence +' Energy", proposing eight categories of scenarios, 37 key tasks, and more than a hundred specific applications to accelerate the application of artificial intelligence in the energy field. It plans to organize "Artificial Intelligence +" energy pilot projects to explore a new paradigm for the integrated development of "Artificial Intelligence +" energy [3]. - On November 27, six ministries including the Ministry of Industry and Information Technology issued the "Implementation Plan for Enhancing the Adaptability of Consumer Goods Supply and Demand to Further Promote Consumption", proposing five measures and setting phased development goals. By 2027, three trillion - level consumption areas and ten billion - level consumption hotspots are expected to be formed [3]. Secondary Market - Equity Market: Last week, major equity market indices rose collectively. The Shanghai Composite Index, Shenzhen Component Index, and ChiNext Index rose by 1.40%, 3.56%, and 4.54% respectively. Overseas, the US retail data was lower than expected, and the core PPI increase also declined, leading to a resurgence of the December interest - rate cut expectation. Coupled with new progress in the Russia - Ukraine situation, most global capital markets rebounded, and commodities generally rose. Domestically, the equity market rebounded with fluctuations, but trading volume hit a nearly four - month low due to a wait - and - see attitude. Small and micro - cap stocks strengthened significantly, and there was policy speculation ahead of the Central Economic Work Conference. Vanke experienced a double - kill in stocks and bonds due to bond extension and market - based debt disposal rumors [5]. - Convertible Bond Market: Major convertible bond market indices fell collectively. The CSI Convertible Bond Index, Shanghai Convertible Bond Index, and Shenzhen Convertible Bond Index fell by 0.27%, 0.50%, and 0.01% respectively, with an average daily trading volume of RMB 61.571 billion, a marginal decrease of RMB 4.105 billion from the previous week. The convertible bond ETFs were divided, with a total net redemption of RMB 1.345 billion in convertible bonds. Structurally, small - cap convertible bonds outperformed last week, and low - rated and high - priced convertible bonds rose against the trend, while high - rated and large - cap convertible bonds underperformed. In terms of valuation, the conversion value of the convertible bond market increased marginally to the 75.3% quantile since 2020, but the convertible bond price decreased marginally, and the valuation level dropped significantly by 7.8 percentage points to the 49.9% quantile. In terms of trading sentiment, the trading activity of both underlying stocks and convertible bonds declined [7][8]. - Industry Performance: Most convertible bonds in various industries rose last week. Convertible bonds in the steel and building materials industries led with average increases of over 2% and 1%, respectively, while those in the food and beverage and transportation industries fell by over 0.5%. In terms of valuation, the average conversion premium rate quantile since 2020 decreased by 13.03 percentage points to the 48.07% quantile, and the median conversion premium rate quantile decreased by 11.35 percentage points to the 48.54% quantile. Convertible bonds in industries such as household appliances, food and beverage, building decoration, and automobiles followed the upward trend more slowly, and their valuation quantiles decreased by more than 20 percentage points [10]. - Individual Bonds: Among 401 convertible bonds, 208 rose and 181 fell. Among the rising bonds, Dazhong Convertible Bond and Chun 23 Convertible Bond led the market with increases of over 14% and 13% respectively, benefiting from the lithium - mining and consumer - electronics markets. Tianyuan Convertible Bond also strengthened significantly, rising by over 10%. Among the falling bonds, Bo 23 Convertible Bond, Wei 24 Convertible Bond, and Xinhua Convertible Bond fell significantly by over 14%, 9%, and 8% respectively under the expectation of early redemption [11]. Primary Market - Issuance and Listing: No new convertible bonds were issued last week, Zhuomei Convertible Bond was listed, and no convertible bonds were delisted. As of November 28, the outstanding scale of the convertible bond market was RMB 565.308 billion, a decrease of RMB 168.585 billion from the beginning of the year and a decrease of RMB 33.28 billion from the previous week. Zhuomei Convertible Bond had a 57.3% daily limit on the first - listing day and rose by over 74.9% in the first week, with a conversion premium rate of 92.69% as of last Friday, exceeding the market median level [30]. - Conversion and Redemption: Ten convertible bonds had a conversion ratio of over 5% last week, an increase of three from the previous week. Among them, Qibin Convertible Bond, Wei 24 Convertible Bond, Hongfa Convertible Bond, and Yuguang Convertible Bond announced early redemption, and Xinhua Convertible Bond and Yong 02 Convertible Bond announced that they were about to trigger early redemption. Mingdian Zhuan 02, Fenghuo Convertible Bond, Ying 19 Convertible Bond, and Dongfeng Convertible Bond are about to expire and be delisted [31]. - Issuance Progress: The issuance of convertible bonds by Shang Sheng Electronics was approved by the exchange, and the issuance of convertible bonds by Lianrui New Materials was approved by the CSRC. As of last Friday, seven convertible bonds were approved by the CSRC and waiting to be issued, with a total scale of RMB 4.718 billion, and six convertible bonds passed the review committee, with a total scale of RMB 7.458 billion [32]. - Clause Tracking: No convertible bonds announced a downward revision of the conversion price last week, and four convertible bonds announced early redemption. Tianneng Convertible Bond and Lanfan Convertible Bond announced that the board of directors proposed a downward revision of the conversion price; Sanfang Convertible Bond and Jin 23 Convertible Bond announced no downward revision of the conversion price; Qixiang Zhuan 2, Changhong Convertible Bond, and Lepu Zhuan 2 announced that they were about to trigger the condition for a downward revision of the conversion price. Zhongneng Convertible Bond, Hongfa Convertible Bond, Wei 24 Convertible Bond, and Zhongqi Convertible Bond announced early redemption; Fuxin Convertible Bond announced no early redemption; Nenghui Convertible Bond, Meinuo Convertible Bond, Shenglan Convertible Bond, Limin Convertible Bond, Huamao Convertible Bond, and Xinhua Convertible Bond announced that they were expected to trigger the early - redemption condition [34].