【债券日报】：转债市场日度跟踪20251219-20251221

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - On December 19, the convertible bond market followed the underlying stocks and rose, with an increase in valuation [1]. - The small - cap value style was relatively dominant, and the trading sentiment in the convertible bond market heated up [1]. Summary by Related Catalogs Market Overview - Index performance: The CSI Convertible Bond Index rose 0.38% month - on - month, the Shanghai Composite Index rose 0.36%, the Shenzhen Component Index rose 0.66%, the ChiNext Index rose 0.49%, the SSE 50 Index rose 0.19%, and the CSI 1000 Index rose 0.79% [1]. - Market style: Small - cap value was relatively dominant. Large - cap growth rose 0.40%, large - cap value fell 0.17%, mid - cap growth rose 1.05%, mid - cap value rose 0.91%, small - cap growth rose 0.97%, and small - cap value rose 1.07% [1]. - Fund performance: The trading volume in the convertible bond market increased. The trading volume of the convertible bond market was 71.204 billion yuan, a month - on - month increase of 11.42%; the total trading volume of Wind All A was 1.748742 trillion yuan, a month - on - month increase of 4.29%; the net outflow of the main funds in the Shanghai and Shenzhen stock markets was 4.444 billion yuan, and the yield of the 10 - year treasury bond decreased by 0.48bp to 1.83% [1]. Convertible Bond Price - The convertible bond price center increased, and the proportion of high - price bonds rose. The weighted average closing price of convertible bonds was 132.77 yuan, a month - on - month increase of 0.35%. The closing price of equity - biased convertible bonds was 192.56 yuan, a month - on - month decrease of 1.43%; the closing price of debt - biased convertible bonds was 119.54 yuan, a month - on - month increase of 0.15%; the closing price of balanced convertible bonds was 129.14 yuan, a month - on - month increase of 0.14% [2]. - The proportion of bonds with a closing price above 130 yuan was 55.32%, a month - on - month increase of 1.58pct; the largest change occurred in the 110 - 120 (including 120) range, with a proportion of 9.09%, a month - on - month decrease of 1.5pct; there was 1 bond with a closing price below 100 yuan. The median price was 131.51 yuan, a month - on - month increase of 0.55% [2]. Convertible Bond Valuation - Valuation increased. The fitted conversion premium rate of 100 - yuan par value was 32.51%, a month - on - month increase of 0.14pct; the overall weighted par value was 99.53 yuan, a month - on - month increase of 0.86%. The premium rate of equity - biased convertible bonds was 15.45%, a month - on - month decrease of 0.27pct; the premium rate of debt - biased convertible bonds was 84.79%, a month - on - month decrease of 0.38pct; the premium rate of balanced convertible bonds was 26.39%, a month - on - month decrease of 0.10pct [2]. Industry Performance - On December 19, most underlying stock industries rose, with 27 industries rising. In the A - share market, the top three industries in terms of increase were commerce and retail (+3.66%), light industry manufacturing (+2.17%), and environmental protection (+2.06%); the top three industries in terms of decline were banking (-0.44%), electronics (-0.29%), and coal (-0.29%) [3]. - In the convertible bond market, 23 industries rose. The top three industries in terms of increase were environmental protection (+4.16%), building materials (+2.40%), and building decoration (+1.65%); the top three industries in terms of decline were non - bank finance (-1.26%), national defense and military industry (-0.16%), and pharmaceutical biology (-0.15%) [3]. - Closing price: The large - cycle sector increased by 1.53% month - on - month, the manufacturing sector increased by 0.49%, the technology sector increased by 0.21%, the large - consumption sector increased by 0.46%, and the large - finance sector decreased by 0.68% [3]. - Conversion premium rate: The large - cycle sector decreased by 1.5pct month - on - month, the manufacturing sector decreased by 0.33pct, the technology sector decreased by 0.96pct, the large - consumption sector decreased by 1.8pct, and the large - finance sector decreased by 0.86pct [3]. - Conversion value: The large - cycle sector increased by 2.65% month - on - month, the manufacturing sector increased by 0.69%, the technology sector increased by 0.99%, the large - consumption sector increased by 1.19%, and the large - finance sector decreased by 0.47% [3]. - Pure - bond premium rate: The large - cycle sector increased by 2.1pct month - on - month, the manufacturing sector increased by 0.75pct, the technology sector increased by 0.27pct, the large - consumption sector increased by 0.56pct, and the large - finance sector decreased by 0.79pct [4].