可转债市场周度跟踪：转债的杠杆性-20260112

Group 1 - The core viewpoint of the report highlights the "leverage" characteristic of convertible bonds, with the China Securities Convertible Bond Index rising by 4.45% last week, marking the second-highest weekly increase since "924" in 2024. This performance reflects a significant increase in investment interest in convertible bonds [2][9]. - The report emphasizes that convertible bonds exhibit "leverage" during bull markets, as their parity follows the rise of underlying stocks, and their valuation is a function of stock trends. This "dual-driven valuation" can lead to convertible bonds outperforming their underlying stocks in certain phases [3][12]. - The report notes that among 110 equity-type convertible bonds, only one has both the stock and the bond breaking previous highs, while 43 bonds have surpassed their previous highs without the corresponding stock doing so, indicating a strong performance of convertible bonds relative to their underlying stocks [17][20]. Group 2 - The report discusses the investment behavior of secondary bond funds, which have been gradually increasing their stock allocation while reducing their allocation to convertible bonds. This trend suggests a reflection of high valuations and declining cost-effectiveness of convertible bonds [22]. - It is noted that the implied volatility of convertible bonds has been consistently higher than the actual volatility of underlying stocks since late September 2025, indicating a potential break from historical patterns and reinforcing the leverage characteristic of convertible bonds [12][23]. - The report also highlights that the implied three-month yield has entered a warning zone of less than -5%, and indicators of market overheating have been triggered, suggesting that short-term trading risks should be closely monitored [4][28].