可转债专题：转债市场指数化趋势加深，带来哪些市场变化？

1. Report's Investment Rating for the Industry - No information provided regarding the report's investment rating for the industry. 2. Core Viewpoints of the Report - In 2025, the scale of domestic ETF products exceeded 6 trillion yuan, making China the largest ETF market in Asia. As of the end of February 2026, the proportion of convertible bond ETFs in the convertible bond market reached 14.61%, up 8.07 pcts from February 2025. The indexation degree and development speed of the convertible bond market are significantly faster than those of the equity market and other bond markets. In 2026, the indexation of the convertible bond market is expected to deepen further [3]. - Since 2025, the expansion and contraction of convertible bond ETFs have shown obvious right - hand characteristics, mainly influenced by investors' judgments on the future of convertible bond assets. The expansion of convertible bond ETFs has a structural impact on the convertible bond market, benefiting medium - to high - rated, medium - to large - cap convertible bonds more, and also providing liquidity support to more individual bonds [3]. 3. Summary by Relevant Catalogs 3.1 Current Situation of Convertible Bond ETFs and the Indexation of the Convertible Bond Market - In 2025, the China Securities Regulatory Commission issued an action plan, triggering a wave of index - based investment in the capital market. The scale of domestic ETF products increased by 62.16% from the beginning of the year, surpassing 6 trillion yuan [4]. - As of the end of February 2026, there were only two convertible bond ETF products, while there were 1127 equity - based ETFs and 51 other bond ETFs. However, the proportion of convertible bond ETFs in the convertible bond market was 14.61%, much higher than that of equity - based ETFs in the equity market (3.06%) and other bond ETFs in the bond market (0.33%) [5]. - The core reason for the increasing indexation of the convertible bond market is that as the difficulty of bond selection rises, convertible bond ETFs are favored by institutional investors due to their highly diversified holdings, high transparency, low fees, and convenient trading. In the semi - annual report of 2025, the proportion of institutional investors in convertible bond ETFs was 98.65% [6]. - In 2026, with the "bull market" expectation in the equity market remaining unchanged and the bond market fluctuating at a low level, convertible bonds are still an important way for bond market funds to increase returns. The indexation of the convertible bond market is expected to deepen further. Since 2026, the scale of convertible bond ETFs has been growing steadily, and the proportion of their trading volume has also increased significantly [9]. 3.2 Characteristics of the Scale Changes of Convertible Bond ETFs - Since 2025, the scale changes of convertible bond ETFs have been highly correlated with the performance of the convertible bond market. The expansion mainly occurs after the upward trend of the convertible bond market price is clear and often drives up the convertible bond valuation. When the convertible bond valuation peaks and starts to decline, the scale of convertible bond ETFs begins to shrink [13][15]. - The scale change of convertible bond ETFs is mainly dominated by the Bosera ETF, whose scale accounts for 84.61% of the total convertible bond ETF scale. The Haitongtong ETF has more volatile scale changes due to its smaller size and fewer investors. Its annualized volatility from 2025 to February 2026 was 37.20%, significantly higher than the Bosera ETF's 17.34% [15]. 3.3 Structural Impact of the Expansion of Convertible Bond ETFs 3.3.1 Impact on Different Types of Convertible Bonds - Due to the low - risk preference of the two convertible bond ETFs, the expansion of convertible bond ETFs is more beneficial to medium - to high - rated, medium - to large - cap convertible bonds, as well as higher - priced convertible bonds and new bonds with unlisted shares. The correlation coefficient between the scale of convertible bond ETFs and the price of medium - to high - rated convertible bonds is over 90%, while that of low - rated convertible bonds is only 75.54%. Higher - priced convertible bonds are more likely to be increased in allocation, but the highest - priced convertible bonds are often reduced or excluded [23][24][26]. - In terms of the market value of the underlying stocks, convertible bond ETFs are more beneficial to medium - to large - cap convertible bonds whose underlying stocks belong to the CSI 300 and CSI 500. The correlation coefficients are 93.29% and 93.54% respectively. The correlation coefficient of small - cap convertible bonds whose underlying stocks belong to the CSI 1000 is the lowest at 79.30% [27]. - Convertible bond ETFs have a structural positive impact on new bonds with unlisted shares. The correlation coefficient between the price of such bonds and the scale of convertible bond ETFs is 91.54%, 3.15 pcts higher than that of bonds without unlisted shares [28]. 3.3.2 Impact on the Liquidity of Convertible Bonds - Since the second half of 2024, as the scale of convertible bond ETFs has increased rapidly, the proportion of their trading volume in the total convertible bond market trading volume has also risen. The trading volume of convertible bond ETFs is negatively correlated with the concentration of the convertible bond market trading volume, providing liquidity support to more individual bonds [30]. - Medium - to high - rated, medium - to large - cap convertible bonds, and non - weighted bonds have received more liquidity support. The correlation coefficient between the trading volume of medium - to high - rated convertible bonds and convertible bond ETFs is over 70%, while that of low - rated convertible bonds is only 13.37%. The correlation coefficient between non - weighted bonds and convertible bond ETFs is 75.81%, significantly higher than that of weighted bonds (16.95%) [33][34]. - The expansion and increased activity of convertible bond ETFs have the most obvious impact on improving the liquidity of medium - sized convertible bonds with a remaining scale of 10 - 50 billion yuan. During the active trading period of convertible bond ETFs, the trading volume of convertible bonds in this scale range has increased significantly, and the correlation between their trading volume and that of convertible bond ETFs is also at a high level [38][39][45].