1. Report Industry Investment Rating No information provided in the given content. 2. Core Viewpoints of the Report - Last week, the stock market continued to adjust, with a significant style shift. The previously leading precious metals, communication, and electronics sectors had deep pullbacks, while funds flowed to relatively undervalued sectors such as liquor, beauty care, and coal. The bond market was generally volatile, with yields rising initially due to liquidity pressure and then sentiment gradually improving. The convertible bond market had more than half of the individual bonds rising, with the CSI Convertible Bond Index up 0.05% for the week, the median price up 0.69%, the arithmetic average parity down 1.74%, and the overall market conversion premium rate up 0.92% compared to the previous week [1][7][8]. - From February 9 - 13, the convertible bond market continued to deeply adjust with compressed valuations on Monday but quickly recovered on Tuesday. There were unexpected redemptions of some convertible bonds during the week, and institutions showed a strong demand for convertible bonds. After short - term liquidity disturbances, the spring rally is expected to continue. It is recommended to focus on convertible bonds with appropriate performance and valuation levels, especially in the growth technology sector, and avoid high - redemption - risk targets [2][19][20]. 3. Summary According to Relevant Catalogs Market Trends (2026/2/2 - 2026/2/6) - **Stock Market**: The market continued to adjust with shrinking trading volume and a significant style shift. Different sectors showed different performances each day. Most Shenwan primary industries rose, with food and beverage (4.31%), beauty care (3.69%), and power equipment (2.20%) leading the gains, while non - ferrous metals (-8.51%), communication (-6.95%), and electronics (-5.23%) lagged [7][8]. - **Bond Market**: It was generally volatile. Yields rose initially due to weak PMI data, commodity and equity market fluctuations, and liquidity pressure. Later, sentiment improved supported by factors such as the central bank's larger - than - expected bond purchases in January and stable local bond issuance. The 10 - year Treasury bond rate closed at 1.81% on Friday, down 0.1bp from the previous week [8]. - **Convertible Bond Market**: More than half of the individual convertible bonds rose. The CSI Convertible Bond Index was up 0.05% for the week, the median price was up 0.69%, the arithmetic average parity was down 1.74%, and the overall market conversion premium rate was up 0.92% compared to the previous week. The arithmetic average conversion premium rates of convertible bonds in the [90,100), [100,110), and [110,120) parity ranges changed by +4.58%, -0.30%, and +1.86% respectively, and were at the 99%, 100%, and 99% percentile values since 2023. Most industries in the convertible bond market rose, with social services (11.45%), national defense and military industry (2.23%), and environmental protection (2.06%) leading, while computer (-3.91%), electronics (-3.30%), and non - bank finance (-3.14%) lagged. The total trading volume of the convertible bond market last week was 4058.40 billion yuan, with an average daily trading volume of 811.68 billion yuan, slightly lower than the previous week [8][12][17]. Valuation Overview As of February 6, 2026, for equity - biased convertible bonds, the average conversion premium rates in the 80 - 90 yuan, 90 - 100 yuan, 100 - 110 yuan, 110 - 120 yuan, 120 - 130 yuan, and over 130 yuan parity ranges were 59.42%, 45.57%, 36.37%, 28.64%, 19.99%, and 20.43% respectively, at high percentile values since 2010 and 2021. For bond - biased convertible bonds with a parity below 70 yuan, the average YTM was -5.24%, at the 1%/2% percentile values since 2010/2021. The average implied volatility of all convertible bonds was 52.09%, at the 97%/100% percentile values since 2010/2021, and the difference between the convertible bond implied volatility and the long - term actual volatility of the underlying stock was 10.43%, at the 97%/100% percentile values since 2010/2021 [21]. Primary Market Tracking - **Last Week (2026/2/2 - 2026/2/6)**: Haitian Convertible Bond announced its issuance, and Shangtai Convertible Bond was listed. Haitian Convertible Bond has a scale of 801 million yuan, and the funds will be used for water supply and sewage treatment projects and to supplement working capital. Shangtai Convertible Bond has a scale of 1.734 billion yuan, and the funds will be used for a lithium - battery anode material project [28][29]. - **Future Outlook**: As of February 6, there are no announcements of convertible bond issuance and listing in the coming week. Last week, 4 companies passed the listing committee review, 2 were accepted by the exchange, and 1 passed the shareholders' meeting. Currently, there are 99 convertible bonds to be issued, with a total scale of 154.85 billion yuan, including 7 that have been approved for registration with a total scale of 5.36 billion yuan and 4 that have passed the listing committee review with a total scale of 4.52 billion yuan [30].

1. Report Industry Investment Rating No information about the report industry investment rating is provided in the given content. 2. Core Viewpoints - On February 2, most industries in the convertible bond market experienced corrections, and valuations compressed on a month - on - month basis. The trading sentiment in the convertible bond market weakened, and multiple market indices declined [1]. - The convertible bond price center decreased, and the proportion of high - priced bonds dropped. Valuations also compressed, with different types of convertible bonds showing various price and valuation changes [2]. - The underlying stocks in most industries fell in the A - share and convertible bond markets. Only a few industries such as food and beverage, and banking in the A - share market, and the light manufacturing industry in the convertible bond market rose [3]. 3. Summary by Relevant Catalogs I. Market Main Index Performance - Multiple market indices declined on February 2. The CSI Convertible Bond Index decreased by 2.39% month - on - month, the Shanghai Composite Index by 2.48%, the Shenzhen Component Index by 2.69%, the ChiNext Index by 2.46%, the SSE 50 Index by 2.07%, and the CSI 1000 Index by 3.39%. In terms of market styles, large - cap value stocks were relatively dominant [1][7]. II. Market Fund Performance - The trading volume in the convertible bond market decreased. The trading volume of the convertible bond market was 76.16 billion yuan, a 7.15% month - on - month decrease; the total trading volume of the Wind All - A was 2606.638 billion yuan, an 8.94% month - on - month decrease. The net outflow of main funds from the Shanghai and Shenzhen stock markets was 53.977 billion yuan, and the yield of the 10 - year Treasury bond rose by 0.88bp to 1.82% [1]. III. Convertible Bond Price and Valuation - Convertible Bond Price: The weighted average closing price of convertible bonds was 137.99 yuan, a 2.14% month - on - month decrease. The closing price of equity - biased convertible bonds was 218.00 yuan, a 5.16% month - on - month increase; that of bond - biased convertible bonds was 120.49 yuan, a 1.84% month - on - month decrease; and that of balanced convertible bonds was 132.26 yuan, a 0.27% month - on - month decrease. The proportion of high - priced bonds above 130 yuan was 69.76%, a 5.04pct month - on - month decrease [2]. - Convertible Bond Valuation: The fitted conversion premium rate of 100 - yuan par value was 35.71%, a 1.40pct month - on - month decrease; the overall weighted par value was 101.95 yuan, a 2.78% month - on - month decrease. The premium rate of equity - biased convertible bonds was 19.84%, a 0.23pct month - on - month increase; that of bond - biased convertible bonds was 88.47%, a 5.59pct month - on - month decrease; and that of balanced convertible bonds was 28.94%, a 0.33pct month - on - month decrease [2]. IV. Industry Performance - A - share Market: 28 industries fell, with the top three decliners being non - ferrous metals (-7.62%), steel (-5.93%), and basic chemicals (-5.69%); only two industries rose, namely food and beverage (+1.11%) and banking (+0.17%) [3]. - Convertible Bond Market: 27 industries fell, with the top three decliners being non - ferrous metals (-4.62%), automobiles (-4.57%), and media (-4.13%); the only rising industry was light manufacturing (+10.53%) [3]. - Different Industry Indicators: In terms of closing prices, large - cycle decreased by 2.73%, manufacturing by 0.25%, technology by 3.07%, large - consumption by 1.67%, and large - finance by 1.47%. In terms of conversion premium rates, large - cycle increased by 2.0pct, manufacturing decreased by 0.6pct, technology increased by 0.29pct, large - consumption decreased by 0.28pct, and large - finance increased by 1.3pct. In terms of conversion values, large - cycle decreased by 4.06%, manufacturing increased by 1.65%, technology decreased by 3.03%, large - consumption decreased by 2.02%, and large - finance decreased by 2.55%. In terms of pure bond premium rates, large - cycle decreased by 4.0pct, manufacturing decreased by 0.96pct, technology decreased by 5.7pct, large - consumption decreased by 2.2pct, and large - finance decreased by 1.7pct [3]. V. Industry Rotation - Only the food and beverage and banking industries rose. The food and beverage industry had a daily increase of 1.11% in the underlying stocks and - 1.67% in convertible bonds; the banking industry had a daily increase of 0.17% in the underlying stocks and - 0.15% in convertible bonds. Other industries mostly declined [58].

1. Report Industry Investment Rating - No industry investment rating is provided in the report. 2. Core Viewpoints of the Report - The sustainability of the polarized valuation depends on the direction of the equity market. The report makes three conjectures about the possible trends of the equity market and formulates corresponding convertible bond response plans [2][20]. - In the case of convertible bond prices and valuation indicators approaching the historical 100% quantile, if the spring rally continues, the Shanghai Composite Index breaks through 4200, and the market style shifts from small - cap to large - cap stocks, it is recommended to select individual convertible bonds in the growth technology sector [2][20]. - If the broad - based index continues the January shock trend and the small - cap style remains dominant, it is advisable to focus on core targets in popular sectors [2][20]. - If the equity market turns down, it is recommended to reduce positions first and then pay attention to defensive sectors [2][20]. 3. Summary by Relevant Catalogs Market Trends (2026/1/26 - 2026/1/30) Stock Market - The daily trading volume of the market remained high last week, with rapid rotation among sectors. The precious metals sector led the gains but had a large decline on Friday. Affected by the potential conflict risk between the US and Iran, the oil price soared, driving the performance of the A - share oil and gas sectors. The previous popular sectors such as commercial aerospace and space photovoltaics had significant corrections [8]. - Most of the Shenwan primary industries declined last week. The top - performing sectors were petroleum and petrochemicals (7.95%), communication (5.83%), coal (3.68%), non - ferrous metals (3.37%), and agriculture, forestry, animal husbandry, and fishery (1.82%); the bottom - performing sectors were national defense and military industry (-7.69%), power equipment (-5.10%), automobiles (-5.08%), and computers (-4.77%) [9]. Bond Market - The central bank's open - market operations were mainly net injections last week, and the capital market changed from tight to loose. The bond market sentiment was generally strong due to the intensified volatility of the equity market, frequent positive signals from the monetary policy, and rumors about new monetary policy tools. The 10 - year Treasury bond yield closed at 1.81% on Friday, down 1.86bp from the previous week [9]. Convertible Bond Market - Most convertible bond issues declined last week. The CSI Convertible Bond Index fell 2.61% for the whole week, the median price dropped 2.22%, and the calculated arithmetic average parity decreased 3.70% for the whole week. The overall market conversion premium rate increased 1.12% compared with the previous week [1][9]. - Most industries in the convertible bond market declined last week. The top - performing sectors were coal (0.57%), banks (-0.84%), agriculture, forestry, animal husbandry, and fishery (-0.87%), and building materials (-1.07%); the bottom - performing sectors were social services (-8.65%), national defense and military industry (-6.45%), computers (-5.51%), and electronics (-4.88%) [13]. - At the individual bond level, Tianzhun (machine vision), Baichuan Zhuan 2 (fine chemicals), Outong (data center power supply), Haomei (aluminum profiles), and Yunji (transportation machinery) led the gains; Xinzhi (AI application), Hangyu (commercial aerospace), Dongshi (driver training), Guanzhong (ecological restoration), and Huicheng (waste catalyst treatment) convertible bonds led the losses [1][14]. - The total trading volume of the convertible bond market last week was 422.855 billion yuan, with an average daily trading volume of 84.571 billion yuan, a slight decrease from the previous week [18]. Valuation Overview - As of January 30, 2026, for equity - biased convertible bonds, the average conversion premium rates for bonds with a parity in the ranges of 80 - 90 yuan, 90 - 100 yuan, 100 - 110 yuan, 110 - 120 yuan, 120 - 130 yuan, and above 130 yuan were 61.11%, 40.98%, 36.66%, 26.78%, 20.18%, and 20.8% respectively, at the 100%/100%, 98%/99%, 99%/100%, 98%/99%, 96%/99%, and 99%/99% quantiles since 2010/2021 [21]. - For bond - biased convertible bonds, the average YTM of bonds with a parity below 70 yuan was -4.65%, at the 1%/3% quantiles since 2010/2021 [21]. - The average implied volatility of all convertible bonds was 49.75%, at the 95%/99% quantiles since 2010/2021. The difference between the convertible bond implied volatility and the long - term actual volatility of the underlying stock was 8.36%, at the 96%/98% quantiles since 2010/2021 [21]. Primary - Market Tracking - No convertible bonds were announced for issuance last week (2026/1/26 - 2026/1/30). Lianrui Convertible Bond and Naipu Zhuan 02 were listed [28]. - Lianrui Convertible Bond (118064.SH): The underlying stock is Lianrui New Materials (688300.SH), belonging to the basic chemical industry. As of January 30, its market value was 16.128 billion yuan. The issued convertible bond scale is 695 million yuan, with a credit rating of AA. The funds after deducting issuance fees are planned for specific projects [28]. - Naipu Zhuan 02 (123265.SZ): The underlying stock is Naipu Mining Machinery (300818.SZ), belonging to the machinery equipment industry. As of January 30, its market value was 8.368 billion yuan. The issued convertible bond scale is 450 million yuan, with a credit rating of A+. The funds after deducting issuance fees are used for a project in Peru and to supplement working capital [29]. - As of the announcement on January 30, there are no convertible bonds announced for issuance or listing in the next week (2026/2/2 - 2026/2/6). Last week (2026/1/19 - 2026/1/23), 4 companies' applications were newly accepted by the exchange, 4 companies' plans passed the general meeting of shareholders, and 3 companies announced board plans. As of now, there are 100 convertible bonds awaiting issuance, with a total scale of 155.9 billion yuan, among which 8 have been approved for registration, with a total scale of 6.16 billion yuan [30][31].

债券研究 证 券 研 究 报 告 【债券日报】 转债市场日度跟踪 20260130 ❖ 市场概况：今日多数行业回调，估值环比压缩 转债价格：转债中枢下降，高价券占比下降。转债整体收盘价加权平均值为 140.94 元，环比昨日下降 1.31%。其中偏股型转债的收盘价为 206.54 元，环比 下降 0.72%；偏债型转债的收盘价为 122.74 元，环比下降 0.75%；平衡型转债 的收盘价为 132.62 元，环比下降 1.60%。从转债收盘价分布情况看，130 元以 上高价券个数占比 74.73%，较昨日环比下降 3.13pct；占比变化最大的区间为 120-130（包含 130），占比 19.95%，较昨日上升 3.15pct；收盘价在 100 元以下 的个券有 0 只。价格中位数为 138.96 元，环比昨日下降 1.12%。 转债估值：估值压缩。百元平价拟合转股溢价率为 37.11%，环比昨日下降 1.89pct；整体加权平价为 104.86 元，环比昨日下降 0.91%。偏股型转债溢价率 为 19.62%，环比上升 0.53pct；偏债型转债溢价率为 94.06%，环比上升 2.11pct； 平衡型 ...

Report Industry Investment Rating - Not provided in the report Core Viewpoints - On January 29, 2026, most industries in the convertible bond market corrected, and the valuation increased month - on - month. The convertible bond market's trading sentiment weakened, and the market style favored large - cap value stocks [2]. Summary by Directory I. Market Main Index Performance - The CSI Convertible Bond Index decreased by 0.70% month - on - month, the Shanghai Composite Index increased by 0.16%, the Shenzhen Component Index decreased by 0.30%, the ChiNext Index decreased by 0.57%, the SSE 50 Index increased by 1.65%, and the CSI 1000 Index decreased by 0.80% [2]. - In terms of market style, large - cap value stocks were relatively dominant. Large - cap growth stocks increased by 0.76%, large - cap value stocks increased by 2.21%, mid - cap growth stocks decreased by 1.02%, mid - cap value stocks increased by 0.50%, small - cap growth stocks decreased by 1.43%, and small - cap value stocks remained unchanged [2]. II. Market Fund Performance - The trading volume of the convertible bond market was 81.418 billion yuan, a month - on - month decrease of 0.06%. The total trading volume of the Wind All - A Index was 325.9418 billion yuan, a month - on - month increase of 8.93%. The net outflow of main funds from the Shanghai and Shenzhen stock markets was 6.0222 billion yuan, and the yield of the 10 - year treasury bond increased by 0.10bp to 1.82% [2]. - The share of Boshi Convertible Bond ETF was 4.311 billion shares, with a net increase of 62.2 million shares; the share of Haifutong Convertible Bond ETF was 891 million shares, with a net decrease of 34.5 million shares [37][40]. III. Convertible Bond Price and Valuation - The weighted average closing price of convertible bonds decreased to 142.82 yuan, a month - on - month decrease of 0.72%. Among them, the closing price of equity - biased convertible bonds was 208.09 yuan, a month - on - month decrease of 1.59%; the closing price of bond - biased convertible bonds was 123.66 yuan, a month - on - month increase of 0.34%; the closing price of balanced convertible bonds was 134.77 yuan, a month - on - month decrease of 0.23% [3]. - The proportion of high - price bonds above 130 yuan decreased by 0.59 pct to 77.87%. The proportion of the 120 - 130 yuan (inclusive) range increased by 0.58 pct to 16.80%. There were no bonds with a closing price below 100 yuan. The median price was 140.54 yuan, a month - on - month decrease of 0.33% [3]. - The conversion premium rate of the 100 - yuan par - value fitting increased to 38.99%, a month - on - month increase of 0.85 pct. The overall weighted par value decreased to 105.83 yuan, a month - on - month decrease of 0.26% [3]. - The premium rate of equity - biased convertible bonds decreased by 0.95 pct to 19.09%; the premium rate of bond - biased convertible bonds increased by 1.19 pct to 91.95%; the premium rate of balanced convertible bonds decreased by 0.77 pct to 29.94% [3]. IV. Industry Performance - In the A - share market, the top three rising industries were food and beverage (+6.57%), media (+3.53%), and real estate (+2.65%); the top three falling industries were electronics (-3.56%), national defense and military industry (-1.79%), and power equipment (-1.78%) [4]. - In the convertible bond market, 21 industries fell. The top three falling industries were steel (-3.94%), electronics (-2.15%), and machinery and equipment (-2.05%); the top three rising industries were non - ferrous metals (+2.06%), communication (+1.27%), and media (+1.15%) [4]. - In terms of closing price, large - cycle industries decreased by 0.66%, manufacturing industries decreased by 1.38%, technology industries decreased by 0.23%, large - consumption industries decreased by 0.17%, and large - finance industries increased by 0.25% [4]. - In terms of conversion premium rate, large - cycle industries decreased by 0.7 pct, manufacturing industries increased by 0.71 pct, technology industries increased by 0.25 pct, large - consumption industries increased by 0.79 pct, and large - finance industries increased by 0.16 pct [4]. - In terms of conversion value, large - cycle industries increased by 0.05%, manufacturing industries decreased by 2.02%, technology industries decreased by 0.53%, large - consumption industries increased by 0.06%, and large - finance industries increased by 1.35% [4]. - In terms of pure bond premium rate, large - cycle industries decreased by 1.0 pct, manufacturing industries decreased by 2.3 pct, technology industries decreased by 0.47 pct, large - consumption industries decreased by 0.23 pct, and large - finance industries increased by 0.28 pct [5]. V. Industry Rotation - Food and beverage, media, and real estate led the rise. The daily increase rates of food and beverage, media, and real estate were 6.57%, 3.53%, and 2.65% respectively in the A - share market [55]. - The report also provided the weekly, monthly, and year - to - date increase rates of various industries, as well as their valuation quantiles such as PE (TTM), 3 - year and 10 - year quantiles of PE and PB (LF) [55].

Report Summary 1. Report Industry Investment Rating The document does not mention the industry investment rating. 2. Core Viewpoints - Most industries rose today, with valuations increasing month - on - month. The convertible bond market showed mixed trends in different aspects, such as price, valuation, and industry performance [1]. - The convertible bond price center increased, and the proportion of high - price bonds rose. Valuations also went up, with changes in different types of convertible bonds and price ranges [2]. - In the industry performance, more than half of the underlying stock industry indices declined, and there were differences in the rise and fall rankings between the A - share market and the convertible bond market [3]. 3. Summary by Relevant Catalogs Market Main Index Performance - The CSI Convertible Bond Index rose 0.85% month - on - month, the Shanghai Composite Index rose 0.27%, the Shenzhen Component Index rose 0.09%, the ChiNext Index fell 0.57%, the SSE 50 Index rose 0.27%, and the CSI 1000 Index rose 0.21% [1]. - In terms of market style, mid - cap value stocks were relatively dominant. Mid - cap growth rose 1.80%, mid - cap value rose 2.56%, while large - cap value fell 0.01% [1]. Market Fund Performance - The trading sentiment in the convertible bond market weakened. The trading volume of the convertible bond market was 81.463 billion yuan, a 4.34% month - on - month decrease. The total trading volume of the Wind All - A Index was 2.992289 trillion yuan, a 2.42% month - on - month increase [1]. - The net outflow of the main funds in the Shanghai and Shenzhen stock markets was 27.487 billion yuan, and the yield of the 10 - year treasury bond decreased by 1.47bp to 1.82% [1]. Convertible Bond Valuation - The weighted average closing price of convertible bonds was 143.85 yuan, a 0.55% increase from the previous day. The closing price of equity - biased convertible bonds was 211.16 yuan, a 2.87% increase; that of bond - biased convertible bonds was 123.26 yuan, an 0.85% increase; and that of balanced convertible bonds was 135.08 yuan, a 1.16% increase [2]. - The proportion of high - price bonds above 130 yuan was 78.46%, a 2.19pct month - on - month increase. The proportion of bonds in the 120 - 130 yuan range decreased by 2.44pct [2]. - The 100 - yuan parity fitted conversion premium rate was 38.14%, a 0.38pct increase from the previous day. The overall weighted parity was 106.15 yuan, a 0.57% decrease [2]. Industry Performance - In the A - share market, the top three declining industries were Media (- 1.77%), National Defense and Military Industry (- 1.68%), and Beauty and Personal Care (- 1.65%); the top three rising industries were Non - Ferrous Metals (+ 5.92%), Petroleum and Petrochemical (+ 3.54%), and Coal (+ 3.42%) [3]. - In the convertible bond market, 24 industries rose. The top three rising industries were Coal (+ 3.32%), Petroleum and Petrochemical (+ 2.69%), and Non - Ferrous Metals (+ 2.50%); the top three declining industries were Household Appliances (- 2.63%), Machinery and Equipment (- 0.97%), and National Defense and Military Industry (- 0.92%) [3]. - In terms of closing price, large - cycle rose 1.34%, manufacturing rose 0.51%, technology rose 0.33%, large - consumption rose 0.25%, and large - finance rose 0.81% [3]. - The conversion premium rate of large - cycle rose 0.95pct, manufacturing rose 1.9pct, technology rose 1.9pct, large - consumption rose 3.1pct, and large - finance rose 1.1pct [3]. - The conversion value of large - cycle rose 0.59%, manufacturing fell 0.49%, technology fell 1.02%, large - consumption fell 1.11%, and large - finance rose 0.65% [3]. - The pure bond premium rate of large - cycle rose 2.0pct, manufacturing rose 0.62pct, technology rose 0.54pct, large - consumption rose 0.32pct, and large - finance rose 0.96pct [4]. Industry Rotation - Non - Ferrous Metals, Petroleum and Petrochemical, and Coal led the rise. Non - Ferrous Metals had a daily increase of 5.92% in the underlying stock and 2.50% in the convertible bond; Petroleum and Petrochemical had a 3.54% increase in the underlying stock and 2.69% in the convertible bond; Coal had a 3.42% increase in the underlying stock and 3.32% in the convertible bond [53].

债券研究 证 券 研 究 报 告 【债券日报】 行业表现：今日正股行业指数下降占比过半，共计 23 个行业下跌。A 股市场 中，跌幅前三位行业为煤炭（-2.27%）、农林牧渔（-1.95%）、钢铁（-1.34%）； 涨幅前三位行业为电子（+2.27%）、通信（+2.15%）、国防军工（+1.65%）。 转债市场共计 17 个行业上涨，涨幅前三位行业为通信（+3.75%）、国防军工 （+2.65%）、机械设备（+1.63%）；跌幅前三位行业为煤炭（-1.04%）、有色金 属（-0.90%）、纺织服饰（-0.77%）。 (1) 收盘价：大周期环比-0.20%、制造环比+0.88%、科技环比+1.97%、大消费 环比-0.27%、大金融环比+0.02%。 (2) 转股溢价率：大周期环比+0.59pct、制造环比+0.3pct、科技环比-0.13pct、 大消费环比+0.88pct、大金融环比+0.071pct。 转债市场日度跟踪 20260127 ❖ 市场概况：今日转债缩量上涨，估值环比压缩 指数表现：中证转债指数环比上涨 0.15%、上证综指环比上涨 0.18%、深证成 指环比上涨 0.09%、创业板指环比上涨 ...

Report Industry Investment Rating No industry investment rating is provided in the report. Core Viewpoints The equity bull market expectation combined with the rigid demand for convertible bonds has led to persistently high valuations in the convertible bond market. Attention should be paid to the risks of forced redemptions and the double - kill of the underlying stocks and valuations during the earnings disclosure period. [4] Summary by Directory 1. Market Performance - Last week, the median convertible bond price continued to rise to 142 yuan. The average daily trading volume of the entire convertible bond market was 78.6 billion yuan, a 15% decrease from the previous week. The 100 - yuan premium rate continued to rise to 35% at its historical high level. The implied volatility fluctuated around the historical extreme of 45%, and the implied volatility spread dropped from around 13% to around 11%. The trading sentiment of convertible bonds cooled marginally, the trading popularity of low - rated convertible bonds was adjusted, but the turnover rate of small - balance convertible bonds remained high. [1] - Among sub - new bonds, the median price of the underlying stocks rose 2.9%, the median price of convertible bonds rose 3.9%, and the conversion premium rate increased by 2.6%. High - parity convertible bonds rose 2.4%, outperforming the underlying stocks by 0.8%. [1] - In a high - level environment, each industry is mainly composed of equity - like convertible bonds and double - high convertible bonds. Industries with more than 50% of double - high convertible bonds include agriculture, forestry, animal husbandry, and fishery, automotive, computer, and pharmaceutical and biological sectors, with relatively high deviations in convertible bond valuations; industries with more than 50% of equity - like convertible bonds include non - ferrous metals, non - bank finance, military, and machinery and equipment, with high elasticity and strong offensive capabilities. [2] 2. Capital Sentiment - Comparing the share fluctuations of various broad - based indices, bond - type, and major commodity (gold) ETFs, last week, the main ETFs represented by the SSE 50 and CSI 1000 had capital outflows, while the CSI 2000 had an inflow of 25% and the gold ETF's share increased by 12%. [3] - The convertible bond ETF has been sought after by funds recently, with its fund shares increasing significantly for three consecutive weeks, and last week, the shares continued to grow by 6%. The share of interest - rate bonds continued to shrink significantly. [3] 3. Investment Strategy - When selecting bonds, emphasis should be placed on the performance support of the underlying stocks. For the latest earnings forecasts, pay attention to Bojun Convertible Bond and Guoli Convertible Bond. [4] - For new bonds, it is recommended to focus on: Weidao Convertible Bond and Yongxi Convertible Bond in the field of domestic substitution of semiconductors; Ruike Convertible Bond in the field of AI server connectors; Jin 05 Convertible Bond for power grid equipment; Yingliu Convertible Bond for gas turbines; Bo 25 Convertible Bond for automotive parts' wire - controlled braking suppliers; and Jin 25 Convertible Bond. [4]

债券研究 证 券 研 究 报 告 【债券日报】 转债市场日度跟踪 20260126 ❖ 市场概况：今日转债回调，估值环比压缩 指数表现：中证转债指数环比下降 1.19%、上证综指环比下降 0.09%、深证成 指环比下降 0.85%、创业板指环比下降 0.91%、上证 50 指数环比上涨 0.57%、 中证 1000 指数环比下降 1.24%。 市场风格：中盘价值相对占优。大盘成长环比上涨 0.06%、大盘价值环比上涨 0.86%、中盘成长环比上涨 0.48%、中盘价值环比上涨 1.33%、小盘成长环比 下降 2.09%、小盘价值环比下降 0.15%。 资金表现：转债市场成交情绪减弱。可转债市场成交额为 927.91 亿元，环比 减少 3.02%；万得全 A 总成交额为 32806.44 亿元，环比增长 5.21%；沪深两 市主力净流出 757.10 亿元，十年国债收益率环比降低 0.56bp 至 1.82%。 转债价格：转债中枢下降，高价券占比下降。转债整体收盘价加权平均值为 143.04 元，环比昨日下降 1.07%。其中偏股型转债的收盘价为 205.54 元，环比 下降 0.59%；偏债型转债的收盘价为 ...

截至1月23日，单位净值为1.141元。基金经理是缪佳、陶毅和刘星宇。 基金管理人在四季报中表示，宏观方面，四季度经济动能放缓、内外需分化加剧。经济延续供强需弱格局，内需相关的投资、消费均明显走弱，信贷需求持 续乏力，经济核心支撑来自出口韧性。整体通胀水平仍处负值区间，四季度反内卷对PPI的影响边际弱化，CPI受低基数支撑边际修复。政策方面，年末政治 局会议、中央经济工作会议落地，货币政策延续宽松定调、财政保持必要强度，超预期增量指引相对有限。利率方面，四季度机构行为是债市定价主导，收 益率震荡上行。节奏上，10月受海外关税政策反复、央行重启买债支撑，利率震荡下行修复。11月机构止盈情绪升温，利率转为震荡。12月机构赎回情绪进 一步走高，叠加年末大行久期指标压力，债市利率震荡上行。 转债方面，四季度表现区间震荡，中证转债指数小幅上涨1.32%。转债估值在经历9月的剧烈波动后开始趋于稳定，百元平价溢价率保持在30%左右的水平窄 幅震荡。结构上，由于股票风格从大盘成长回归均衡，转债内部分化相对较小，低价指数小幅领涨。节奏上，10月在中美贸易摩擦升级下调整，月底缓解后 恢复上行；11月中旬在北美AI叙事质疑和美联储 ...