1. Report Industry Investment Rating There is no information provided regarding the industry investment rating in the report. 2. Core Viewpoints - The convertible bond market continued its previous volatile and strong trend this week. The marginal change is that the China Convertible Bond Index has exceeded the high on August 25th, and indicators such as the 100 - yuan premium rate valuation, the median convertible bond price, and the yield to maturity are all "one step away" from the late - August highs. The sentiment in the convertible bond market has reached a new high for the year. Compared with late August, the prices and valuations in the high - parity area are currently weak, while those in the low - parity area have returned to their highs. Also, during this round of recovery, capital sentiment is relatively cautious, with net outflows from convertible bond ETFs. Although the valuation protection in the low - parity area is weak on the margin, considering the thick bond floor and strong allocation power, it is expected that the convertible bond market's resilience will be stronger than in late August even if there is a pullback [3][4]. 3. Summary by Directory 3.1 Weekly Viewpoint and Outlook - The convertible bond market continued its volatile and strong trend. The China Convertible Bond Index exceeded the August 25th high. Valuation indicators are close to late - August highs. High - parity area is weak, low - parity area has recovered. Capital sentiment is cautious. The market is expected to be more resilient than in late August [3][4]. 3.2 Convertible Bond Valuation - The 100 - yuan valuation of convertible bonds is strong and approaching the previous high. The latest full - market 100 - yuan premium rate is 36.2%, up 0.4% from last week, at the 94.5% percentile since 2017. Compared with last week, the valuation generally increased, with the 130 - 140 yuan parity range still weak due to forced redemption disturbances. The median convertible bond price is 134.00 yuan, up 0.70 yuan, and the yield to maturity is - 7.04%, down 0.22% from last week, at the 99.60% and 0.10% percentiles since 2017 respectively [3][5][15]. 3.3 Clause Tracking 3.3.1 Redemption - This week, Tianci, Cehui, and Yuguang Convertible Bonds announced redemptions, while Weice, Seli, and Dazhong Convertible Bonds announced non - redemptions, with a forced redemption rate of 50%. There are currently 10 convertible bonds that have issued forced redemption or maturity redemption announcements but have not delisted, with a potential conversion or maturity balance of 7.1 billion yuan. There are 46 convertible bonds in the redemption process, 11 are expected to meet redemption conditions next week, and 16 are expected to issue redemption trigger announcements [20][22]. 3.3.2 Downward Revision - No convertible bonds proposed downward revisions this week. Lanfan Convertible Bond did not revise the conversion price to the lowest, while Dongshi Convertible Bond revised it to the lowest. As of now, 103 convertible bonds are in the non - downward - revision period, 20 cannot be revised due to net asset constraints, 2 have triggered the condition but the stock price is still below the trigger price without an announcement, 29 are accumulating downward - revision days, and 2 have issued board proposals for downward revisions but have not held a general meeting of shareholders [25]. 3.3.3 Put Option - No convertible bonds issued conditional put option announcements this week. As of now, 7 convertible bonds are accumulating put - option trigger days, among which 1 has triggered the downward - revision condition, 2 are accumulating downward - revision days, and 4 are in the non - downward - revision period [28]. 3.4 Primary Issuance - The Ruke Convertible Bond was issued this week. The Qizhong, Zhuomei, and Ruke Convertible Bonds have been issued but are yet to be listed. As of now, there are 7 convertible bonds awaiting registration approval, with a total issuance scale of 6.4 billion yuan, and 7 convertible bonds that have passed the listing committee review, with a total issuance scale of 6.5 billion yuan [30].

1. Report Industry Investment Rating There is no information provided in the report regarding the industry investment rating. 2. Core Views of the Report - On November 14, the convertible bond market contracted in volume and declined, with compressed valuations. The CSI Convertible Bond Index decreased by 0.58% compared to the previous day, and the trading sentiment in the convertible bond market weakened. The total trading volume of the convertible bond market was 71.351 billion yuan, a 9.71% decrease from the previous day [1]. - The convertible bond price center declined, and the proportion of high - priced bonds decreased. The overall weighted average closing price of convertible bonds was 135.02 yuan, a 0.64% decrease from the previous day. The valuation was compressed, with the 100 - yuan par - value fitted conversion premium rate at 31.82%, a 0.82 - percentage - point decrease from the previous day [2]. - In the stock market, more than half of the underlying stock industry indices declined. Among A - share markets, the top three industries with the largest declines were electronics (-3.09%), communication (-2.46%), and media (-2.16%); the top three industries with the largest increases were real estate (+0.39%), banking (+0.26%), and pharmaceutical biology (+0.17%). In the convertible bond market, 23 industries declined, with the top three industries with the largest declines being communication (-2.52%), national defense and military industry (-1.85%), and automobile (-1.66%); the top three industries with the largest increases were steel (+2.31%), environmental protection (+0.82%), and public utilities (+0.27%) [3]. 3. Summary by Relevant Catalogs Market Overview - **Index Performance**: The CSI Convertible Bond Index decreased by 0.58% compared to the previous day, the Shanghai Composite Index decreased by 0.97%, the Shenzhen Component Index decreased by 1.93%, the ChiNext Index decreased by 2.82%, the SSE 50 Index decreased by 1.15%, and the CSI 1000 Index decreased by 1.16% [1]. - **Market Style**: Large - cap value stocks were relatively dominant. Large - cap growth stocks decreased by 2.20%, large - cap value stocks decreased by 0.55%, mid - cap growth stocks decreased by 1.48%, mid - cap value stocks decreased by 1.19%, small - cap growth stocks decreased by 1.45%, and small - cap value stocks decreased by 0.85% [1]. - **Fund Performance**: The trading sentiment in the convertible bond market weakened. The trading volume of the convertible bond market was 71.351 billion yuan, a 9.71% decrease from the previous day; the total trading volume of the Wind All - A Index was 1980.382 billion yuan, a 4.13% decrease from the previous day; the net outflow of the main funds in the Shanghai and Shenzhen stock markets was 62.011 billion yuan, and the yield of the 10 - year treasury bond increased by 0.14 bp to 1.81% [1]. Convertible Bond Price and Valuation - **Convertible Bond Price**: The overall weighted average closing price of convertible bonds was 135.02 yuan, a 0.64% decrease from the previous day. The closing price of equity - biased convertible bonds was 178.79 yuan, a 1.27% decrease; the closing price of bond - biased convertible bonds was 121.53 yuan, a 0.10% decrease; the closing price of balanced convertible bonds was 130.91 yuan, a 0.31% decrease. The proportion of high - priced bonds above 130 yuan was 62.34%, a 0.75 - percentage - point decrease from the previous day. The price median was 133.72 yuan, a 0.93% decrease from the previous day [2]. - **Convertible Bond Valuation**: The valuation was compressed. The 100 - yuan par - value fitted conversion premium rate was 31.82%, a 0.82 - percentage - point decrease from the previous day; the overall weighted par value was 104.59 yuan, a 0.52% decrease from the previous day. The premium rate of equity - biased convertible bonds was 10.60%, a 1.34 - percentage - point decrease; the premium rate of bond - biased convertible bonds was 84.51%, a 0.54 - percentage - point decrease; the premium rate of balanced convertible bonds was 22.78%, a 0.24 - percentage - point decrease [2]. Industry Performance - **Underlying Stock Industry**: Among A - share markets, the top three industries with the largest declines were electronics (-3.09%), communication (-2.46%), and media (-2.16%); the top three industries with the largest increases were real estate (+0.39%), banking (+0.26%), and pharmaceutical biology (+0.17%) [3]. - **Convertible Bond Industry**: In the convertible bond market, 23 industries declined, with the top three industries with the largest declines being communication (-2.52%), national defense and military industry (-1.85%), and automobile (-1.66%); the top three industries with the largest increases were steel (+2.31%), environmental protection (+0.82%), and public utilities (+0.27%) [3]. - **Key Indicators by Sector**: - Closing price: The large - cycle sector decreased by 0.15%, the manufacturing sector decreased by 1.11%, the technology sector decreased by 1.59%, the large - consumption sector decreased by 0.64%, and the large - finance sector decreased by 0.66% [3]. - Conversion premium rate: The large - cycle sector decreased by 0.57 percentage points, the manufacturing sector decreased by 0.37 percentage points, the technology sector increased by 0.3 percentage points, the large - consumption sector decreased by 0.29 percentage points, and the large - finance sector increased by 0.051 percentage points [3]. - Conversion value: The large - cycle sector increased by 0.51%, the manufacturing sector decreased by 0.87%, the technology sector decreased by 1.74%, the large - consumption sector decreased by 0.64%, and the large - finance sector decreased by 1.01% [3]. - Pure bond premium rate: The large - cycle sector decreased by 0.23 percentage points, the manufacturing sector decreased by 1.7 percentage points, the technology sector decreased by 2.3 percentage points, the large - consumption sector decreased by 0.82 percentage points, and the large - finance sector decreased by 0.79 percentage points [4].

1. Report Industry Investment Rating No information provided in the report. 2. Core Viewpoints of the Report - This week, the convertible bond market experienced an obvious style shift, with the TMT sectors like computer, media, and communication cooling off, while the power equipment sector led the rise, and photovoltaic convertible bonds performed brightly. The valuation of debt - oriented convertible bonds was firm, outperforming equity - oriented ones. With the market rising in a volatile manner, the valuation in the 130 - 140 yuan parity range was significantly weak due to strong redemption expectations. The convertible bonds lagged behind the underlying stocks, with their gains less than half of the underlying stocks. Indicators such as the median convertible bond price, the premium rate per hundred yuan, and the yield to maturity have returned to the upper edge of the oscillation range since September. If they can break through effectively, the short - term upward trend of convertible bonds is expected to be strengthened [2][3]. 3. Summary by Relevant Catalogs 3.1 Convertible Bond Valuation - The convertible bond premium rate per hundred yuan is still in an oscillating trend, within the range of 2 times the standard deviation above and below the 250 - day average. As of the latest, with outliers retained, the market - wide convertible bond premium rate per hundred yuan is 35.7%, down 0.1% week - on - week, and the latest percentile is at the 93.8% percentile since 2017 [2][4]. - Compared with last week, the valuations of debt - oriented and low - parity convertible bonds were stronger, with both the conversion premium rate and the bottom - support premium rate rising, and prices slightly increasing. The valuations of equity - oriented and high - parity convertible bonds were weaker, with the conversion premium rate oscillating downward. The valuation in the 130 - 140 yuan parity range declined significantly, and its historical percentile was significantly lower than other parity ranges [2][8]. - This week, the median convertible bond price and the yield to maturity were reported at 133.30 yuan and - 6.82% respectively, changing by + 0.96 yuan and - 0.18% week - on - week. Their current percentile levels are at the 99.80% and 0.30% percentiles since 2017 [2][13]. 3.2 Clause Tracking 3.2.1 Redemption - This week, Qibin Convertible Bond announced redemption, and Fenggong Convertible Bond announced non - redemption, with a strong redemption rate of 50%. Currently, there are 12 convertible bonds that have issued strong redemption or maturity redemption announcements but have not delisted. Among the non - delisted convertible bonds, the potential conversion or maturity balance of strongly redeemed and matured convertible bonds is 6 billion yuan. There are currently 40 convertible bonds in the redemption process, and 9 are expected to meet the redemption conditions next week [2][17][20]. 3.2.2 Downward Revision - This week, Aidi Convertible Bond proposed a downward revision. As of the latest, 98 convertible bonds are in the non - downward - revision period, 20 cannot be downward - revised due to net asset constraints, 2 have triggered the condition and the stock price is still below the downward - revision trigger price but no announcement has been made, 31 are accumulating downward - revision days, and 4 have issued board proposals for downward revision but have not held a general meeting of shareholders [2][22]. 3.2.3 Put Option - This week, no convertible bond issued a conditional put option announcement. As of the latest, 7 convertible bonds are accumulating put - option trigger days, among which 1 proposed a downward revision, 1 has triggered the downward - revision condition, and 5 are in the non - downward - revision period [2][25]. 3.3 Primary Issuance - This week, no convertible bond issued an issuance announcement. Qizhong Convertible Bond and Zhuomei Convertible Bond have been issued and are waiting for listing. As of the latest, there are 7 convertible bonds at the approval - for - registration stage, with a to - be - issued scale of 6.9 billion yuan; and 7 at the listing - committee - approval stage, with a to - be - issued scale of 6.3 billion yuan [2][27].

Group 1 - The report indicates that the equity market continued to experience high volatility in October, with convertible bonds showing relative strength due to their structural advantages [5][6][37] - The convertible bond index recorded a monthly return of -0.57%, slightly underperforming the CSI Convertible Bond Index and the equal-weighted index, but still maintaining excess returns year-to-date [6][37] - There is a potential shift in market style, with small-cap indices showing declining trading volume since August, suggesting a possible emergence of relative return advantages for small-cap styles in November [16][37] Group 2 - The report highlights that despite the presence of parity-driven logic in the convertible bond market, potential valuation risks remain a significant concern, with high valuation levels indicating increasing vulnerability [16][37] - The report suggests that the overall strategy for November should focus on relative returns, as convertible bonds may benefit from the potential style advantages in the equity market, although high overall valuations pose risks [37] - The report outlines changes in the monthly selection strategy, emphasizing a shift away from high-odds strategies and focusing on low-price enhancement and active selection strategies [39][40][41] Group 3 - Specific convertible bonds to focus on in November include Southeast Convertible Bond, China Special Convertible Bond, and Jinko Convertible Bond under the low-price enhancement strategy [40] - For the active selection strategy, recommended bonds include Shouhua Convertible Bond, Xinhua Convertible Bond, and Tianneng Convertible Bond, emphasizing stability in the underlying stock's fundamentals and price trends [41][42]

1. Report Industry Investment Rating - Not provided in the content 2. Report's Core View - Maintain a relatively neutral attitude towards convertible bonds as a whole, considering the high valuation, potential institutional profit - taking in Q4, external risks, and possible credit risks near the performance period. Wait for opportunities when the market further corrects and the cost - performance improves. Also, pay attention to the Fourth Plenary Session of the Central Committee and uncertainties like Trump's tariff events [2][16] - Focus on three types of convertible bond structural opportunities: high - rated and large - cap style convertible bonds, opportunities for improved cost - performance in the technology growth direction after correction, and high - quality new bonds [3][17][18] 3. Summary According to Relevant Catalogs 3.1.转债周度专题与展望 3.1.1. 风格切换，往后怎么看？ - This week, the A - share equity and convertible bond markets declined overall, with a style shift. Large - cap value industries such as banking and coal outperformed technology growth sectors. The possible reasons for the style shift include the over - prominent structural market of technology sectors in Q3, leading to high valuations and crowding, year - end portfolio adjustment and defensive needs in Q4, and external risks and market sentiment disturbances [1][10][11] - For convertible bonds, maintain a neutral view. High - rated and large - cap convertible bonds showed better resilience, and investors can focus on high - rated and large - cap style convertible bonds, opportunities in the technology growth direction after correction, and high - quality new bonds [15][16][18] 3.1.2. 周度回顾与市场展望 - This week, the A - share market declined, with the ChiNext and STAR Market leading the fall. The risk - return ratio indicates that the A - share market still has good allocation value, and the weak resonance between the economic fundamentals and capital flows is expected to gradually start [19] - In the convertible bond market, considering the impact of refinancing policies, there is some support on the demand side under the background of shrinking supply. Given the low long - term yield of pure bonds, the opportunity cost of convertible bonds is relatively low, but be vigilant against correction risks. Pay attention to the game space of downward revisions, beware of forced redemptions, and appropriately focus on short - term game opportunities of near - maturity convertible bonds [20] - Industries to focus on include popular themes, domestic demand - oriented sectors, and high - dividend sectors under the China - specific valuation system [23] 3.2. 转债市场周度跟踪 3.2.1. 权益市场收跌 - This week, major equity market indices declined. The Wind All - A Index fell 3.45%, the Shanghai Composite Index fell 1.47%, and the Shenzhen Component Index fell 4.99%. The market style favored large - cap growth stocks. Among small - cap indices, the CSI 1000 fell 4.62% and the STAR 50 fell 6.16% [24] - Four Shenwan industry indices rose, and 27 declined. Banking, coal, and food and beverage industries led the gains, while electronics, media, and automobiles led the losses [28] 3.2.2. 转债市场收跌，全市场转股溢价率上行 - This week, the convertible bond market declined. The CSI Convertible Bond Index fell 2.35%, the Shanghai Convertible Bond Index fell 2.17%, and the Shenzhen Convertible Bond Index fell 2.63%. The average daily trading volume increased, with an average daily trading volume of 68.844 billion yuan, an increase of 0.961 billion yuan from last week, and a total weekly trading volume of 344.218 billion yuan [3][30] - At the industry level, one industry rose and 28 declined. The banking industry rose 1.09%, while electronics, non - ferrous metals, and communication industries led the decline. Most individual convertible bonds fell (367 out of 413). The median convertible bond price decreased [34][36][39] - The weighted conversion value of the whole market decreased, and the premium rate increased. The weighted conversion premium rate of the whole market was 40.23%, an increase of 1.18 pct from last weekend. The 100 - par premium rate decreased. The median implied volatility of the whole market decreased, and the pure - bond premium rate of debt - biased convertible bonds increased [4][41] 3.2.3. 不同类型转债高频跟踪 3.2.3.1. 分类估值变化 - This week, the valuations of convertible bonds in all categories increased, including those of different par values, ratings, and scales. Since the beginning of 2024, the conversion premium rates of equity - biased and balanced convertible bonds have rebounded from the bottom. As of Friday, the conversion premium rate of equity - biased convertible bonds is above the 35th percentile since 2017, and that of balanced convertible bonds is above the 50th percentile since 2017 [52] 3.2.3.2. 市场指数表现 - This week, AAA - rated convertible bonds rose, while other rated convertible bonds fell. Since 2023, high - rated AAA convertible bonds have shown stable performance, while low - rated convertible bonds have shown weaker resilience and greater rebound strength [66] - This week, convertible bonds of all scales declined. Since 2023, small - cap convertible bonds have recorded a 26.82% return, medium - small - cap convertible bonds 25.64%, medium - cap convertible bonds 22.32%, and large - cap convertible bonds 17.81% [69] 3.3. 转债供给与条款跟踪 3.3.1. 本周一级预案发行 - This week, there were no newly listed convertible bonds, and 4 convertible bonds were issued but not yet listed. The number of first - level approvals was 7. Since the beginning of 2023 to October 17, 2025, there have been 103 convertible bond plans in total, with a total scale of 159.263 billion yuan [73][74] 3.3.2. 下修&赎回条款 - This week, 7 convertible bonds announced that they were expected to trigger downward revisions, 9 announced no downward revisions, and Zhengchuan Convertible Bond announced the result of a downward revision. Six convertible bonds announced that they were expected to trigger redemptions, 5 announced no early redemptions, and 5 announced early redemptions. As of the end of this week, 2 convertible bonds were still in the put - option declaration period, and 12 were in the company's capital - reduction settlement declaration period [5][77][84]

Quantitative Models and Construction Methods - **Model Name**: "百元转股溢价率" (Hundred Yuan Conversion Premium Rate) **Model Construction Idea**: This model compares convertible bond valuation with stock valuation by constructing a time-series comparable valuation indicator[4][13] **Model Construction Process**: At each time point, the relationship curve between conversion premium rate and conversion value is fitted in the cross-sectional space. The conversion value of 100 is substituted into the fitting formula to obtain the "百元转股溢价率". The specific fitting formula is: $$ y_{i}=\alpha_{0}+\,\alpha_{1}\cdot\,{\frac{1}{x_{i}}}+\epsilon_{i} $$ In the formula, \( y_{i} \) represents the conversion premium rate of the \( i \)-th bond, \( x_{i} \) represents the conversion value of the \( i \)-th bond[42] **Model Evaluation**: The model provides a relative valuation perspective for convertible bonds and stocks[4][13] - **Model Name**: "修正 YTM – 信用债 YTM"中位数 (Adjusted YTM - Credit Bond YTM Median) **Model Construction Idea**: This model isolates the impact of conversion clauses on convertible bond YTM to compare the relative valuation of debt-oriented convertible bonds and credit bonds[5][13] **Model Construction Process**: $$ 修正 YTM = 转债 YTM ×（1–转股概率）+ 预期转股的到期年化收益率×转股概率 $$ Using the BS model, the conversion probability \( N(d2) \) is calculated by substituting stock closing price, option exercise price, stock volatility, remaining term, and discount rate. Then, the adjusted YTM for each debt-oriented convertible bond is calculated. The median of the difference between adjusted YTM and credit bond YTM is expressed as: $$ "修正 YTM – 信用债 YTM"中位数 = median{X1, X2, ... , Xn} $$ Where \( X_{i} \) represents the difference between the adjusted YTM of the \( i \)-th convertible bond and the YTM of a credit bond with the same rating and term[43] **Model Evaluation**: The model effectively evaluates the relative cost-effectiveness of debt-oriented convertible bonds compared to credit bonds[5][13] Model Backtesting Results - **"百元转股溢价率" Model**: Rolling three-year percentile is 98.70%, rolling five-year percentile is 94.90%[4][14] - **"修正 YTM – 信用债 YTM" Model**: Current median value is -2.96%, indicating low cost-effectiveness for debt-oriented convertible bonds[5][14] Quantitative Factors and Construction Methods - **Factor Name**: 转股溢价率偏离度 (Conversion Premium Rate Deviation) **Factor Construction Idea**: Measures the deviation of the conversion premium rate relative to the fitted value, making different parities comparable[19] **Factor Construction Process**: $$ 转股溢价率偏离度 = 转股溢价率 − 拟合转股溢价率 $$ The number of convertible bonds determines the fitting quality[19] **Factor Evaluation**: Provides a systematic enhancement perspective for convertible bond valuation[18][19] - **Factor Name**: 理论价值偏离度 (Theoretical Value Deviation - Monte Carlo Model) **Factor Construction Idea**: Measures the price expectation difference using Monte Carlo simulation, fully considering convertible bond clauses such as conversion, redemption, downward revision, and repurchase[19] **Factor Construction Process**: $$ 理论价值偏离度 = 转债收盘价 / 理论价值 - 1 $$ At each time point, 10,000 paths are simulated using the same credit term limit rate as the discount rate to calculate the theoretical value of the convertible bond[19] **Factor Evaluation**: Performs well in evaluating convertible bonds, especially equity-oriented ones[18][19] - **Factor Name**: 转债综合估值因子 (Convertible Bond Comprehensive Valuation Factor) **Factor Construction Idea**: Combines the above two factors to enhance valuation across all domains and subdomains (equity-oriented, balanced, debt-oriented)[18][19] **Factor Construction Process**: $$ 转债综合估值因子 = Rank（转股溢价率偏离度）+ Rank（理论价值偏离度（蒙特卡洛模拟）） $$ **Factor Evaluation**: Demonstrates superior performance in valuation enhancement across all domains[18][19] Factor Backtesting Results - **Conversion Premium Rate Deviation Factor**: Near-term enhancement excess returns for equity-oriented, balanced, and debt-oriented convertible bonds are -3.01%, -0.34%, and -0.02%, respectively[6][21] - **Theoretical Value Deviation Factor**: Performs best in equity-oriented convertible bonds[18][19] - **Convertible Bond Comprehensive Valuation Factor**: - Equity-oriented low valuation index: IR = 1.24, annualized return = 25.45%, annualized volatility = 20.54%, maximum drawdown = -22.94%, Calmar ratio = 1.11, monthly win rate = 61.96%[22] - Balanced low valuation index: IR = 1.26, annualized return = 14.90%, annualized volatility = 11.85%, maximum drawdown = -15.95%, Calmar ratio = 0.93, monthly win rate = 63.04%[22] - Debt-oriented low valuation index: IR = 1.40, annualized return = 13.28%, annualized volatility = 9.48%, maximum drawdown = -17.78%, Calmar ratio = 0.75, monthly win rate = 58.70%[22] Convertible Bond Style Rotation and Construction Methods - **Rotation Method**: **Idea**: Uses market sentiment indicators (convertible bond momentum and volatility deviation) to construct a convertible bond style rotation portfolio[7][26] **Process**: $$ 转债风格市场情绪捕捉指标 = Rank（转债 20 日动量）+ Rank（波动率偏离度） $$ Based on the ranking of sentiment indicators, the style index with the lowest ranking is selected for allocation. If rankings are equal, equal allocation is applied. If all three styles are selected, 100% allocation is made to the balanced low valuation style. Adjustments are made bi-weekly[27][28] **Evaluation**: Demonstrates stable excess returns compared to the convertible bond equal-weight index[30][33] Style Rotation Backtesting Results - **Convertible Bond Style Rotation**: - IR = 1.45, annualized return = 24.14%, annualized volatility = 16.70%, maximum drawdown = -15.89%, Calmar ratio = 1.52, monthly win rate = 64.13%[32] - Convertible Bond Low Valuation Equal-Weight Index: IR = 1.33, annualized return = 14.68%, annualized volatility = 11.01%, maximum drawdown = -15.48%, Calmar ratio = 0.95, monthly win rate = 61.96%[32] - Convertible Bond Equal-Weight Index: IR = 0.85, annualized return = 9.95%, annualized volatility = 11.75%, maximum drawdown = -20.60%, Calmar ratio = 0.48, monthly win rate = 60.87%[32] - Recent 4-week style rotation return: 2.26%; return since 2025: 37.81%[28][29]

Market Performance - The conversion value has stabilized above 100 yuan since August, with pure debt alternatives to low-priced convertible bonds being extremely scarce, primarily consisting of equity-sensitive convertible bonds and inert convertible bonds with mediocre underlying stocks, leading to high valuations [2][11] - The remaining scale of convertible bonds maturing in the fourth quarter, including those from Pudong Development Bank, totals 25.9 billion yuan, with 9 convertible bonds currently undergoing forced redemption and 24 expected to face forced redemption soon [2][11] - The median price of convertible bonds remained around 132 yuan, a historically high position, with an average weekly trading volume of 68.4 billion yuan, showing a phase decline [2][11] - The overall market median valuation rose to 27.8%, with implied volatility increasing by 4 percentage points to 37%, placing it in the historical 78th percentile [2][11] - Industries where convertible bonds outperformed underlying stocks include food and beverage, pharmaceuticals, light industry, transportation, home appliances, automotive, electronics, textiles, commerce, computing, and banking [2][11] Fund Sentiment - From September 26 to October 10, the risk appetite of funds decreased, with the largest increase in gold ETF shares at 8.6%, followed by credit bond ETFs at 4.5% and stock ETFs at 2.8% [3][17] - The continuous decline in convertible bond ETF shares is attributed to high valuations, profit-taking, and the relative weakness of small-cap equity sectors, reflecting a risk repricing within the bond market [3][20] - Insurance, social security, and brokerage asset management investors significantly reduced their holdings in convertible bonds, with the reduction rate exceeding the market scale contraction, indicating a firm profit-taking stance amid high valuations and increased market volatility [3][20] Investment Strategy - The short-term fluctuations in convertible bond valuations can assist in making left-side predictions, with investors advised to seek profit-taking opportunities and moderately control positions [5][22] - Focus on the performance of underlying stocks, recommending attention to sectors such as non-ferrous metals, new energy, solid-state batteries, and chemicals due to price increase expectations driven by anti-involution [5][22] - High-volatility convertible bonds in emerging themes, particularly in robotics, semiconductors, and consumer electronics, should be monitored alongside performance and valuation [5][22] - The recommended "barbell strategy" portfolio includes various convertible bonds from companies like Muyuan, EVE Energy, and others [5][23]

Group 1: Investment Rating - The report does not provide an overall investment rating for the bond industry. Group 2: Core Views - Market fluctuations have caused some disturbances to the liability side, but overall liability side stability remains acceptable. ETFs and "fixed income +" funds have seen small net outflows, but the pace has slowed compared to early September, and insurance funds still focus on allocation. [3][8] - In a volatile market, the operating strategies of public - offering institutions have diverged. Low - volatility strategy funds aiming for absolute returns may have reduced their allocations to high - price bonds and convertible bonds in general, while high - volatility tolerance products and relative return funds can increase allocations to some convertible bond issues with sufficient corrections and fundamental support. [3][9] - Different - priced convertible bonds have different performances and strategies. High - price convertible bonds have proven their upward logic, and for high - tolerance funds, holding is better than trading. Medium - price convertible bonds are the core of the "attack - and - defense" strategy, and bonds with reasonable price structures and catalytic expectations should be selected. The valuation of low - price (partial - debt) convertible bonds has reached an extreme level, and caution should be exercised. [2][3][9] - In October, investors are advised to pay attention to Shangyin Convertible Bond, Shouhua Convertible Bond, Jingke Convertible Bond, Kangtai Convertible Bond 2, Baolong Convertible Bond, Keshun Convertible Bond, Yingbo Convertible Bond, Huaya Convertible Bond, Wankai Convertible Bond, and Luwei Convertible Bond. [3][13] Group 3: Summary by Directory 1. Convertible Bond Weekly Thinking - The convertible bond market has shown limited adjustments and slight recoveries. In the past week, the ChinaBond Convertible Bond Index rose by about 1 percentage point, and the 100 - yuan premium rate also slightly recovered. [8] - The liability side of convertible bonds remains stable. Although there are small net outflows from some funds, the overall situation is improving, and insurance funds still focus on long - term allocation. [3][8] - Public - offering institutions' strategies have diverged. Low - volatility funds reduce positions, while high - volatility tolerance funds increase positions in some high - quality bonds. [3][9] - Different - priced convertible bonds have different characteristics and strategies. High - price bonds are suitable for holding, medium - price bonds need comprehensive screening, and partial - debt bonds should be treated with caution. [2][3][9] 2. Convertible Bond Market Tracking 2.1 Convertible Bond Market Conditions - Different convertible bond indexes have different performances in different time periods. For example, the Wind Convertible Bond Energy Index has a 0.14% increase in the past week, - 0.91% in the past two weeks, etc. [14] 2.2 Convertible Bond Issues - The report shows the top ten and bottom ten convertible bond issues in terms of price changes in the past week, but specific issue names are not provided in the text. [18] 2.3 Convertible Bond Valuations - The report presents the valuation trends of different types of convertible bonds (debt - type, balanced, and equity - type) through charts, but specific data analysis is not provided in the text. [21][26][28] 2.4 Convertible Bond Prices - The report shows the proportion trends of high - price convertible bonds and the median price trends of convertible bonds through charts, but specific data analysis is not provided in the text. [24][25][31]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - This week, the convertible bond market was in a shock, but performed better than the underlying stocks. The CSI Convertible Bond Index rose about 1 percentage point with the underlying stocks slightly up, and the 100 - yuan premium rate repaired about 1 percentage point. With positive sentiment in the equity market and the supply - demand mismatch, the convertible bond valuation remained firm, and the characteristic of the convertible bond valuation lagging behind the underlying stocks in decline may reappear, with a low probability of a significant short - term decline. The key for the convertible bond valuation to break through further lies in the subsequent trend of the equity - biased convertible bond valuation (mainly relying on non - redeemable convertible bonds) and the subsequent trend of the underlying stocks (if the volatility of the underlying stocks increases significantly, the convertible bond valuation may rise further). In the short term, the convertible bond market is in a shock period, and attention can be paid to the opportunities of bank convertible bonds that have returned to a low level [1][4]. 3. Summary by Relevant Catalogs 3.1 Weekly Viewpoint and Outlook - The convertible bond market was in shock this week, performing better than the underlying stocks. The CSI Convertible Bond Index rose about 1 percentage point, and the 100 - yuan premium rate repaired about 1 percentage point. The convertible bond valuation was firm, with a low probability of a significant short - term decline. The key to further valuation breakthrough lies in the equity - biased convertible bond valuation and the underlying stock trend. Short - term market direction is unclear, and bank convertible bonds at low levels can be focused on [1][4]. 3.2 Convertible Bond Valuation - The whole - market 100 - yuan valuation rose about 1 percentage point this week, similar to the mid - September level. The whole - market convertible bond 100 - yuan premium rate was 34.5%, up 0.9% this week, at the 91.3% percentile since 2017. The valuation repair of high - and low - rated convertible bonds was similar, about 1 percentage point [3][5]. - Compared with last week, the conversion premium rate and the bottom - support premium rate in the low - parity (50 - 70 yuan) and high - parity (130 - 140 yuan) areas increased more, while the valuation of balanced convertible bonds was slightly weaker [3][8]. - The median convertible bond price and the yield to maturity were 130.16 yuan and - 6.14% respectively, up 0.91 yuan and down 0.22% compared with last week, at the 98.3% and 0.8% percentiles since 2017 [3][16]. 3.3 Clause Tracking 3.3.1 Redemption - Two convertible bonds, Jingxing Convertible Bond and Chunqiu Convertible Bond, issued early redemption announcements this week. There are 27 convertible bonds that have issued early redemption or maturity redemption announcements but have not been delisted, with a potential conversion or maturity balance of 30.7 billion yuan [3][17]. - Two convertible bonds issued non - redemption announcements this week. There are 36 convertible bonds currently in the redemption progress, and 10 are expected to meet the redemption conditions next week [19][20]. 3.3.2 Downward Revision - Three convertible bonds, Jingke Convertible Bond, Lanfan Convertible Bond, and Yong22 Convertible Bond, announced downward revision results this week, with Jingke Convertible Bond and Yong22 Convertible Bond revised to the bottom. As of now, 122 convertible bonds are in the non - downward - revision period, 23 cannot be revised due to net asset constraints, 2 have triggered the condition but have not announced, 24 are accumulating downward - revision days, and 2 have issued downward - revision board proposals but have not gone to the general meeting [3][22]. 3.3.3 Put Option - No convertible bonds issued conditional put option announcements this week. As of now, 3 convertible bonds are accumulating put - option trigger days, with 1 in the non - downward - revision period and 2 accumulating downward - revision days [3][24].

Group 1: Report Industry Investment Rating - Not provided in the content Group 2: Core Viewpoints of the Report - The recent performance of the convertible bond market has been significantly weaker than that of the underlying stocks, with the core contradiction being high valuations and a lack of cost - effectiveness. The valuation compression was triggered by the equity market entering a consolidation phase, and the slowdown of incremental funds' allocation. The high valuations also led to a lack of cost - effectiveness in convertible bonds, with high premium rates for different types of convertible bonds [1][2][7]. - The expansion of convertible bond ETFs has made them a timing tool for absolute - return funds. The current stock size of convertible bond ETFs exceeds 70 billion yuan, accounting for over 10% of the convertible bond market. The investment institutions behind these ETFs are mainly absolute - return funds, and the trading flexibility of ETFs provides a good tool for them [2]. - The frequent up - and - down market movements have created opportunities for mispriced bonds. When the market shows adjustment signals, ETF funds often redeem en masse, and then quickly increase positions during the initial rebound of the underlying stocks, leading to market volatility and opportunities for active management institutions to obtain alpha [2][8]. - The optimal strategy in a volatile market is to manage positions in a hierarchical manner. In the long - term, the stock market's positive trend remains unchanged, and convertible bonds have long - term allocation value. In the short - term, the equity market is in a wide - range oscillation. It is recommended to layout industries that benefit from the shift from high - to low - priced stocks at low levels, and make different arrangements for high - priced bonds according to their characteristics. In September, it is suggested to pay attention to bonds such as Shangyin Convertible Bond, Shouhua Convertible Bond, etc. [2][8] Group 3: Summary According to the Table of Contents 1. Convertible Bond Weekly Thinking - The convertible bond market has underperformed the underlying stocks recently, mainly due to high valuations and a lack of cost - effectiveness. The valuation compression was triggered by changes in the equity market and the behavior of incremental funds. High valuations have also made convertible bonds less attractive. The expansion of convertible bond ETFs has changed their role, and the up - and - down market movements have created mispricing opportunities. A hierarchical position management strategy is recommended [7][8] 2. Convertible Bond Market Tracking 2.1 Convertible Bond Market Conditions - Provided the performance data of various convertible bond indices in different time periods, including the past week, two weeks, September to date, one month, two months, half - year, and one year. For example, the Wind Convertible Bond Energy Index had a - 1.05% change in the past week, - 1.33% in the past two weeks, etc. [13] 2.2 Convertible Bond Individual Securities - Presented the top ten and bottom ten individual convertible bonds in terms of price changes in the past week, but specific bond names were not provided [17] 2.3 Convertible Bond Valuations - Included the valuation trends of bond - type, balanced, and equity - type convertible bonds, as well as the valuation trends of convertible bonds with different parities [19][25] 2.4 Convertible Bond Prices - Showed the proportion trend of high - priced bonds and the median price trend of convertible bonds [27]