Group 1 - The report highlights that from September 15 to 19, the equity market showed a decline after a period of strength, with the Wande All A index closing at 6209.37, down 0.18% from September 12, while the China Convertible Bond index fell by 1.55, indicating a continued state of valuation retreat [1][9]. - Despite increased market volatility in September, there is a persistent inflow of funds into thematic ETFs, suggesting that investors are not abandoning thematic pursuits but are instead looking for new opportunities to capitalize on [1][16]. - The report notes that low-priced stocks have shown significant excess returns in September, which some investors associate with a potential end to the bull market; however, the report argues that this strength may be linked to retail investor participation and market style shifts rather than signaling a market downturn [2][54]. Group 2 - The report discusses the reasons behind the excess returns of low-priced stocks, including the influence of small investors who find it easier to invest in low-priced stocks due to minimum trading unit restrictions, which limits their ability to purchase high-priced stocks [2][43]. - It is noted that low-priced stocks often follow a pattern of rallying after small-cap stocks during liquidity-driven bull markets, as seen in previous cycles from 2014 to 2015 [2][46]. - The convertible bond market has faced increased trading difficulties following sharp price fluctuations, with valuation compression observed, leading to a challenging investment environment [3][59].

Quantitative Models and Construction Methods 1. Model Name: "百元转股溢价率" (100 Yuan Conversion Premium Rate) - **Model Construction Idea**: This model compares the valuation of convertible bonds and their underlying stocks by calculating a time-series comparable valuation indicator, "百元转股溢价率", and uses rolling historical percentiles to measure the relative allocation value between convertible bonds and stocks [3][13] - **Model Construction Process**: 1. Fit the relationship curve between the conversion premium rate and conversion value in the cross-sectional space at each time point 2. Substitute a conversion value of 100 into the fitted formula to obtain the "百元转股溢价率" 3. Formula: $$ y_{i} = \alpha_{0} + \alpha_{1} \cdot \frac{1}{x_{i}} + \epsilon_{i} $$ - \( y_{i} \): Conversion premium rate of the \( i \)-th bond - \( x_{i} \): Conversion value of the \( i \)-th bond - \( \alpha_{0}, \alpha_{1} \): Fitted coefficients - \( \epsilon_{i} \): Residual term [43] - **Model Evaluation**: The rolling three-year and five-year percentiles of this indicator are at 98.00% and 93.70%, respectively, indicating that convertible bonds are relatively expensive compared to stocks [3][13] 2. Model Name: "修正 YTM – 信用债 YTM"中位数 (Modified YTM - Credit Bond YTM Median) - **Model Construction Idea**: This model evaluates the relative allocation value between debt-oriented convertible bonds and credit bonds by stripping the impact of conversion terms on the convertible bond's yield-to-maturity (YTM) [4][13] - **Model Construction Process**: 1. Adjust the YTM of debt-oriented convertible bonds using the formula: $$ \text{Modified YTM} = \text{Convertible Bond YTM} \times (1 - \text{Conversion Probability}) + \text{Expected Conversion Yield} \times \text{Conversion Probability} $$ 2. Calculate the conversion probability using the Black-Scholes (BS) model, incorporating stock price, strike price, stock volatility, remaining term, and discount rate 3. Compute the difference between the modified YTM and the YTM of credit bonds with the same rating and term 4. Take the median of these differences across all debt-oriented convertible bonds: $$ \text{"修正 YTM – 信用债 YTM"中位数} = \text{median}\{X_1, X_2, ..., X_n\} $$ - \( X_i \): Difference for the \( i \)-th bond - \( n \): Number of debt-oriented convertible bonds [44] - **Model Evaluation**: The current median value is -2.48%, indicating that the overall cost-effectiveness of debt-oriented convertible bonds is relatively low [4][13] --- Quantitative Factors and Construction Methods 1. Factor Name: 转股溢价率偏离度 (Conversion Premium Deviation) - **Factor Construction Idea**: Measures the deviation of the conversion premium rate from its fitted value, making it comparable across different parities [18] - **Factor Construction Process**: - Formula: $$ \text{Conversion Premium Deviation} = \text{Conversion Premium Rate} - \text{Fitted Conversion Premium Rate} $$ - The number of convertible bonds determines the fitting quality [18] 2. Factor Name: 理论价值偏离度 (Theoretical Value Deviation) - **Factor Construction Idea**: Measures the price expectation difference using a Monte Carlo simulation that fully considers the terms of convertible bonds (e.g., conversion, redemption, downward revision, and resale) [18] - **Factor Construction Process**: - Formula: $$ \text{Theoretical Value Deviation} = \frac{\text{Convertible Bond Closing Price}}{\text{Theoretical Value}} - 1 $$ - Theoretical value is calculated by simulating 10,000 paths at each time point using the Monte Carlo method, with the same credit term interest rate as the discount rate [18] 3. 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 the systematic allocation value of convertible bonds [17][18] - **Factor Construction Process**: - Formula: $$ \text{Convertible Bond Comprehensive Valuation Factor} = \text{Rank(Conversion Premium Deviation)} + \text{Rank(Theoretical Value Deviation)} $$ - Select the top 1/3 of convertible bonds based on this factor to construct low-valuation indices for different styles (e.g., equity-biased, balanced, debt-biased) [18][19] 4. Factor Name: 转债市场情绪捕捉指标 (Convertible Bond Market Sentiment Capture Indicator) - **Factor Construction Idea**: Captures market sentiment using momentum and volatility deviation of convertible bonds [24] - **Factor Construction Process**: - Formula: $$ \text{Market Sentiment Capture Indicator} = \text{Rank(20-day Momentum)} + \text{Rank(Volatility Deviation)} $$ - Use the median value of these indicators within low-valuation style indices to determine sentiment [25] --- Backtesting Results of Models 1. "百元转股溢价率" Model - Rolling three-year percentile: 98.00% - Rolling five-year percentile: 93.70% [3][13] 2. "修正 YTM – 信用债 YTM" Model - Current median value: -2.48% [4][13] --- Backtesting Results of Factors 1. 转债综合估值因子 - Equity-biased convertible bond low-valuation index: - Annualized return: 25.46% - Annualized volatility: 20.55% - Maximum drawdown: -22.94% - IR: 1.24 - Calmar ratio: 1.11 - Monthly win rate: 62.64% [21] - Balanced convertible bond low-valuation index: - Annualized return: 14.85% - Annualized volatility: 11.88% - Maximum drawdown: -15.95% - IR: 1.25 - Calmar ratio: 0.93 - Monthly win rate: 62.64% [21] - Debt-biased convertible bond low-valuation index: - Annualized return: 13.31% - Annualized volatility: 9.50% - Maximum drawdown: -17.78% - IR: 1.40 - Calmar ratio: 0.75 - Monthly win rate: 58.24% [21] 2. 转债市场情绪捕捉指标 - Convertible bond style rotation strategy: - Annualized return: 24.37% - Annualized volatility: 16.71% - Maximum drawdown: -15.89% - IR: 1.46 - Calmar ratio: 1.53 - Monthly win rate: 64.84% [30]

Core Viewpoint - The convertible bond market is experiencing significant growth, driven by the overall rise in the A-share market and increasing institutional demand, despite a notable reduction in the supply of convertible bonds due to strong redemptions and maturities [1][2]. Group 1: Market Performance - The A-share market has reached new highs not seen since 2015, with the China Convertible Bond Index also hitting a new peak, closing at 490.98 points, a 0.46% increase [1]. - The scarcity of convertible bonds has attracted substantial inflows from public funds, insurance, and bank wealth management products, contributing to the market's upward momentum [1]. Group 2: Valuation Metrics - The median price of convertible bonds has risen to 130 yuan, indicating a high absolute price level [1][2]. - The convertible bond market's conversion premium rate stands at 27%, suggesting a relatively reasonable valuation despite the high median price [2]. Group 3: Investment Considerations - The acceleration of strong redemptions is expected as the median price exceeds 130 yuan, making it crucial for investors to avoid convertible bonds that may be subject to early redemption [3]. - Investors face dual pressures of compressed premiums and increased selling from a rapidly expanding circulation if early redemptions occur unexpectedly [3].

1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - The convertible bond market continues to rise with the equity market, with trading volume exceeding 10 billion yuan for multiple days. The market's fear and sensitivity to high valuations have decreased. Although high valuations still suppress the willingness to increase positions, most institutions choose to maintain their current positions and profit from high - to - low rotations. In the short term, there are no domestic negative factors, and the impact of the semi - annual reports is limited. With optimistic expectations for equities, convertible bonds may continue to break through. If there is a correction, the opportunities outweigh the risks, and appropriate low - buying can be considered. The equity market is expected to strengthen with fluctuations, and the driving force of this bull market comes from the improvement of grass - roots governance capabilities and technological competitiveness, which boosts public confidence [5][8]. 3. Summary by Relevant Catalog 3.1 Convertible Bond View: Trading Heat Hits a New High, and Valuation Has Not Peaked - The convertible bond market continues to rise with the equity market, and trading volume has exceeded 10 billion yuan for multiple days, last seen in the September 24, 2024, market. The market's fear and sensitivity to high valuations have decreased. Currently, the positions of public - offering convertible bonds are generally not high, and the previous profit - taking sentiment has changed. However, high valuations still suppress the willingness to increase positions, and most institutions choose to maintain their current positions and profit from high - to - low rotations. There are no short - term domestic negative factors, and the impact of the semi - annual reports is limited. With optimistic expectations for equities, convertible bonds may continue to break through, and if there is a correction, the opportunities outweigh the risks, allowing for appropriate low - buying [8]. - Last week, the A - share market continued to rise. Policies and data such as the suspension of the 24% tariff between China and the US for 90 days, the introduction of interest - subsidy policies to stimulate consumption, and a slight rebound in the CPI in July had a positive impact on market sentiment. The Shanghai Composite Index once exceeded 3700 points, with the financial and technology sectors leading the rise, especially the securities brokerage sector, which boosted market sentiment. The equity market is expected to strengthen with fluctuations, and the driving force of this bull market comes from the improvement of grass - roots governance capabilities and technological competitiveness, which boosts public confidence [8]. 3.2 Convertible Bond Review: The Stock Market Reaches a New High, and Convertible Bonds Rise Accordingly 3.2.1 Market Overall Performance: The Equity Market Rises with Increased Volume, Led by Technology and Securities Brokerage - From August 11th to August 15th, the market rose with increased volume. The Shanghai Composite Index rose 1.70%, the Shenzhen Component Index rose 4.55%, the CSI 300 rose 2.37%, the CSI 1000 rose 4.09%, the ChiNext Index rose 8.58%, the STAR 50 rose 5.53%, and the Beijing Stock Exchange 50 rose 2.40%. In terms of industries, communication, electronics, and non - bank finance led the rise, while banking, steel, and textile clothing led the decline. The average daily trading volume increased significantly by 404.382 billion yuan to 2.1 trillion yuan [11]. - The top ten convertible bonds in terms of gains last week were Outong, Dayuan, Jintong, Weixin, Youzu, Dongcai, Bo23, Zhongqi, Huamao, and Dongjie Convertible Bonds. In terms of trading volume, Outong, Dayuan, Jiaojian, Zhongqi, Dongjie, Tianlu, Rongtai, Haitai, Saili, and Dongcai Convertible Bonds were relatively active [11]. 3.2.2 Convertible Bonds' Trading Volume Hits a New High, with High - Priced and Small - Cap Bonds Leading the Rise - Last week, convertible bonds significantly followed the rise, with the average daily trading volume increasing significantly to 9.3085 billion yuan. The CSI Convertible Bond Index rose 1.60%, the parity center rose 0.8% to 109.4 yuan, and the conversion premium rate center decreased 0.5% to 21.3%. In terms of style, high - priced and small - cap convertible bonds performed well last week, while AAA - rated and large - cap convertible bonds were relatively weak [15].

- The report discusses the valuation of convertible bonds (CB) using the pricing deviation indicator, which is calculated as the ratio of the CB price to the CCBA model price minus one. As of August 15, 2025, the pricing deviation indicator for the CB market is 5.42%, placing it in the 99.9th percentile since 2018, indicating a high valuation zone[6] - The report also mentions a rotation strategy between CBs and a stock-bond portfolio based on the pricing deviation indicator. The strategy involves calculating a Z-score from the pricing deviation and its standard deviation over the past three years, then adjusting the CB weight accordingly. This strategy has historically generated stable excess returns[21][23] - The report evaluates different CB strategies, including a low-valuation strategy, a low-valuation plus strong momentum strategy, a low-valuation plus high turnover strategy, a balanced debt-enhanced strategy, a credit bond replacement strategy, and a volatility control strategy. Each strategy is constructed using specific factors and has shown varying degrees of absolute and excess returns since 2018[33][36][40][44][48][52] Model and Factor Construction 1. **Pricing Deviation Indicator**: - **Construction Idea**: Measure the deviation of CB prices from their theoretical values - **Construction Process**: - Calculate the pricing deviation as follows: $ \text{Pricing Deviation} = \frac{\text{CB Price}}{\text{CCBA Model Price}} - 1 $ - Use this indicator to assess the valuation level of the CB market[6] - **Evaluation**: Indicates that the CB market is currently in a high valuation zone[6] 2. **Rotation Strategy Between CBs and Stock-Bond Portfolio**: - **Construction Idea**: Rotate between CBs and a stock-bond portfolio based on CB valuation - **Construction Process**: - Calculate the Z-score of the pricing deviation: $ Z = \frac{\text{Pricing Deviation}}{\text{Standard Deviation (3 years)}} $ - Adjust the CB weight using the Z-score: $ \text{CB Weight} = 50\% + 50\% \times \text{Z-score} $ - Allocate the remaining weight to the stock-bond portfolio[21] - **Evaluation**: This strategy has historically generated stable excess returns[21][23] 3. **Low-Valuation Strategy**: - **Construction Idea**: Select CBs with the lowest valuation deviations - **Construction Process**: - Use the CCB_out model to calculate the pricing deviation: $ \text{Pricing Deviation} = \frac{\text{CB Price}}{\text{CCB_out Model Price}} - 1 $ - Select the 15 CBs with the lowest deviations in each of the debt, balanced, and equity-biased categories (total 45 CBs) - Ensure the selected CBs have a balance of over 300 million and a rating of AA- or above[33] - **Evaluation**: This strategy has shown strong stability and significant absolute and excess returns since 2018[33] 4. **Low-Valuation + Strong Momentum Strategy**: - **Construction Idea**: Combine low valuation with strong momentum for higher elasticity - **Construction Process**: - Combine the pricing deviation factor with the stock momentum factor (1, 3, 6 months) - Select CBs based on combined scores[36] - **Evaluation**: This strategy has shown strong elasticity and significant absolute and excess returns since 2018[36] 5. **Low-Valuation + High Turnover Strategy**: - **Construction Idea**: Combine low valuation with high turnover for higher liquidity - **Construction Process**: - Select the lowest 50% valuation CBs - Within this pool, select CBs with the highest turnover rates (5, 21 days) and the highest CB to stock turnover ratios (5, 21 days)[40] - **Evaluation**: This strategy has shown stable excess returns and significant absolute returns since 2018[40] 6. **Balanced Debt-Enhanced Strategy**: - **Construction Idea**: Enhance returns by combining low valuation with turnover and momentum factors - **Construction Process**: - Select the lowest 50% valuation CBs, excluding equity-biased CBs - Use turnover and momentum factors for debt-biased CBs and turnover factors for balanced CBs[44] - **Evaluation**: This strategy has shown significant absolute returns with low volatility and drawdown since 2018[44] 7. **Credit Bond Replacement Strategy**: - **Construction Idea**: Replace credit bonds with CBs for higher returns - **Construction Process**: - Select CBs with YTM + 1% greater than 3-year AA credit bond YTM - Ensure selected CBs have a balance of over 300 million and a rating of AA- or above - Select the top 20 CBs based on 1-month stock momentum, with a maximum weight of 2% per CB - Use volatility control to reduce short-term drawdown, allocate remaining weight to credit bonds[48] - **Evaluation**: This strategy has shown stable returns with low volatility and drawdown since 2018[48] 8. **Volatility Control Strategy**: - **Construction Idea**: Control portfolio volatility while enhancing returns - **Construction Process**: - Select the top 15 CBs in each of the debt, balanced, and equity-biased categories based on low valuation and strong momentum scores - Use volatility control to maintain portfolio volatility at 4% - Allocate remaining weight to credit bonds[52] - **Evaluation**: This strategy has shown stable returns with controlled volatility and drawdown since 2018[52] Model and Factor Backtest Results 1. **Low-Valuation Strategy**: - **Annualized Return**: 23.0% - **Annualized Volatility**: 13.5% - **Maximum Drawdown**: 15.6% - **Excess Return**: 11.9% - **IR**: 2.08[36] 2. **Low-Valuation + Strong Momentum Strategy**: - **Annualized Return**: 25.4% - **Annualized Volatility**: 14.2% - **Maximum Drawdown**: 11.9% - **Excess Return**: 14.0% - **IR**: 2.32[40] 3. **Low-Valuation + High Turnover Strategy**: - **Annualized Return**: 25.2% - **Annualized Volatility**: 15.2% - **Maximum Drawdown**: 15.9% - **Excess Return**: 13.9% - **IR**: 2.20[44] 4. **Balanced Debt-Enhanced Strategy**: - **Annualized Return**: 23.2% - **Annualized Volatility**: 12.2% - **Maximum Drawdown**: 13.4% - **IR**: Not provided[48] 5. **Credit Bond Replacement Strategy**: - **Annualized Return**: 7.5% - **Annualized Volatility**: 2.1% - **Maximum Drawdown**: 2.8% - **IR**: Not provided[52] 6. **Volatility Control Strategy**: - **Annualized Return**: 10.2% - **Annualized Volatility**: 4.4% - **Maximum Drawdown**: 4.2% - **IR**: Not provided[56]

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - The current valuation of convertible bonds is relatively high from the perspective of implied volatility, close to the peak in 2022, and there is a certain risk of short - term callback in the convertible bond index [10][17]. - The A - share market still shows good allocation cost - performance, and the weak resonance between the domestic economic fundamentals and the capital market is expected to gradually start. In the convertible bond market, considering the impact of refinancing policies, there is certain support on the demand side under the background of shrinking supply. However, be vigilant about the callback risk as the overall valuation is already at a relatively high level [21]. - In terms of industries, pay attention to popular themes, domestic demand - oriented sectors, central state - owned enterprises represented by "China -字头", and the military industry [22]. 3. Summary According to the Directory 3.1. Convertible Bond Weekly Special and Outlook 3.1.1. Implied Volatility: How about the Current Valuation of Convertible Bonds? - As of this Friday, the closing point of the China Securities Convertible Bond Index reached 475.25, a new high in recent years, with a year - to - date increase of 14.64%, slightly lower than the 16.19% increase of the Wind All - A Index [10]. - The overall implied volatility of convertible bonds has been rising since September 2024 and is now significantly higher than the annual highs since 2018. The implied volatility difference has accelerated its upward trend since April this year and is now above the 95% historical quantile, indicating that the overall valuation of convertible bonds is at a relatively high historical level [10]. - There is a certain differentiation in the valuation of convertible bonds. The valuation of convertible bonds with a parity of 50 - 80 is at a high historical quantile, while that of convertible bonds with a parity greater than 120 is relatively low. Some convertible bonds may still have room for valuation improvement [11]. - The RSJ_60 indicator of the China Securities Convertible Bond Index is currently above the 95% quantile of the past year, suggesting a certain short - term callback risk [17]. 3.1.2. Weekly Review and Market Outlook - This week, the market fluctuated upwards. The A - share market had mixed performance on different days, with various sectors rising and falling. Looking ahead, the A - share market shows good allocation cost - performance. The domestic economic fundamentals are expected to gradually resonate with the capital market [18][21]. - In the convertible bond market, pay attention to the game space of downward revision clauses, be vigilant about the forced redemption risk, and appropriately focus on the short - term game opportunities of near - maturity convertible bonds [21]. - Industries to focus on include popular themes, domestic demand - oriented sectors, central state - owned enterprises, and the military industry [22]. 3.2. Weekly Tracking of the Convertible Bond Market 3.2.1. Equity Market Closed Higher - This week, major equity market indices closed higher. The Wind All - A Index rose 2.95%, the Shanghai Composite Index rose 1.70%, the Shenzhen Component Index rose 4.55%, and the ChiNext Index rose 8.58%. Market style favored small - cap value stocks [25]. - Among the Shenwan industry indices, 22 industries rose and 9 fell. The communication, electronics, and non - bank finance industries led the gains, while the banking, steel, and textile and apparel industries led the losses [27]. 3.2.2. Convertible Bond Market Closed Higher, and the Premium Rate per 100 Par Value Decreased - This week, the convertible bond market closed higher. The China Securities Convertible Bond Index rose 1.60%, the Shanghai Convertible Bond Index rose 1.53%, the Shenzhen Convertible Bond Index rose 1.71%, the Wind Convertible Bond Equal - Weighted Index rose 2.33%, and the Wind Convertible Bond Weighted Index rose 1.27% [29]. - The average daily trading volume of the convertible bond market increased. The average daily trading volume this week was 93.085 billion yuan, an increase of 8.61 billion yuan compared with last week, and the total weekly trading volume was 465.424 billion yuan [29]. - In terms of industries, 24 convertible bond industries rose and 5 fell. The non - bank finance, communication, and machinery and equipment industries led the gains, while the social services, banking, and national defense and military industries led the losses [34]. - Most individual convertible bonds rose (357 out of 454). The top five gainers were Outong Convertible Bond, Dayuan Convertible Bond, Jintong Convertible Bond, Weixin Convertible Bond, and Youzu Convertible Bond; the top five losers were Xince Convertible Bond, Jing 23 Convertible Bond, Gaoce Convertible Bond, Yingji Convertible Bond, and Sheyan Convertible Bond; the top five in terms of trading volume were Outong Convertible Bond, Dayuan Convertible Bond, Jiaojian Convertible Bond, Zhongqi Convertible Bond, and Dongjie Convertible Bond [36]. - The weighted conversion value of the whole market increased, and the premium rate decreased. The weighted average conversion value at the end of this week was 99.15 yuan, an increase of 0.99 yuan compared with last week; the weighted conversion premium rate was 41.69%, a decrease of 0.04 pct compared with last week [44]. 3.2.3. High - Frequency Tracking of Different Types of Convertible Bonds 3.2.3.1. Classification Valuation Changes - This week, there was valuation differentiation in the convertible bond structure. The valuations of convertible bonds with a parity of 0 - 80 and 100 - 110 decreased, while those of most other parity convertible bonds increased. The valuations of AAA - rated and A - and - below - rated convertible bonds increased, while those of other rated convertible bonds decreased. The valuations of small - cap and large - cap convertible bonds increased, while those of other scale - graded convertible bonds decreased [53]. - Since the beginning of 2024, the conversion premium rates of equity - biased and balanced convertible bonds have rebounded from the bottom. As of this Friday, the conversion premium rate of equity - biased convertible bonds is above the 35% quantile since 2017, and that of balanced convertible bonds is above the 50% quantile since 2017 [53]. 3.2.3.2. Market Index Performance - This week, convertible bonds of all ratings rose. Since 2023, convertible bonds of different ratings have recorded different levels of returns, with high - rated convertible bonds showing more stable performance and low - rated convertible bonds showing weaker anti - decline ability and greater rebound strength [65]. - This week, convertible bonds of all scales rose. Since 2023, small - cap convertible bonds have recorded the highest return, followed by medium - small - cap, medium - cap, and large - cap convertible bonds in descending order [65]. 3.3. Tracking of Convertible Bond Supply and Terms 3.3.1. This Week's Primary Market Issuance Plans - This week, 2 convertible bonds have been issued but not yet listed, and 3 convertible bonds have passed the primary approval. From the beginning of 2023 to August 15, 2025, there have been 89 planned convertible bonds with a total scale of 139.408 billion yuan [72][73]. 3.3.2. Downward Revision and Redemption Clauses - This week, 5 convertible bonds announced that they were expected to trigger downward revision, 8 convertible bonds announced that they would not be downward - revised, 2 convertible bonds proposed downward revision, and 3 convertible bonds announced the results of downward revision [77]. - This week, 18 convertible bonds announced that they were expected to trigger redemption, 6 convertible bonds announced that they would not be redeemed in advance, and 4 convertible bonds announced early redemption [80][81][82]. - As of the end of this week, 4 convertible bonds are still in the put - option declaration period, and 11 convertible bonds are still in the company's capital - reduction and debt - settlement declaration period [85].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The convertible bond market is currently in a state of high sentiment. With the support of valuation, convertible bonds have outperformed underlying stocks, and the median price, 100 - yuan valuation, and convertible bond index are all at historical highs. The market shows a differentiated structure. For low - volatility fundamental and mid - to high - priced convertible bonds, trading may be better than allocation due to potential price - fluctuation risks. For high - elasticity fundamental and high - priced convertible bonds, they are the most elastic variety in the market, and their space is expected to expand further. Currently, with the continuous rise of risk preference, small - cap and low - rated convertible bonds may become the key areas for capital speculation, while high - rated and large - cap convertible bonds can focus on downward - revision games [4][5]. 3. Summary by Relevant Catalogs 3.1 Weekly View and Outlook - **Low - volatility and Mid - to High - priced Convertible Bonds**: Since 2025, the imbalance between supply and demand in the convertible bond market has led to strong performance of traditional low - priced convertible bonds. The median price of the whole market has been rising, and the premium rate of low - parity convertible bonds is at a historical high. Due to the lack of elasticity in the underlying stock fundamentals and strong call expectations, there may be price - fluctuation risks at high premium rates, so trading is preferred over allocation [4][5]. - **High - elasticity and High - priced Convertible Bonds**: These are traditional high - parity and high - priced convertible bonds with high volatility. In Q2 2025, their performance was relatively limited, and the valuation was not high, with strong call risks being a significant constraint. However, the underlying stock fundamentals are relatively good, and the support logic is clear. Since Q3, their elasticity has gradually been released. Even if a call notice is issued, the impact on the bond price is expected to be controllable in the context of sufficient liabilities. Currently, with the continuous rise of risk preference, small - cap and low - rated convertible bonds may be the focus of capital speculation, and high - rated and large - cap convertible bonds can focus on downward - revision games to find potential trading opportunities [4][5]. 3.2 Convertible Bond Valuation - This week, both convertible bonds and underlying stocks continued to rise, and the increase of convertible bonds exceeded that of underlying stocks. The valuation of convertible bonds was extremely strong. The 100 - yuan premium rate of the whole - market convertible bonds was 35%, with a single - week increase of 1.21%, and the latest quantile was at the 93.40% percentile since 2017. The valuation of both high - and low - rated convertible bonds increased by more than 1% this week. After removing outliers, the 100 - yuan valuations of high - and low - rated convertible bonds were both at extreme levels since 2017 [4][7]. - The convertible bond yield to maturity reached a new low since 2017, reporting - 6.27%. As of the latest data, the conversion premium rate index, pure - bond premium rate index, and yield to maturity were 42.08%, 43.32%, and - 6.27% respectively, with changes of - 0.27%, + 3.96%, and - 0.67% compared to last week, and their current quantile levels were at the 62.10%, 77.20%, and 0.00% percentiles since 2017 [4][9]. 3.3 Clause Tracking 3.3.1 Redemption - This week, convertible bonds such as Kaineng, Yaoshi, and Gaoce issued early redemption announcements. Currently, there are 24 convertible bonds that have issued call or maturity redemption announcements but have not been delisted, and the potential conversion or maturity balance of these non - delisted convertible bonds is 4.4 billion yuan. There are currently 41 convertible bonds in the redemption process, and 17 are expected to meet the redemption conditions next week. Also, 6 convertible bonds issued non - redemption announcements this week [4][14]. 3.3.2 Downward Revision - This week, Tianye and Huayang convertible bonds proposed downward revisions, and Jinneng, Lanfan, and Tian 23 announced downward revisions. Among them, Jinneng and Tian 23 convertible bonds were revised downward to the maximum, while Lanfan was not. As of the latest data, 136 convertible bonds are in the non - downward - revision interval, 23 cannot be revised downward due to net - asset constraints, 1 has triggered the condition but the stock price is still below the downward - revision trigger price without an announcement, 27 are accumulating downward - revision days, and 3 have issued downward - revision board proposals but have not yet held a general meeting of shareholders [4][20]. 3.3.3 Put Option - No convertible bonds issued put - option announcements this week. As of the latest data, 2 convertible bonds have issued put - option announcements, and 4 are accumulating put - option trigger days, among which 2 are in the non - downward - revision interval and 2 are accumulating downward - revision days [4][22]. 3.4 Primary Issuance - This week, Kaizhong convertible bonds issued an issuance announcement. As of now, Weidao and Kaizhong convertible bonds have been issued but have not yet determined their listing dates. There are currently 5 convertible bonds in the approval - registration progress, with a total issuance scale of 5.4 billion yuan, and 4 in the listing - committee approval progress, with a total issuance scale of 9 billion yuan [4][24].

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - From January to August 15, 2025, the convertible bond market outperformed the equity market, with the CSI Convertible Bond Index rising 14.6% and the CSI All-Share Index rising 13.9%. Although the current convertible bond valuation quantiles are close to or exceed historical highs, the equity market is booming, and convertible bonds are still worth looking forward to [1][4]. 3. Summary by Relevant Catalogs Market Conditions - From August 11 to August 15, 2025, the CSI Convertible Bond Index rose 1.6% (2.3% last week), and the CSI All-Share Index rose 2.9% (1.9% last week). The convertible bond market continued to rise [1]. - By rating, high-rated bonds (AA+ and above), medium-rated bonds (AA), and low-rated bonds (AA- and below) rose 1.7%, 2.0%, and 2.7% respectively this week, with low-rated bonds having the largest increase [1]. - By convertible bond size, large-scale convertible bonds (bond balance > 5 billion yuan), medium-scale convertible bonds (balance between 500 million and 5 billion yuan), and small-scale convertible bonds (balance < 500 million yuan) rose 0.7%, 2.0%, and 3.1% respectively this week, with small-scale convertible bonds having the largest increase [1]. - By conversion parity, ultra-high parity bonds (conversion value > 130 yuan), high parity bonds (conversion value between 110 - 130 yuan), medium parity bonds (conversion value between 90 - 110 yuan), low parity bonds (conversion value between 70 - 90 yuan), and ultra-low parity bonds (conversion value < 70 yuan) rose 5.9%, 1.9%, 1.4%, 0.9%, and 0.7% respectively this week, with ultra-high parity bonds having the largest increase [2]. Current Convertible Bond Valuation Levels - As of August 15, 2025, there were 456 outstanding convertible bonds (461 at the end of last week), with a balance of 627.415 billion yuan (631.809 billion yuan at the end of last week) [3]. - The average convertible bond price was 131.58 yuan (130.35 yuan last week), with a quantile of 100%; the average convertible bond parity was 104.19 yuan (103.18 yuan last week), with a quantile of 94.8%; the average convertible bond conversion premium rate was 28.6% (28.1% last week), with a quantile of 57.4%. Among them, the conversion premium rate of medium-parity convertible bonds (conversion value between 90 - 110 yuan) was 30.8% (29.6% last week), higher than the median conversion premium rate of medium-parity convertible bonds since 2018 (20.1%) [3]. Convertible Bond Increase Situation - This week, the top 5 convertible bonds with the largest increases were Outong Convertible Bond (64.48%), Dayuan Convertible Bond (63.01%), Jintong Convertible Bond (39.50%), Weixin Convertible Bond (27.57%), and Youzu Convertible Bond (25.09%) [21].

1. Report Industry Investment Rating No information provided in the given text. 2. Core Viewpoints of the Report - In the short - term, the investment demand for convertible bonds from insurance and annuity remains. With the shrinking of traditional high - quality underlying bonds like banks, convertible bond funds may flow to low - price, high - grade medium - large - cap convertible bonds in sectors such as utilities, transportation, environmental protection, and construction. The valuation decline of medium - low - price and balanced convertible bonds is controllable, and the valuation of high - grade convertible bonds may rise. In the long - term, if the new issuance space of convertible bonds remains unopened, it may significantly affect the market positioning of convertible bond assets, especially if new medium - high - grade convertible bonds are continuously absent, which may impact the basic demand for convertible bond allocation of low - risk - preference investors such as annuities and disrupt the logic of "tight supply - demand supporting high convertible bond valuations" [22] - The current A - share market valuation is recovering. Large - scale equipment updates and consumer goods trade - in measures are expected to boost domestic demand, while export growth may decline. A weak resonance between the domestic economic fundamentals and the capital market is expected to gradually start. For convertible bonds, considering the impact of refinancing policies, the subsequent issuance pressure is not expected to be high. As the stock market recovers, the return of incremental convertible bond funds drives the valuation to a relatively high historical level, and attention should be paid to the risk of valuation correction. In terms of clauses, attention should be paid to the game space of downward revisions, be vigilant against the forced redemption risk, and appropriately focus on the short - term game opportunities of near - maturity convertible bonds [42] 3. Summary According to the Directory 3.1. Convertible Bond Weekly Special and Outlook 3.1.1. Supply - Demand Structure and Convertible Bond Valuation - Since the fourth quarter of 2023, the new issuance of convertible bonds has significantly declined, while the amount of conversion and maturity has increased. The scale of outstanding convertible bonds has entered a downward channel, with AAA - rated convertible bonds being the main force of contraction. The scale of convertible bonds in industries such as banks, public utilities, environmental protection, and transportation has decreased significantly. As of August 8, 2025, the convertible bond scale has decreased by nearly 70 billion yuan this year [10] - Starting from 2025, the convertible bond market will enter a maturity peak. In 2025, 134 convertible bonds will mature, with an initial issuance scale of 279.3 billion yuan. As of July 31, 2025, 20 of these 134 convertible bonds remain, with a total remaining scale of 48.178 billion yuan. From 2026 to 2028, the theoretical maturity scale of convertible bonds will exceed 200 billion yuan each year. In terms of ratings, from 2025 to 2027, the maturity scale of AAA - rated convertible bonds will be 39.1 billion yuan, 31.3 billion yuan, and 81.8 billion yuan respectively, remaining the main force of future contraction. The maturity scale of AA - and above - rated convertible bonds will be 47.4 billion yuan, 83.5 billion yuan, and 153.3 billion yuan respectively during the same period [16] - On the demand side, compared with the end of 2021, the investor structure of convertible bonds has changed. The influence of public funds and insurance institutions has increased, while the proportion of enterprise annuities has decreased. Public funds are the main direct investors in convertible bonds, with relatively few restrictions on convertible bond ratings. Pension and insurance institutions usually have clear convertible bond rating restrictions and focus on the safety margin and return certainty of convertible bond prices [21] 3.1.2. Weekly Review and Market Outlook - This week, the market showed an oscillating upward trend, with most of the three major indices rising, but there was differentiation and a slight correction in the second half of the week. The defense, machinery, and non - ferrous metal sectors performed well, while sectors such as commerce and retail, petroleum and petrochemicals, and social services declined [41] - For the stock market outlook, the current A - share market valuation is recovering. Large - scale equipment updates and consumer goods trade - in measures are expected to boost domestic demand, while export growth may decline. A weak resonance between the domestic economic fundamentals and the capital market is expected to gradually start. For convertible bonds, considering the impact of refinancing policies, the subsequent issuance pressure is not expected to be high. As the stock market recovers, the return of incremental convertible bond funds drives the valuation to a relatively high historical level, and attention should be paid to the risk of valuation correction. In terms of clauses, attention should be paid to the game space of downward revisions, be vigilant against the forced redemption risk, and appropriately focus on the short - term game opportunities of near - maturity convertible bonds. Industries to focus on include hot topics, domestic demand - driven sectors, central state - owned enterprises represented by "China -字头", the "Belt and Road" theme, high - dividend sectors, and the military industry [42][43] 3.2. Weekly Tracking of the Convertible Bond Market 3.2.1. Equity Market Rises, with Military, Metal, and Machinery Leading - This week, the main equity market indices rose. The Wind All - A Index rose 1.94%, the Shanghai Composite Index rose 2.11%, the Shenzhen Component Index rose 1.25%, and the ChiNext Index rose 0.49%. The market style was more inclined to small - cap value. Among the small - cap indices, the CSI 1000 Index rose 2.51% and the STAR 50 Index rose 0.65% [46] - Among the 27 Shenwan industries, 27 rose and 4 fell. The defense, non - ferrous metal, and machinery industries led the market with increases of 5.93%, 5.78%, and 5.37% respectively, while the pharmaceutical, computer, and commerce and retail industries were among the top decliners [49] 3.2.2. Convertible Bond Market Soars, and the Median of the 100 - Yuan Premium Rate Increases - This week, the convertible bond market rose. The CSI Convertible Bond Index rose 2.31%, the Shanghai Convertible Bond Index rose 2.25%, the Shenzhen Convertible Bond Index rose 2.42%, the Wind Convertible Bond Equal - Weighted Index rose 2.73%, and the Wind Convertible Bond Weighted Index rose 2.23% [51] - The average daily trading volume of convertible bonds increased this week. The average daily trading volume of the convertible bond market was 84.475 billion yuan, an increase of 7.259 billion yuan compared with last week. The total trading volume this week was 422.376 billion yuan [51] - At the industry level of convertible bonds, 29 industries rose and 0 fell. The machinery, defense, and beauty care industries led the market with increases of 4.51%, 4.40%, and 4.04% respectively. At the corresponding underlying stock level, 26 industries rose and 3 fell. The household appliance, bank, and machinery industries led the market with increases of 6.75%, 4.97%, and 4.70% respectively, while the building material, computer, and petroleum and petrochemical industries led the decline [56] - Most individual convertible bonds rose this week (428 out of 459). Excluding the closing data of newly - listed convertible bonds this week, the top five convertible bonds in terms of weekly increase were Jiaojian Convertible Bond (23.15%), Julong Convertible Bond (21.65%), Gaoce Convertible Bond (16.82%), Dongjie Convertible Bond (16.32%), and Borui Convertible Bond (14.97%); the top five convertible bonds in terms of weekly decline were Qizheng Convertible Bond (- 22.67%), Haopeng Convertible Bond (- 11.77%), Saili Convertible Bond (- 10.79%), Yingji Convertible Bond (- 7.58%), and Tianlu Convertible Bond (- 6.95%); the top five convertible bonds in terms of weekly trading volume were Dongjie Convertible Bond (19.443 billion yuan), Jinxian Convertible Bond (17.852 billion yuan), Tianlu Convertible Bond (16.819 billion yuan), Julong Convertible Bond (15.168 billion yuan), and Qizheng Convertible Bond (14.694 billion yuan) [58] - The number of absolute low - price convertible bonds decreased, and the median price of convertible bonds rose significantly. As of Friday, the median price of the entire market's convertible bonds closed at 130.41 yuan, an increase of 2.78 yuan compared with last weekend. The weighted conversion value of the entire market increased, and the premium rate rose. The median implied volatility of the entire market increased, and the pure - bond premium rate of debt - biased convertible bonds increased [62][66] 3.2.3. High - Frequency Tracking of Different Types of Convertible Bonds 3.2.3.1. Classification Valuation Changes - This week, the valuations of equity - biased and balanced convertible bonds slightly declined, with the decline in equity - biased convertible bonds being higher. The valuation of convertible bonds with a conversion value of 110 - 120 yuan declined, while the valuations of other convertible bonds increased, especially those with a conversion value of 0 - 80 yuan and 100 - 110 yuan. The valuations of most convertible bonds of each rating increased, except for AAA and A and below. The valuations of small - cap and large - cap convertible bonds decreased, while those of medium - small - cap and medium - cap convertible bonds increased [75] - Since the beginning of 2024, the conversion premium rates of equity - biased and balanced convertible bonds have both 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 below the 50th percentile since 2017 [75] 3.2.3.2. Market Index Performance - This week, convertible bonds of all ratings rose. AAA convertible bonds rose 1.88%, AA + convertible bonds rose 2.11%, AA convertible bonds rose 2.16%, AA - convertible bonds rose 2.69%, A + convertible bonds rose 3.17%, and A and below convertible bonds rose 2.37%. Since 2023, AAA convertible bonds have recorded a 20.01% return; AA + convertible bonds, 9.93%; AA convertible bonds, 14.85%; AA - convertible bonds, 22.79%; A + convertible bonds, 26.17%; and A and below convertible bonds, 30.78%. Historically, high - rating AAA convertible bonds have shown stable performance, while low - rating convertible bonds have shown weaker anti - decline properties and greater rebound strength [89] - This week, convertible bonds of all scales rose. Small - cap convertible bonds rose 3.48%, medium - small - cap convertible bonds rose 2.26%, medium - cap convertible bonds rose 2.65%, and large - cap convertible bonds rose 1.72%. Since 2023, small - cap convertible bonds have recorded a 27.20% return; medium - small - cap convertible bonds, 23.63%; medium - cap convertible bonds, 19.43%; and large - cap convertible bonds, 16.63% [89] 3.3. Tracking of Convertible Bond Supply and Clauses 3.3.1. This Week's Primary - Market Issuance Plans - This week, there were no newly - listed convertible bonds, and there was 1 convertible bond issued but not yet listed - Weidao Convertible Bond with a scale of 1.17 billion yuan. The number of primary - market approvals this week was 7. Among them, 2 convertible bonds, Huafa Co., Ltd. (private placement convertible bonds, scale 4.8 billion yuan) and Jindawei (1.292 billion yuan), obtained the approval of the China Securities Regulatory Commission; 2 convertible bonds, Tianzhun Technology (0.872 billion yuan) and Chunfeng Power (2.5 billion yuan), were accepted by the stock exchange [94] - From the beginning of 2023 to August 8, 2025, the total number of planned convertible bonds was 89, with a total scale of 137.717 billion yuan. Among them, 15 convertible bonds passed the board of directors' proposal, with a total scale of 16.218 billion yuan; 36 convertible bonds passed the shareholders' meeting, with a total scale of 65.707 billion yuan; 28 convertible bonds were accepted by the stock exchange, with a total scale of 38.842 billion yuan; 4 convertible bonds passed the listing committee, with a total scale of 8.979 billion yuan; and 6 convertible bonds obtained the approval of the China Securities Regulatory Commission, with a total scale of 7.971 billion yuan [95] 3.3.2. Downward Revision and Redemption Clauses - As of August 9, 2025, 10 convertible bonds announced that they were expected to trigger a downward revision this week; 7 convertible bonds announced that they would not be downward - revised, among which Heda Convertible Bond, Shengtai Convertible Bond, and Yirui Convertible Bond announced that they would not be downward - revised within 6 months; Ou 22 Convertible Bond proposed a downward revision, and Zhongzhuangzhuan 2 announced the result of the downward revision, which was revised to the lowest price [98] - This week, 9 convertible bonds announced that they were expected to trigger redemption; 3 convertible bonds announced that they would not be redeemed; and 6 convertible bonds, including Longhua Convertible Bond, Xince Convertible Bond, Haopeng Convertible Bond, Dongcai Convertible Bond, Youzu Convertible Bond, and Baidian Convertible Bond, announced early redemption [101] - As of the end of this week, there were 6 convertible bonds still in the put - option declaration period and 15 convertible bonds still in the company's capital - reduction settlement declaration period [103]

Group 1 - The core viewpoint of the report indicates that the valuation of convertible bonds still has room for upward movement, driven by strong expectations in the stock market and a "scarcity of assets" in the bond market, leading to increased allocation of funds to convertible bonds for equity returns [1][9]. - An analysis of the differences in the funding landscape for convertible bonds between July 2025 and January 2025 shows that while the total scale of outstanding convertible bonds has decreased, the proportion held by major institutional investors has not significantly increased, indicating a shift of holdings towards financial institutions [2][10]. - The current structure of convertible bonds shows a higher proportion of equity-sensitive bonds compared to early 2022, with an average premium rate that suggests equity-sensitive bonds still have potential for valuation increases, making them relatively cost-effective [3][11]. Group 2 - The weekly strategy suggests that despite high valuations, as long as the stock market maintains an upward or high-level oscillation, the likelihood of a significant drop in convertible bond valuations remains low, with continued interest from funds in participating in equity markets through convertible bonds [4][23]. - Specific sectors and companies to focus on include those benefiting from rising overseas computing power demand and AI industrialization, as well as high-end manufacturing sectors like new energy and automotive parts, indicating potential investment opportunities in companies such as Huanxu, Lingyi, and Tian23 [4][24].