2026 年 02 月 28 日 相关研究 证券分析师 黄伟平 A0230524110002 huangwp@swsresearch.com 王明路 A0230525060003 wanqml@swsresearch.com 徐亚 A0230524060002 xuya@swsresearch.com 联系人 徐亚 A0230524060002 xuya@swsresearch.com 如何理解高平价转债主动压估值? 转债周度跟踪 20260227 ● 1. 周观点及展望 ● 开年 A 股市场迎来开门红，但转债以微跌收场，转债表现远逊于对应正股，主要是由高 平价转债大幅压估值导致。140元以上平价区间中,估值压缩幅度的较大主要有两类,一 是由强赎进度导致的估值压缩,比如汇成、睿创、恒帅、微导、中宠转 2、振华、永 02 等，压缩幅度也相对偏大，但即使全部归于强赎预期，犹动幅度也明显大于此前；二是新 券和次新券估值主动压缩，比如鼎龙、路维、华辰、甬矽等。此外其他 140 元以上平价 转债估值同样普遍压缩,仅个别超预期不强赎转债估值回升。因此本轮高平价转债估值压 缩具有普遍性,强赎进度转债、新券和次新券估值压缩幅 ...

1. Report Industry Investment Rating No information provided in the content. 2. Core Viewpoints of the Report - This week, micro - cap stocks recovered. Convertible bonds rose following the underlying stocks. High - priced convertible bonds performed weakly. Low - priced convertible bonds performed strongly due to factors such as an increase in downward revision cases and the rise of underlying stocks. The increase of convertible bonds was significantly lower than that of underlying stocks due to the drag of high - priced convertible bonds [2][3]. - There are two structural characteristics. Firstly, the valuation of near - maturity convertible bonds is under great valuation attenuation pressure, especially non - financial convertible bonds with high previous valuations. Secondly, the call risk remains at a high level. Convertible bonds that were not called before have successively re - entered the call period, and the change in call expectations also leads to price pressure [2][3]. - In the case of a positive expectation for the equity market, there are still beta opportunities in the convertible bond market, but the valuation attenuation of near - maturity convertible bonds and call risks need to be focused on [2][3]. 3. Summary of Each Section 3.1 Weekly Viewpoint and Outlook - Micro - cap stocks recovered this week. Convertible bonds followed the underlying stocks to rise. High - priced convertible bonds were weak, while low - priced convertible bonds were strong. The increase of convertible bonds was significantly lower than that of underlying stocks [2][3]. - The valuation of near - maturity convertible bonds, especially non - financial ones, faced great attenuation pressure. The call risk remained high, and the change in call expectations led to price pressure [2][3]. - There are beta opportunities in the convertible bond market, but near - maturity valuation attenuation and call risks need attention [2][3]. 3.2 Convertible Bond Valuation - This week, the underlying stocks and convertible bonds recovered. The 100 - yuan premium rate slightly increased by 0.4% and returned above 30%. After excluding outliers, the 100 - yuan premium rate of the whole market's convertible bonds was 30.2%, up 0.4% week - on - week, and the latest quantile was at the 99.5% percentile since 2017 [2][4][5]. - The valuation structure changed. The valuation of the bond - biased area was better than that of the stock - biased area. The bond - biased area's valuation improved due to more downward revision cases and rising parity. The stock - biased area's valuation was weak due to call risks, and the conversion premium rate of the 130 - 140 yuan parity range increased significantly [2][9]. - In terms of individual bonds, among balanced and bond - biased convertible bonds, those with a large decline in valuation were mainly near - maturity ones like Hua'an, Guotou, and Jianyou Convertible Bonds. Among stock - biased convertible bonds, those with a rapid convergence of valuation due to call expectations were Hengshuai, Borui, and Jingzhuang Convertible Bonds [2][14]. - The median price of convertible bonds was reported at 132.04 yuan, up 1.14 yuan from last week, and the yield to maturity was - 6.81%, down 0.25% from last week. Their current quantiles were at the 98.60 and 0.70 percentiles since 2017 respectively [2][18]. 3.3 Clause Tracking 3.3.1 Redemption - This week, Bo 23 and Furong Convertible Bonds announced redemption, and Huayi Convertible Bond announced non - redemption, with a call rate of 67%. There are currently 18 convertible bonds that have issued call or maturity redemption announcements but have not delisted, and the potential conversion or maturity balance of call and maturity convertible bonds is 5.2 billion yuan [2][21]. - There are 26 convertible bonds currently in the redemption progress. 9 are expected to meet the redemption conditions next week, and 7 are expected to issue announcements that they are likely to trigger redemption. In addition, 9 convertible bonds are expected to enter the call counting period within the next month [2][26]. 3.3.2 Downward Revision - This week, Yuxing Convertible Bond proposed a downward revision, and Lanfan and Tianneng Convertible Bonds announced the downward revision results, both of which did not revise to the bottom. As of now, 114 convertible bonds are in the non - downward - revision period, 20 cannot be downward - revised due to net asset constraints, 1 has triggered the condition but has not issued an announcement, 24 are accumulating downward - revision days, and 4 have issued board proposals for downward revision but have not gone to the general meeting of shareholders [2][29]. 3.3.3 Put Option - This week, Huahai Convertible Bond issued a conditional put option announcement. As of now, 4 convertible bonds are accumulating put - option trigger days, among which 1 is also accumulating downward - revision days, and 3 are in the non - downward - revision period [2][31]. 3.4 Primary Issuance - Dingjie Convertible Bond was issued this week, and there will be no convertible bond issuance next week. As of now, Aohong, Shenyu, and Tianzhun Convertible Bonds have been issued but not yet listed, and Puxun Convertible Bond will be listed on December 22, 2025 [33]. - There are currently 7 convertible bonds in the approved - registration progress, with a pending issuance scale of 8.6 billion yuan; 10 convertible bonds are in the listing - committee - approved progress, with a pending issuance scale of 8.5 billion yuan [33].

Report Summary 1. Investment Rating of the Reported Industry The provided content does not mention the investment rating of the industry. 2. Core Viewpoints of the Report - At the beginning of the week, the convertible bond market experienced a significant pullback, but sentiment quickly recovered. The convertible bond index reached a new high, and the YTM hit a new low. Small - cap sectors such as technology and innovative drugs led the gains, while bank and photovoltaic convertible bonds were volatile, with bank convertible bonds that had performed well retreating. After a phased adjustment, there may be repair opportunities for bank convertible bonds. The convertible bond market is generally expensive, and after the YTM, the 100 - yuan valuation also broke through strongly this week. There may be short - term upward momentum, but potential adjustment risks need to be guarded against [1][4]. 3. Summaries Based on Relevant Catalogs 3.1 Convertible Bond Valuation - This week, both equities and convertible bonds continued to rise slightly. Convertible bonds had a strong ability to follow the rise of underlying stocks, and the 100 - yuan valuation increased. The market - wide convertible bond 100 - yuan premium rate was 31%, up 0.33% from the previous week, and the latest quantile was at the 86.10% percentile since 2017. There was a slight differentiation in the valuations of high - and low - rated convertible bonds, with low - rated ones being slightly stronger [3][5]. - This week, convertible bonds continued to rise slightly following the underlying stocks. The yield to maturity was approaching a historical low, at - 4.39%. As of the latest data, the conversion premium rate index, pure bond premium rate index, and yield to maturity were 43.25%, 34.04%, and - 4.39% respectively, with changes of - 0.73%, + 1.66%, and - 0.39% from the previous week. Their current quantile levels were at the 63.50, 55.10, and 0.80 percentiles since 2017 [3][10]. 3.2 Clause Tracking 3.2.1 Redemption - This week, Guangda, Beilu, Feilu, Yong'an, Liande convertible bonds, etc. issued early redemption announcements. Currently, there are 21 convertible bonds that have issued early redemption or maturity redemption announcements but have not delisted, and the potential conversion or maturity balance of these bonds is 5.3 billion yuan. There are 43 convertible bonds currently in the redemption process, and 9 are expected to meet the redemption conditions next week. Three convertible bonds issued non - redemption announcements this week [3][15][17]. 3.2.2 Downgrade - This week, Lingkang convertible bond proposed a downgrade, and Shanshi convertible bond announced a downgrade, approaching the maximum downgrade. As of the latest, 152 convertible bonds are in the non - downgrade period, 25 cannot be downgraded due to net asset constraints, 2 have triggered the condition but the stock price is still below the downgrade trigger price without an announcement, 36 are accumulating downgrade days, and 2 have issued board - proposed downgrade plans but have not yet gone to the general meeting of shareholders [3][21]. 3.2.3 Put - back - This week, Longda convertible bond issued a put - back announcement. As of the latest, 2 convertible bonds have issued put - back announcements, and 7 are accumulating put - back trigger days, including 5 in the non - downgrade period and 2 accumulating downgrade days [3][24]. 3.3 Primary Issuance - There were no announcements of convertible bond issuances this week. Next week, Libo convertible bond is scheduled to be listed on July 22, 2025. As of the latest, there are 5 convertible bonds in the approved - registration progress, with a total issuance scale of 5.9 billion yuan, and 2 in the listing - committee - approved progress, with a total issuance scale of 1.5 billion yuan [3][26].