债 券 周 相关研究 证券分析师 黄伟平 A0230524110002 huangwp@swsresearch.com 王明路 A0230525060003 wangml@swsresearch.com 徐亚 A0230524060002 xuya@swsresearch.com 联系人 徐亚 A0230524060002 xuya@swsresearch.com 2026 年 01 月 31 日 高估值下转债抗回撤能力有限 ——转债周度跟踪 20260130 ⚫ 1. 周观点及展望 ⚫ 本周贵金属高位调整带动权益和转债市场明显回撤，高平价偏股转债估值环比下行幅度 较大，估值高位下转债抗风险能力较差。当前可转债市场定位已呈现四个关键特征：一是 从左侧思维转向右侧交易，不宜过早坚守；二是从配置价值转向交易价值，需警惕机构防 御性抛售带来的下行风险；三是从追求确定性收益转向衡量风险与回报比，短期冲高后应 再次评估其投资价值；四是从债性或衍生品定价转向机构行为与权益预期驱动，交易盘节 前止盈压力可能较大。因此，短期内应当积极防御、守住盈利，为节后低位布局做好准备。 结构方面，从关注高价、次新、不强赎的品种，转向配置 ...

可转债估值升至高位 新券上市频现顶格涨幅 ◎记者 孙忠 "57.3%"的顶格涨幅，正在成为今年可转债新券上市首日的标配。 1月30日，可转债新券"耐普转02"开盘大涨30%，并触发盘中临时停牌。在尾盘三分钟，该券涨幅进一 步扩大至57.3%。 数据显示，2026年以来，可转债新券上市首日均"复制"了此种57.3%的顶格涨幅行情。且在上市首日之 后，新券依旧被资金追捧。不少新券上市后连续上涨，并快速站上200元大关。 市场人士表示，新券大幅上涨背后是整个市场热度的一个映射，但如今，市场处于历史高估值阶段，新 券炒作须警惕风险。 新券"57.3%"扎堆现象 2026年以来，可转债新券上市首日均实现了"57.3%"的顶格涨幅，使得市场中的新券交易异常火热。 1月30日，新券"耐普转02"上市首日开盘大涨30%，并触发盘中临时停牌。 深交所公告称，"耐普转02"盘中成交价较发行价首次上涨达到或超过30%，根据有关规定，对该债券实 施临时停牌至14时57分。尾盘三分钟，"耐普转02"复牌后，继续大涨，至收盘涨幅达57.3%。 但当日，该券发行人耐普矿机的股价表现不佳，跌9.11%至49.58元。耐普矿机是一家集研产销和 ...

Quantitative Models and Construction Methods 1. Model Name: "百元转股溢价率" (Premium Rate per 100 Yuan Conversion) - **Model Construction Idea**: This model compares the valuation of convertible bonds and their underlying stocks by calculating a time-series comparable valuation metric, "百元转股溢价率" (Premium Rate per 100 Yuan Conversion), and evaluates the relative allocation value using rolling historical percentiles[3][14] - **Model Construction Process**: - Fit the relationship curve between the conversion premium rate and conversion value in the cross-sectional space at each time point - Substitute a conversion value of 100 into the fitted formula to obtain the "百元转股溢价率" - Formula: $$ y_{i} = \alpha_{0} + \alpha_{1} \cdot \frac{1}{x_{i}} + \epsilon_{i} $$ where \( y_{i} \) is the conversion premium rate of the \( i \)-th bond, \( x_{i} \) is the conversion value of the \( i \)-th bond, and \( \epsilon_{i} \) is the error term[46][47] - **Model Evaluation**: The rolling three-year and five-year percentiles of this metric are at 99.30% and 99.60%, respectively, indicating that convertible bonds are relatively expensive compared to their underlying stocks[3][14] 2. Model Name: "修正 YTM – 信用债 YTM" (Adjusted YTM Minus Credit Bond YTM) - **Model Construction Idea**: This model evaluates the relative allocation value between debt-heavy convertible bonds and credit bonds by isolating the impact of conversion terms on the convertible bond's yield-to-maturity (YTM)[4][14] - **Model Construction Process**: - Adjust the YTM of debt-heavy convertible bonds using the following formula: $$ \text{Adjusted YTM} = \text{Convertible Bond YTM} \times (1 - \text{Conversion Probability}) + \text{Expected Annualized Return from Conversion} \times \text{Conversion Probability} $$ - The conversion probability is calculated using the Black-Scholes (BS) model, incorporating stock price, strike price, stock volatility, remaining term, and discount rate - The difference between the adjusted YTM and the YTM of credit bonds of the same rating and maturity is calculated for each bond, and the median value is taken as the metric: $$ \text{"修正 YTM – 信用债 YTM" Median} = \text{median}\{X_1, X_2, ..., X_n\} $$ where \( X_i \) represents the difference for the \( i \)-th bond[48] - **Model Evaluation**: The current median value of this metric is -5.00%, indicating that the overall allocation cost-effectiveness of debt-heavy convertible bonds is relatively low[4][14] --- Model Backtesting Results 1. "百元转股溢价率" Model - Rolling three-year percentile: 99.30%[3][14] - Rolling five-year percentile: 99.60%[3][14] 2. "修正 YTM – 信用债 YTM" Model - Median value: -5.00%[4][14] --- 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, enabling comparability across different parities[20] - **Factor Construction Process**: $$ \text{Conversion Premium Deviation} = \text{Conversion Premium Rate} - \text{Fitted Conversion Premium Rate} $$ The fitted value is determined by the relationship curve between conversion premium rate and conversion value, as described in the "百元转股溢价率" model[20][46] - **Factor Evaluation**: The quality of the fit depends on the number of convertible bonds, and this factor is effective in identifying valuation deviations[20] 2. Factor Name: 理论价值偏离度 (Theoretical Value Deviation, Monte Carlo Model) - **Factor Construction Idea**: Measures the price expectation difference by comparing the closing price of a convertible bond to its theoretical value, which is calculated using Monte Carlo simulation[20] - **Factor Construction Process**: $$ \text{Theoretical Value Deviation} = \frac{\text{Convertible Bond Closing Price}}{\text{Theoretical Value}} - 1 $$ The theoretical value is derived by simulating 10,000 paths for each time point, considering conversion, redemption, downward revision, and resale terms, and using the discount rate of bonds with the same credit rating and maturity[20] - **Factor Evaluation**: This factor fully accounts for the complex terms of convertible bonds and is particularly effective in identifying valuation discrepancies[20] 3. Factor Name: 转债综合估值因子 (Comprehensive Convertible Bond Valuation Factor) - **Factor Construction Idea**: Combines the rankings of the above two factors to create a comprehensive valuation metric for convertible bonds[20] - **Factor Construction Process**: $$ \text{Comprehensive Convertible Bond Valuation Factor} = \text{Rank}(\text{Conversion Premium Deviation}) + \text{Rank}(\text{Theoretical Value Deviation}) $$ This factor is used to construct low-valuation indices for different convertible bond styles (equity-heavy, balanced, and debt-heavy)[20][21] - **Factor Evaluation**: The comprehensive factor performs well across all styles, while the theoretical value deviation factor is particularly effective for equity-heavy convertible bonds[19][20] --- Factor Backtesting Results 1. Conversion Premium Deviation Factor - No specific backtesting results provided 2. Theoretical Value Deviation Factor - No specific backtesting results provided 3. Comprehensive Convertible Bond Valuation Factor - **Equity-heavy Convertible Bond Low-Valuation Index**: - Annualized return: 26.97% - Annualized volatility: 20.65% - Maximum drawdown: 22.94% - IR: 1.31 - Calmar ratio: 1.18[23] - **Balanced Convertible Bond Low-Valuation Index**: - Annualized return: 16.04% - Annualized volatility: 11.99% - Maximum drawdown: 15.95% - IR: 1.34 - Calmar ratio: 1.01[23] - **Debt-heavy Convertible Bond Low-Valuation Index**: - Annualized return: 12.43% - Annualized volatility: 9.80% - Maximum drawdown: 17.78% - IR: 1.27 - Calmar ratio: 0.70[23] --- Style Rotation Model and Construction Methods 1. Model Name: 转债风格轮动 (Convertible Bond Style Rotation) - **Model Construction Idea**: Captures market sentiment using momentum and volatility deviation factors to rotate among low-valuation style indices (equity-heavy, balanced, and debt-heavy)[27] - **Model Construction Process**: - Calculate the following sentiment capture metric: $$ \text{Sentiment Capture Metric} = \text{Rank}(\text{20-day Momentum}) + \text{Rank}(\text{Volatility Deviation}) $$ - Rank the indices based on this metric and allocate weights accordingly. If all three styles are selected, allocate 100% to the balanced style[27][28] - Rebalance every two weeks[27] - **Model Evaluation**: The style rotation model effectively captures market sentiment and enhances returns compared to equal-weight indices[27][32] --- Style Rotation Model Backtesting Results 1. Convertible Bond Style Rotation Model - Annualized return: 25.65% - Annualized volatility: 16.82% - Maximum drawdown: 15.89% - IR: 1.52 - Calmar ratio: 1.61[32]

1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core Viewpoints of the Report - 2026 Q1 may see an increase in convertible bond calls, but high - parity convertible bond valuations are at historical highs. High valuations do not guarantee post - call valuation maintenance, and the pressure on convertible bond prices before and after the call is relatively large. It is recommended to take profit before the call or stop loss in a timely manner after the call based on market conditions [3][7]. - The overall trend of convertible bond valuations is likely to be high - level oscillations, with a possibility of short - term foaming. In January 2026, institutional demand for configuration will support valuations, and if the equity market performs better than expected, valuations may foam [28]. - In December 2025, the convertible bond market oscillated upward, with both convertible bonds and underlying stocks performing strongly, and valuations oscillated and increased. The trading volume of the convertible bond and equity markets decreased, but margin trading funds showed a strengthening trend [48][56]. - The issuance of new convertible bonds slightly increased in December 2025, and the number of new issuance plans continued to rise. The overall scale of holders in the Shanghai and Shenzhen Stock Exchanges decreased, with obvious reductions by insurance funds [3][62]. 3. Summary According to Relevant Catalogs 3.1 Historical Facts and Changes before and after Convertible Bond Calls - **Before the Call Announcement** - High market valuations do not guarantee post - call valuation maintenance. After the call, the valuation compresses to near 0%, and the compression process is basically completed before the call announcement [3][8]. - The strength of the underlying stock before the call can partially offset the compression of convertible bond valuations, but when valuations are high, the pressure on convertible bond prices before the call is still relatively large [3]. - The decline before the call mainly occurs within T - 10 days, and the day of the highest price is advancing [3][16]. - **After the Call Announcement** - In most months, convertible bond prices continue to decline after the call announcement, but in some months with a strong equity market, prices rebound [3][20]. - There is generally a decline of varying degrees on T - day, and the months with price rebounds mainly show strength from T + 1 to T + 15 days [3][21]. - The stronger the equity market, the more delayed the appearance of the highest price [3][25]. 3.2 Valuation Outlook - The overall trend is high - level oscillations, with a possibility of short - term foaming. In December 2025, valuations oscillated upward. As of December 31, 2025, the 100 - yuan par - value fitted conversion premium rate was 34.04%, up 2.50 pct from the end of November, reaching the highest level since 2019 [28]. 3.3 Key Focused Convertible Bonds - From December 1 to December 31, 2025, the convertible bond portfolio rose 3.84%, outperforming the benchmark index by 1.70 pct. Huayi and Xingqiu had obvious increases [41]. - The "Huachuang Convertible Bond" January key - focused portfolio is adjusted to include Xingqiu, Mingli, Yirui, Huachen, Huayi, Yifeng, Ziyin, Qingnong, Zhongyin, and Xingye [43]. 3.4 Market Review - **Market Performance** - In December 2025, the convertible bond market oscillated upward, with a strong performance in the second half of the month. Most sectors of the convertible bond market rose, and technology - related concepts declined. The science and technology and manufacturing sectors showed significant increases, and the cyclical sector also performed well [48][50]. - **Fund Performance** - The trading volume of the convertible bond and equity markets decreased slightly. From December 1 to December 31, 2025, the average daily trading volume of CSI Convertible Bonds was 63.803 billion yuan, a 1.27% decrease from November, and the average daily trading volume of Wind All - A was 1.880842 trillion yuan, a 1.76% decrease from November [56]. - Margin trading funds oscillated and strengthened. As of December 31, 2025, the balance of margin trading in the Shanghai and Shenzhen Stock Exchanges was approximately 2.53 trillion yuan, an increase of 66.664 billion yuan from the end of November. Most industries received net margin purchases [60]. 3.5 Supply and Demand Situation - **New Bond Issuance and Listing** - In December 2025, 7 convertible bonds were issued, with a total scale of 5.494 billion yuan, and 5 new convertible bonds were listed, with a total scale of 3.005 billion yuan. The online new - bond issuance subscription scale increased, with an average effective subscription amount of 8.85 trillion yuan, a 2.61% increase month - on - month [62]. - **Expected Issuance Scale and New Plans** - The total expected issuance scale is approximately 122.663 billion yuan. As of December 31, 2025, 7 listed companies obtained convertible bond issuance approvals, with a planned issuance scale of 8.583 billion yuan; 6 companies' convertible bond issuances passed the review committee, waiting for approvals, with a total scale of 3.361 billion yuan. In December, 6 new board plans were added, with a total scale of approximately 77.9 billion yuan [65]. - **Holder Scale Changes** - The overall scale of holders in the Shanghai and Shenzhen Stock Exchanges decreased. In December 2025, the total par value of convertible bonds held by the two exchanges was 552.692 billion yuan, a decrease of 6.144 billion yuan from November, a 1.10% decline. The scale of public funds increased, while the scale of enterprise annuities decreased [83][87].

Group 1 - The convertible bond market in 2025 is characterized by a significant "exit wave," driven by both an "asset shortage" and structural trends in the equity market, leading to a contraction in scale while certain segments remain hot [1][2] - As of December 23, 2025, 173 convertible bonds are expected to exit the market, a substantial increase from 88 in 2024, marking an increase of 85 bonds, nearly doubling the previous year's figure [2] - The total exit scale of convertible bonds in 2025 is projected to reach approximately 3207.97 billion yuan, nearly doubling from 1104.59 billion yuan in 2024, indicating a significant increase of 2103.38 billion yuan [2] Group 2 - The exit of bank convertible bonds has become a hallmark of this "exit wave," with several major bank bonds, including the 500 billion yuan issuance of Pudong Development Bank's bond, being delisted this year [2] - A total of 134 out of the 173 exiting convertible bonds were redeemed through forced redemption, accounting for 77.46% of the exits, a notable increase from 57.95% in 2024 [4] - The overall scale of the convertible bond market has shrunk by over 1700 billion yuan, with the number of outstanding convertible bonds decreasing to 413, down by 116 from the end of 2024 [5] Group 3 - The market is expected to continue facing supply-demand imbalances, with an estimated exit scale of around 1600 billion yuan for 2026, while the number of convertible bonds maturing in 2026 is significant, totaling 68 bonds with a combined scale of approximately 812 billion yuan [6] - The valuation of convertible bonds is generally perceived as high, with a median price exceeding 131 yuan and a median conversion premium rate above 32%, indicating a market entering a "high valuation, low return" state [7] - Investors are advised to reduce exposure to high-priced convertible bonds while focusing on those with stable fundamentals and higher yield-to-maturity, as the market dynamics shift towards a more equity-like characteristic in a potential bull market [8][9]

1. Report Industry Investment Rating - The report does not mention the industry investment rating [27][28][29] 2. Core View of the Report - Last week, convertible bonds rose slightly, and the valuation continued to decline as previously predicted, but then rebounded significantly after reaching the previous average. The anti - decline attribute of convertible bonds remained strong. The valuation rebound was mainly driven by equity - biased convertible bonds, while debt - biased ones were still weak. There is a clear valuation bottom, and the valuation top has loosened [6][9] - There is still strong support from the supply and demand sides, and the equity market is optimistic due to various policies. Although the current cost - performance of convertible bonds is low, there are still structural opportunities. Attention can be appropriately given to oversold bottom - position and defensive varieties. Be vigilant against the unexpected forced redemption risk of high - premium individual bonds. In December, short - term allocation can be made if there is a correction, and trading opportunities are greater than trend opportunities [6][9] - Last week, the equity market continued to rise driven by various positive factors. However, there was a strong wait - and - see sentiment at the end of the year. Overseas, the market was waiting for the result of the Fed's December interest - rate cut, and domestically, it was waiting for the tone of the Central Economic Work Conference. Institutional funds were under pressure from performance assessment and position adjustment, showing a cautious and optimistic attitude overall [6][9] 3. Summary According to the Directory 3.1 Convertible Bond Views: Valuation Rebounds after Decline, and Style Continues to Differentiate - Convertible bonds rose slightly last week. The valuation continued to decline as predicted, then rebounded significantly after reaching the previous average. The anti - decline attribute was strong. The rebound was mainly driven by equity - biased convertible bonds, and debt - biased ones were weak. The valuation bottom is clear, and the top has loosened [9] - There is strong support from supply and demand, and the equity market is optimistic due to policies. Despite the low cost - performance of convertible bonds, there are structural opportunities. Pay attention to oversold bottom - position and defensive varieties, guard against forced redemption risks of high - premium bonds. In December, short - term allocation can be considered for corrections, with more trading opportunities [9] - The equity market rose last week due to positive factors. But there was wait - and - see sentiment at year - end. Overseas awaited Fed's decision, and domestically awaited the Central Economic Work Conference. Institutional funds faced assessment and adjustment pressure, showing cautious optimism [9] 3.2 Convertible Bond Review: Convertible Bonds Rise Slightly, and Valuation Rebounds after Decline 3.2.1 Market Overall Performance: Most Equity Indexes Close Higher, and Trading Volume Continues to Decline - The equity market was weak first and then strong last week, continuing to rebound. Most indexes rose, such as the ChiNext Index (1.86%), the BeiZheng 50 (1.49%), and the CSI 300 (1.28%), while only the Science and Technology Innovation 50 fell slightly (0.08%) [13] - In terms of industries, non - ferrous metals, communication, and national defense and military industry led the gains, while media, real estate, and beauty care led the losses. The average daily trading volume decreased by 44.115 billion yuan to 1.69 trillion yuan [13] - The top ten rising convertible bonds last week were Yakelai Convertible Bond, Weidao Convertible Bond, etc. The more active ones in trading were Furong Convertible Bond, Dongshi Convertible Bond, etc [13] 3.2.2 Significant Trading Volume Contraction, and High - price, Medium - and High - rated Convertible Bonds Perform Well - Convertible bonds rose slightly last week. The valuation rebounded significantly after reaching the previous average, and the average daily trading volume dropped significantly to 50.91 billion yuan. The CSI Convertible Bond Index rose 0.08%, the parity center decreased 0.3% to 110.7 yuan, and the conversion premium rate center increased 0.3% to 20.6% [20] - In terms of style, high - price, medium - and high - rated convertible bonds performed well last week, while large - cap and double - low convertible bonds performed weakly [20]

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core Viewpoints of the Report - The pre - profit - taking behavior of convertible bonds has eased, but under the current high absolute price and high valuation, the volatility has intensified and the bond nature has weakened. November may be the last wave of adding positions from the perspective of institutional behavior. The current high - valuation situation is expected to remain unchanged [5][8]. - The view on the future of convertible bonds is neutral. It is difficult for convertible bond valuations to have a logic of continuous strengthening. It is likely to fluctuate around the current point. The key to the subsequent trend lies in equities. Investors should appropriately lower the return expectations of convertible bonds, cash out and switch in a timely manner, and low - position institutions can actively allocate on dips. The trading opportunities of convertible bonds are greater than the trend opportunities [5][8]. - Despite the overseas capital market turmoil, the domestic market has slightly recovered this week, hovering around 4000 points, indicating sufficient market confidence. Some over - valued sectors have corrected in the short term, and the weight sectors have temporarily attracted attention. The technology - led slow - bull market remains unchanged, and the subsequent equity trend is still bullish [5][8]. Group 3: Summary According to the Directory 1. Convertible Bond Views: Double - Low Performance Stands Out, Style Slightly Switches - The pre - profit - taking behavior of convertible bonds has eased, but with high absolute prices and valuations, volatility has increased and bond nature has weakened. November may be the last chance for institutional position - adding. The high - valuation situation is expected to remain. The view on convertible bonds is neutral, with the key to subsequent trends in equities. Investors should adjust expectations, cash out and switch, and low - position institutions can allocate on dips. The domestic market has recovered slightly, and the technology - led slow - bull market remains [8]. 2. Convertible Bond Review: Index Approaches Previous High, Valuation Slightly Rises 2.1 Market Overall Performance: Most Indexes Close Higher, Trading Volume Declines - This week, most equity indexes closed slightly higher. The Shanghai Composite Index led the gains with a 1.08% increase, while the North - Bound 50 Index fell 3.79%. In terms of industries, power equipment, coal, and petroleum and petrochemicals led the rise, while beauty care, computer, and pharmaceutical biology led the decline. The average daily trading volume decreased by 3108.43 billion yuan to 2.01 trillion yuan. The top - ten rising convertible bonds last week were Zhongneng, Zhenhua, etc., and some convertible bonds were more active in trading [11]. 2.2 Trading Volume Continues to Increase, Double - Low and Large - Cap High - Rating Convertible Bonds Perform Well - This week, convertible bonds performed well, following the rise of equities. The average daily trading volume slightly increased to 68.526 billion yuan. The CSI Convertible Bond Index rose 0.86%, the parity center rose 1.0% to 114.4 yuan, and the conversion premium rate center remained flat at 18.7%. In terms of style, double - low and large - cap high - rating convertible bonds performed well, while high - price and small convertible bonds performed weakly [14].

Market Overview - The China Convertible Bond Index experienced a weekly increase of +0.9% from September 22 to September 26, 2025, following a previous decline of -1.5% [7] - The overall index for the week showed a change of +0.2%, with convertible bonds outperforming equities for the first time in nearly a month [10] - Year-to-date performance indicates a +15.3% increase for convertible bonds compared to a +21.3% increase for the overall index, suggesting slightly weaker performance in the convertible bond market [10] Rating Analysis - High-rated bonds (AA+ and above) saw a weekly increase of +0.69%, while medium-rated bonds (AA) increased by +0.86%, and low-rated bonds (AA- and below) only increased by +0.51%, indicating the lowest growth in the low-rated category [8] Size Classification - Large-scale convertible bonds (over 5 billion) increased by +0.73%, medium-scale bonds (between 500 million and 5 billion) rose by +1.01%, while small-scale bonds (under 500 million) saw a minimal increase of +0.01% [8] Price and Valuation Metrics - The average price of convertible bonds is 130.44 yuan, with an average conversion value of 104.27 yuan and an average conversion premium of 26.0% as of September 26, 2025 [9] - The number of outstanding convertible bonds is 427, with a total balance of 593.38 billion yuan [9] Market Performance and Investment Direction - The convertible bond market is expected to remain a relatively high-quality asset in the long term, despite current high valuation levels, necessitating a focus on structural adjustments [10]

Group 1: Report Industry Investment Rating - No information provided on the industry investment rating in the report Group 2: Core Views of the Report - The current self - adjustment of convertible bonds is not over, with weakened ability to follow the rise, and the valuation actively declines when the underlying stock pulls back. In the current market, the cost - performance of convertible bonds is low, but considering the slow - bull market of A - shares, there is no need to be overly worried. Now is a concentrated point for convertible bond realization, and high - price, low - premium equity - like varieties and defensive individual bonds are more worthy of consideration, such as some bottom - position varieties represented by banks [6][9]. - Backtesting on recent years' forced redemption cases shows that there are objective returns and a certain degree of certainty in gambling on forced redemption clauses. The number of subsequent forced redemptions and waived forced redemptions is still considerable and worthy of attention [6][9]. - The equity market showed a trend of rising first and then falling last week, with sector differentiation. The Shanghai Composite Index almost broke through the 3900 mark at the beginning of the week and then adjusted significantly. The short - term index needs to oscillate and adjust, but the view of a positive long - term index trend remains unchanged. Attention should be paid to the press conference of the State Council Information Office next Monday [6][9]. Group 3: Summary According to the Catalog 1. Convertible Bond Views: Valuation Continues to Compress, Waiting for the Entry Opportunity - The self - adjustment of convertible bonds is ongoing, with weakened follow - up ability and active valuation decline. The current cost - performance of convertible bonds is low, but there's no need for excessive worry. High - price, low - premium equity - like varieties and defensive individual bonds are recommended. The equity market had a volatile week, and the long - term trend of the index is still positive [6][9]. 2. Convertible Bond Review: Convertible Bonds Follow the Decline Again, Valuation Continues to Fall 2.1 Market Overall Performance: Equity Rises First and Then Falls, Technology Remains the Main Line - From September 15th to September 19th, market index performance was differentiated. The Shanghai Composite Index fell 1.30%, the Shenzhen Component Index rose 1.14%, the CSI 300 fell 0.44%, the CSI 1000 rose 0.21%, the ChiNext Index rose 2.34%, the STAR 50 rose 1.84%, and the Beijing Stock Exchange 50 fell 1.43%. In terms of industries, coal, power equipment, and electronics led the rise, while banks, non - ferrous metals, and non - bank finance led the decline. The average daily trading volume increased by 1922.4 billion yuan to 2.52 trillion yuan. The top ten rising convertible bonds last week were Jingxing, Hengshuai, Songsheng, etc., and Jingxing, Jing 23, Liyang, etc. were more active in trading [13]. 2.2 Valuation Actively Compresses, High - Price, Medium - and Low - Rated Convertible Bonds Perform Well - Last week, convertible bonds pulled back again, with active valuation compression. The average daily trading volume increased significantly to 818.02 billion yuan. The CSI Convertible Bond Index fell 1.55%, the parity center decreased by 1.1% to 111.1 yuan, and the conversion premium rate center decreased by 1.1% to 18.9%. In terms of style, high - price, medium - and low - rated convertible bonds performed well last week, while AA + rated and large - cap convertible bonds performed weakly [6][18]

Core Viewpoint - The convertible bond market is currently positioned close to the valuation peaks of 2022 and January 2015, indicating a high valuation environment with potential for adjustments in line with equity market movements [4][65][66]. Group 1: Market Outlook - The current positioning of convertible bonds is nearing the high valuation levels seen in 2022 and January 2015, suggesting a potential for adjustments [4][65]. - Historical patterns indicate that convertible bonds typically adjust in sync or lag behind the equity market, with the adjustment pace and magnitude being difficult to precede the equity market [4][66]. - The strong market conditions of previous bull markets (2007, 2009, 2015) saw convertible bond valuations significantly higher than current levels, highlighting the unique circumstances of those periods [4][65][66]. Group 2: Investment Strategy - Convertible bonds are viewed as the only viable option for pure bond investors transitioning to equity investments, with a sustained demand expected due to profit-making effects [4][66]. - A recommended strategy includes a focus on high-quality convertible bonds with a scale of over 1.5 billion yuan and a rating of AA or above, as well as low-priced convertible bonds that still present investment opportunities [9][66]. - The report suggests a monthly review and adjustment of the recommended convertible bond portfolio to maintain flexibility and responsiveness to market conditions [9][66]. Group 3: Valuation Metrics - The median price of convertible bonds is reported at approximately 127.63 yuan, close to the highest points seen in 2021-2022, with premium rates indicating a historical high for bond valuations [16][22]. - New issuances are generally priced above 130 yuan, reflecting a strong market sentiment and high valuation levels similar to previous peaks [22][66]. - The current premium rates for convertible bonds are significantly elevated, with many bonds trading at premiums exceeding 30%, indicating a robust demand despite high valuations [16][22][66].