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 ...

Core Viewpoint - The convertible bond market is experiencing increased activity and a shift in dynamics, with a notable rise in the number of bonds being redeemed and a tightening supply amid stable institutional demand [1][2]. Group 1: Market Performance - As of August 18, 2025, the China Convertible Bond and Exchangeable Bond Index rose by 0.96%, while the Convertible Bond ETF increased by 1.12%, reaching a price of 13.39 yuan [1]. - The Convertible Bond ETF has seen a cumulative increase of 1.81% over the past week, indicating a positive trend in the market [1]. - The latest scale of the Convertible Bond ETF reached 52.582 billion yuan, marking a new high since its inception [2]. Group 2: Liquidity and Trading Activity - The Convertible Bond ETF recorded a turnover rate of 10.04% during trading, with a transaction volume of 5.315 billion yuan, reflecting active market participation [1]. - Over the past week, the average daily trading volume of the Convertible Bond ETF was 9.659 billion yuan [1]. Group 3: Fund Flows and Leverage - The Convertible Bond ETF experienced a net outflow of 10.5628 million yuan recently, but over the past five trading days, there were three days of net inflows totaling 3.114 billion yuan [2]. - The net purchase amount of leveraged funds for the Convertible Bond ETF reached 8.275 million yuan this month, with the latest financing balance at 1.061 billion yuan [2]. Group 4: Performance Metrics - As of August 15, 2025, the Convertible Bond ETF achieved a 27.06% increase in net value over the past five years, ranking 16th out of 164 index bond funds [2]. - The ETF's maximum monthly return since inception was 6.61%, with the longest streak of consecutive monthly gains being seven months [2]. - The historical probability of profit for holding the ETF for three years is 76.17% [2]. Group 5: Risk and Tracking Accuracy - The Convertible Bond ETF has a Sharpe ratio of 2.12 over the past year, indicating strong risk-adjusted returns [3]. - The maximum drawdown for the ETF this year was 6.04%, with a recovery period of 79 days [3]. - The management fee for the Convertible Bond ETF is 0.15%, and the custody fee is 0.05% [4]. - The tracking error for the ETF over the past three months was 0.012%, demonstrating its close alignment with the underlying index [5].