丨证券研究报告丨 固收资产配置丨点评报告 [Table_Title] 政策讯号下看当前转债估值 ——可转债周报 20260117 报告要点 [Table_Summary] 融资保证金上调或对转债短期情绪有所压制，在全市场溢价率逼近前高的背景下，或需警惕回 调风险。结构上，年后中大盘转债主导估值抬升，低评级品种估值上行，小盘及高评级估值相 对低估；在高估值市场背景下需防范强赎引致溢价压缩。当周 A 股震荡分化，中盘及科创指数 占优，传媒、计算机等科技成长方向领涨，拥挤度分化。转债市场走强，中小盘转债优于大盘， 估值普遍拉伸，隐波与市价中位数维持高位，部分双高标的涨幅居前。一级市场发行较平稳， 储备充裕；条款博弈仍是焦点，下修意愿弱而赎回博弈加剧，需关注大额高评级品种强赎风险。 分析师及联系人 [Table_Author] 请阅读最后评级说明和重要声明 %% %% %% %% research.95579.com 1 [Table_Title 政策讯号下看当前转债估值 2] ——可转债周报 20260117 [Table_Summary2] 当周核心观点 SAC：S0490524080003 SAC：S04905 ...

Report Industry Investment Rating - Not mentioned in the provided content Core Viewpoints - At the beginning of the year, the equity market had a good start. Coupled with a decline in call risk and an increase in unexpected non - call cases, convertible bonds (CBs) simultaneously boosted their valuations. This week, CBs outperformed their underlying stocks, with high - price and long - duration CBs leading the gains. The 100 - yuan premium rate and the median CB price reached new highs since 2017. In the future, considering the high - expected profit - loss ratio of the asset side and the trading - oriented mindset of the liability side, the volatility of the CB market will increase, and the risk of "missing out" is higher. Therefore, investment strategies should de - emphasize timing and abandon position differences [5][6]. Summary by Directory 1. Weekly Viewpoint and Outlook - The equity market had a good start at the beginning of the year. With reduced call risk and more unexpected non - call cases, CBs' valuations were boosted. This week, CBs outperformed underlying stocks, and high - price and long - duration CBs led the rise. The 100 - yuan premium rate and the median CB price reached new highs since 2017. In the future, the CB market's volatility will increase, and the "missing out" risk is higher. Investment strategies should de - emphasize position timing [5][6]. 2. CB Valuations - This week, the market rose significantly, and the 100 - yuan premium rate increased by 2.0% to 33.0%, a new high since 2017. After excluding outliers, the full - market 100 - yuan premium rate was 33.0%, up 2.0% week - on - week, at the 100.0% percentile since 2017 [5][7]. - Valuations in all parity ranges increased significantly this week. The valuation increase in the equity - biased and bond - biased areas was greater than that in the balanced area. The rise in the equity market led to an increase in the parity of bond - biased CBs and their valuations. The increase in unexpected non - call CBs and the strong upward momentum of underlying stocks also drove up the valuations of equity - biased CBs [5][12]. - From an individual bond perspective, in the high - parity area, most CBs with large valuation increases were non - call ones, such as Dinglong, Borui, and Yanggu. The conversion premium rates of Dianhua and Wankai CBs dropped below 10%, implying a certain call expectation. In the balanced and bond - biased areas, valuations mostly increased, mainly driven by the rapid rise of underlying stocks, such as Shenxun, Weixin, Rundong, and Yaoji [12][13]. - As of now, from the perspective of conversion premium rate, the weighted conversion premium rate percentiles of the parity range above 50 yuan are close to 100%, while the historical percentiles of the 80 - 90 yuan and 110 - 120 yuan parity ranges are relatively low. From the perspective of the bottom - support premium rate, the weighted bottom - support premium rate percentiles of the parity range above 100 yuan are close to 100%, and the historical percentiles of the 70 - 90 yuan parity range are relatively low [15][16]. 3. Clause Tracking 3.1 Redemption - This week, Huanxu and Huarui CBs announced redemptions, and 5 CBs announced non - redemptions, with a call rate of 29%. Currently, there are 31 CBs in the redemption process. Next week, 9 CBs are expected to meet the redemption conditions, and 8 are expected to issue announcements of potential call triggers. In addition, 21 CBs are expected to enter the call counting period within the next month [20][22]. 3.2 Downward Revision - This week, Fangyuan and Lanfan CBs proposed downward revisions. As of now, 103 CBs are in the non - downward - revision period, 19 CBs cannot be downward - revised due to net asset constraints, 1 CB has triggered the condition but the stock price is still below the downward - revision trigger price without an announcement, 23 CBs are accumulating downward - revision days, and 4 CBs have issued downward - revision board proposals but have not yet gone to the general meeting of shareholders [27]. 3.3 Put Option - This week, no CB issued a conditional put option announcement. As of now, 5 CBs are accumulating put - option trigger days, among which 3 are also accumulating downward - revision days, and 2 are in the non - downward - revision period [29]. 4. Primary Issuance - As of now, there are 9 CBs in the approved - registration progress, with a total issuance scale of 1.1 billion yuan, and 5 CBs in the listing - committee - approved progress, with a total issuance scale of 290 million yuan [31].

Core Viewpoint - The convertible bond market is experiencing a "stock-bond resonance" trend alongside the A-share market's upward movement, with the China Convertible Bond Index rising 1.08% in the past week and approximately 4.9% in the past month, despite underlying risks such as forced redemptions and compressed conversion premiums [1][3]. Group 1: Market Performance - The China Convertible Bond Index closed at 472.93 points on August 13, with a single-day increase of 0.68%, continuing a strong performance with a total trading volume of 1000.41 billion yuan [1]. - The index has seen a cumulative increase of 3.62% in August and approximately 9.84% over the past three months, driven primarily by the upward movement of underlying stocks [3]. Group 2: Investor Behavior - Investors are increasingly favoring underperforming individual bonds while also directing significant funds into index products, with convertible bond ETFs seeing a surge of nearly 12 billion yuan in the past month, bringing the total scale to over 55.1 billion yuan [4]. - The market is witnessing a divergence in fund flows, with the convertible bond ETF experiencing a net inflow of 5.71 billion yuan on August 12, while the Shanghai Convertible Bond ETF saw a net outflow of 3.83 billion yuan, indicating mixed market expectations [4]. Group 3: Redemption Risks - As of August 13, 17 convertible bonds have triggered forced redemption clauses without announcements, and 41 bonds are trading above 90% of the redemption trigger price of 130 yuan, highlighting ongoing redemption risks [4]. - The recent delisting of "Jinko Convertible Bond" resulted in some investors facing over 20% redemption losses due to not converting in time, emphasizing the rigid risks associated with forced redemptions [4]. Group 4: Downward Adjustment Strategies - Since July, nine listed companies have proposed to lower their conversion prices, but market reactions have varied significantly, with some bonds experiencing substantial price drops due to perceived insincerity in the adjustment proposals [7]. - The success of downward adjustments is highly dependent on the performance of underlying stocks and the remaining time until maturity, creating a betting scenario between issuers and bondholders [7]. Group 5: Investment Strategies - Given high valuations and hidden risks, institutional strategies are shifting towards "refined selection" of bonds, focusing on avoiding bonds with prices exceeding 85% of the redemption trigger price and a premium rate above 15% [7]. - A balanced strategy is recommended, selecting bonds with a conversion premium rate within 30%, a return on equity exceeding industry averages, and a balance exceeding 1 billion yuan, which have outperformed the index by 4.1% in the past month [7].