债 券 研 究 债 券 周 评 证 券 研 究 报 告 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 10 日 春躁启动，转债估值创 17 年以来新 高 ——转债周度跟踪 20260109 ⚫ 1. 周观点及展望 本研究报告仅通过邮件提供给 中庚基金 使用。1 请务必仔细阅读正文之后的各项信息披露与声明 相关研究 - ⚫ 年初权益市场迎来开门红，加之强赎风险下降，超预期不强赎案例增多，转债同步拉升估 值，本周转债涨幅超对应正股，高价和长久期转债领涨。百元溢价率、转债价格中位数分 别上行至 33%、138 元，均创 2017 年以来新高，此外各平价区间转股溢价率和兜底溢 价率自 2017 年以来分位数也普遍接近 100%，火热情绪下转债估值也进入极致区间。展 望未来，仓位角度：一方面，资产端是 ...

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].