相关研究 2025 年 11 月 23 日 转债抗跌性突出，百元估值逼近 40% ——转债周度跟踪 20251121 ⚫ 1. 周观点及展望 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 债 券 研 究 请务必仔细阅读正文之后的各项信息披露与声明 本研究报告仅通过邮件提供给 中庚基金 使用。1 债 券 周 评 证 券 研 究 报 告 - ⚫ 在转债市场再度逼近 8 月底高点的背景下，本周再度发生明显回撤，8 月底至今转债指数 形成"双顶"格局，微盘股回撤较大。与 8 月底相比，本轮转债市场的抗跌性要明显强 于 8 月底，估值表现较强，百元溢价率估值逼近 40%、明显超过 8 月底高点，或与两方 面因素有关：一是本轮修复行情中高价转债价格和估值都明显偏弱，因此高价区通过估值 逆向支撑起到了较好的安全垫作用；二是从两只 ...

1. Report Industry Investment Rating There is no information provided regarding the industry investment rating in the report. 2. Core Viewpoints - The convertible bond market continued its previous volatile and strong trend this week. The marginal change is that the China Convertible Bond Index has exceeded the high on August 25th, and indicators such as the 100 - yuan premium rate valuation, the median convertible bond price, and the yield to maturity are all "one step away" from the late - August highs. The sentiment in the convertible bond market has reached a new high for the year. Compared with late August, the prices and valuations in the high - parity area are currently weak, while those in the low - parity area have returned to their highs. Also, during this round of recovery, capital sentiment is relatively cautious, with net outflows from convertible bond ETFs. Although the valuation protection in the low - parity area is weak on the margin, considering the thick bond floor and strong allocation power, it is expected that the convertible bond market's resilience will be stronger than in late August even if there is a pullback [3][4]. 3. Summary by Directory 3.1 Weekly Viewpoint and Outlook - The convertible bond market continued its volatile and strong trend. The China Convertible Bond Index exceeded the August 25th high. Valuation indicators are close to late - August highs. High - parity area is weak, low - parity area has recovered. Capital sentiment is cautious. The market is expected to be more resilient than in late August [3][4]. 3.2 Convertible Bond Valuation - The 100 - yuan valuation of convertible bonds is strong and approaching the previous high. The latest full - market 100 - yuan premium rate is 36.2%, up 0.4% from last week, at the 94.5% percentile since 2017. Compared with last week, the valuation generally increased, with the 130 - 140 yuan parity range still weak due to forced redemption disturbances. The median convertible bond price is 134.00 yuan, up 0.70 yuan, and the yield to maturity is - 7.04%, down 0.22% from last week, at the 99.60% and 0.10% percentiles since 2017 respectively [3][5][15]. 3.3 Clause Tracking 3.3.1 Redemption - This week, Tianci, Cehui, and Yuguang Convertible Bonds announced redemptions, while Weice, Seli, and Dazhong Convertible Bonds announced non - redemptions, with a forced redemption rate of 50%. There are currently 10 convertible bonds that have issued forced redemption or maturity redemption announcements but have not delisted, with a potential conversion or maturity balance of 7.1 billion yuan. There are 46 convertible bonds in the redemption process, 11 are expected to meet redemption conditions next week, and 16 are expected to issue redemption trigger announcements [20][22]. 3.3.2 Downward Revision - No convertible bonds proposed downward revisions this week. Lanfan Convertible Bond did not revise the conversion price to the lowest, while Dongshi Convertible Bond revised it to the lowest. As of now, 103 convertible bonds are in the non - downward - revision period, 20 cannot be revised due to net asset constraints, 2 have triggered the condition but the stock price is still below the trigger price without an announcement, 29 are accumulating downward - revision days, and 2 have issued board proposals for downward revisions but have not held a general meeting of shareholders [25]. 3.3.3 Put Option - No convertible bonds issued conditional put option announcements this week. As of now, 7 convertible bonds are accumulating put - option trigger days, among which 1 has triggered the downward - revision condition, 2 are accumulating downward - revision days, and 4 are in the non - downward - revision period [28]. 3.4 Primary Issuance - The Ruke Convertible Bond was issued this week. The Qizhong, Zhuomei, and Ruke Convertible Bonds have been issued but are yet to be listed. As of now, there are 7 convertible bonds awaiting registration approval, with a total issuance scale of 6.4 billion yuan, and 7 convertible bonds that have passed the listing committee review, with a total issuance scale of 6.5 billion yuan [30].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The convertible bond market is currently in a state of high sentiment. With the support of valuation, convertible bonds have outperformed underlying stocks, and the median price, 100 - yuan valuation, and convertible bond index are all at historical highs. The market shows a differentiated structure. For low - volatility fundamental and mid - to high - priced convertible bonds, trading may be better than allocation due to potential price - fluctuation risks. For high - elasticity fundamental and high - priced convertible bonds, they are the most elastic variety in the market, and their space is expected to expand further. Currently, with the continuous rise of risk preference, small - cap and low - rated convertible bonds may become the key areas for capital speculation, while high - rated and large - cap convertible bonds can focus on downward - revision games [4][5]. 3. Summary by Relevant Catalogs 3.1 Weekly View and Outlook - **Low - volatility and Mid - to High - priced Convertible Bonds**: Since 2025, the imbalance between supply and demand in the convertible bond market has led to strong performance of traditional low - priced convertible bonds. The median price of the whole market has been rising, and the premium rate of low - parity convertible bonds is at a historical high. Due to the lack of elasticity in the underlying stock fundamentals and strong call expectations, there may be price - fluctuation risks at high premium rates, so trading is preferred over allocation [4][5]. - **High - elasticity and High - priced Convertible Bonds**: These are traditional high - parity and high - priced convertible bonds with high volatility. In Q2 2025, their performance was relatively limited, and the valuation was not high, with strong call risks being a significant constraint. However, the underlying stock fundamentals are relatively good, and the support logic is clear. Since Q3, their elasticity has gradually been released. Even if a call notice is issued, the impact on the bond price is expected to be controllable in the context of sufficient liabilities. Currently, with the continuous rise of risk preference, small - cap and low - rated convertible bonds may be the focus of capital speculation, and high - rated and large - cap convertible bonds can focus on downward - revision games to find potential trading opportunities [4][5]. 3.2 Convertible Bond Valuation - This week, both convertible bonds and underlying stocks continued to rise, and the increase of convertible bonds exceeded that of underlying stocks. The valuation of convertible bonds was extremely strong. The 100 - yuan premium rate of the whole - market convertible bonds was 35%, with a single - week increase of 1.21%, and the latest quantile was at the 93.40% percentile since 2017. The valuation of both high - and low - rated convertible bonds increased by more than 1% this week. After removing outliers, the 100 - yuan valuations of high - and low - rated convertible bonds were both at extreme levels since 2017 [4][7]. - The convertible bond yield to maturity reached a new low since 2017, reporting - 6.27%. As of the latest data, the conversion premium rate index, pure - bond premium rate index, and yield to maturity were 42.08%, 43.32%, and - 6.27% respectively, with changes of - 0.27%, + 3.96%, and - 0.67% compared to last week, and their current quantile levels were at the 62.10%, 77.20%, and 0.00% percentiles since 2017 [4][9]. 3.3 Clause Tracking 3.3.1 Redemption - This week, convertible bonds such as Kaineng, Yaoshi, and Gaoce issued early redemption announcements. Currently, there are 24 convertible bonds that have issued call or maturity redemption announcements but have not been delisted, and the potential conversion or maturity balance of these non - delisted convertible bonds is 4.4 billion yuan. There are currently 41 convertible bonds in the redemption process, and 17 are expected to meet the redemption conditions next week. Also, 6 convertible bonds issued non - redemption announcements this week [4][14]. 3.3.2 Downward Revision - This week, Tianye and Huayang convertible bonds proposed downward revisions, and Jinneng, Lanfan, and Tian 23 announced downward revisions. Among them, Jinneng and Tian 23 convertible bonds were revised downward to the maximum, while Lanfan was not. As of the latest data, 136 convertible bonds are in the non - downward - revision interval, 23 cannot be revised downward due to net - asset constraints, 1 has triggered the condition but the stock price is still below the downward - revision trigger price without an announcement, 27 are accumulating downward - revision days, and 3 have issued downward - revision board proposals but have not yet held a general meeting of shareholders [4][20]. 3.3.3 Put Option - No convertible bonds issued put - option announcements this week. As of the latest data, 2 convertible bonds have issued put - option announcements, and 4 are accumulating put - option trigger days, among which 2 are in the non - downward - revision interval and 2 are accumulating downward - revision days [4][22]. 3.4 Primary Issuance - This week, Kaizhong convertible bonds issued an issuance announcement. As of now, Weidao and Kaizhong convertible bonds have been issued but have not yet determined their listing dates. There are currently 5 convertible bonds in the approval - registration progress, with a total issuance scale of 5.4 billion yuan, and 4 in the listing - committee approval progress, with a total issuance scale of 9 billion yuan [4][24].

1. Report Industry Investment Rating The document does not mention the industry investment rating. 2. Core View of the Report This week, convertible bonds underperformed underlying stocks, and their valuations slightly declined. Amid better - than - expected Sino - US economic and trade talks, the equity market accelerated its recovery in the first half of the week and then pulled back. There was a divergence in the performance of large - and small - cap styles in the convertible bond market. Large - cap convertible bonds performed strongly due to the continuous replenishment of under - allocated industries by funds, while previously active styles such as TMT declined. Currently, with limited fluctuations in the bond market and doubts about the medium - to - long - term profit improvement of equities, although there is limited upward space for convertible bond valuations, strong support is likely due to supply - demand contradictions, and no breakthrough variables have emerged. In terms of allocation, it is recommended to focus on high - dividend large - cap debt - biased convertible bonds, combined with a balanced equity - biased direction. Pay attention to recent cases of proposed downward revisions and look for potential targets with a strong willingness to promote conversion. Asymmetrical trading, double - low momentum, and clause - based gaming are still recommended [1][6]. 3. Summary by Relevant Catalogs 3.1 Week's View and Outlook - Convertible bonds underperformed underlying stocks this week, with slightly reduced valuations. The equity market first recovered and then pulled back. There was a style divergence in the convertible bond market. - Given the current situation of the bond and equity markets, convertible bond valuations have limited upward space but are likely to be strongly supported. - Allocate high - dividend large - cap debt - biased convertible bonds, combined with a balanced equity - biased direction. Focus on downward - revision cases and use strategies like asymmetrical trading [1][6]. 3.2 Convertible Bond Valuation - Convertible bonds underperformed underlying stocks, and overall valuations slightly decreased. The 100 - yuan premium rate of the entire market was 28%, down 0.02% week - on - week, at the 73.1st percentile since 2017. Low - rated convertible bonds had a 100 - yuan premium rate of 23%, down 0.2%, at the 71.2nd percentile. High - rated convertible bonds had a 100 - yuan premium rate of 22%, down 0.31%, at the 79.6th percentile [3][7]. - The conversion premium rate decreased, the pure - bond premium rate increased, and the yield to maturity decreased. As of the latest data, the conversion premium rate index, pure - bond premium rate index, and yield to maturity were 47.24%, 26.13%, and - 2.48% respectively, changing by - 0.91%, 0.42%, and - 0.13% from last week, at the 72.4th, 33.3rd, and 15.3rd percentiles since 2017 [3][10]. 3.3 Clause Tracking 3.3.1 Redemption - No new convertible bonds issued early - redemption announcements this week. There is currently 1 convertible bond that has issued an early - redemption announcement and is still trading, and no bonds with maturity - redemption announcements are trading. The potential maturity or conversion balance of early - redeemed and matured convertible bonds still trading is 275 million yuan. - There are 26 convertible bonds in the redemption process, and 7 are expected to meet the redemption conditions next week, which are recommended for observation. - Two convertible bonds, including Qianglian, announced not to redeem early. As of now, 49 convertible bonds are within the non - redemption period [13][18][19]. 3.3.2 Downward Revision - Gaoce and Puli announced downward - revision board plans this week. As of now, 170 convertible bonds are in the non - downward - revision interval, 2 have triggered the condition and the stock price is still below the trigger price but no announcement has been made, 46 are in the downward - revision process, and 4 have issued downward - revision board plans but have not held a general meeting of shareholders [20][23]. 3.3.3 Put Option - Three convertible bonds, including Sannuo, Lepu 2, and Changhong, issued put - option announcements this week. As of now, 9 convertible bonds are in the cumulative put - option process, 1 is in the downward - revision process, 2 are in the process of board - proposed revision but have not held a general meeting of shareholders. Currently, 6 convertible bonds have issued put - option announcements [23]. 3.4 Primary Issuance - There are no convertible bonds scheduled for issuance or listing next week. As of now, there are 9 convertible bonds in the approval - registration process, with an expected issuance scale of about 1.45 billion yuan, and 4 in the listing - committee approval process, with an expected issuance scale of about 270 million yuan [25].