转债 | 3月,转债波动中做结构 and and a least of the read and the man and the seat of the see and ■ 证券研究报告 孙彬彬 分析师 SAC 证书编号, S0160525020001 sunhh@ctsec.com 分析师 『营修』 SAC 证书编号：S0160525020003 suixp@ctsec.com 郑惠文 分析师 SAC 证书编号: S0160526020001 zhenghw01@ctsec.com 固收定期报告/证券研究报告 内容目录 | 1 2 月转债市场复盘 | | --- | | 2 ３月，转债波动中做结构 | | 3 个券: 3 月十大转债 | | 4 市场一周走势………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………… 10 | | 5 重要股东转债减持情况 | | 6 转债发行进展. | | 7 私募 EB 项目更新 | | 8 风格&策略: 小额低评级偏债占优 | | 9 ...

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 ...

- The report discusses the valuation of the convertible bond market, indicating that the pricing deviation indicator for the convertible bond market is at 14.56%, which is at the 99.8th percentile level since 2018 and 2021[1][7] - The report introduces a rotation strategy between convertible bonds and a stock-bond portfolio based on the pricing deviation indicator, where the weight of convertible bonds is adjusted according to the Z-score of the pricing deviation[11] - The low valuation strategy is constructed using the CCB_out pricing model, selecting the 15 convertible bonds with the lowest pricing deviation in each of the debt, balanced, and equity-biased categories, forming a pool of 45 convertible bonds[22] - The low valuation + strong momentum strategy combines the pricing deviation factor with the momentum factor of the underlying stock, using the equal-weighted scores of the stock's momentum over the past 1, 3, and 6 months[25] - The low valuation + high turnover strategy selects the 50% of convertible bonds with the lowest valuation and then uses the turnover rate factor to select the most actively traded convertible bonds[29] - The balanced debt-enhanced strategy selects the 50% of convertible bonds with the lowest valuation, removes equity-biased convertible bonds, and uses the turnover rate factor and the momentum factor of the underlying stock for the debt-enhanced pool, and the turnover rate factor for the balanced pool[32] - The credit bond substitution strategy selects convertible bonds with a yield to maturity (YTM) + 1% greater than the YTM of 3-year AA-rated credit bonds, and then selects the 20 convertible bonds with the strongest 1-month momentum of the underlying stock[35] - The volatility control strategy selects the top 15 convertible bonds with the highest scores of low valuation + strong momentum in each of the debt-enhanced, balanced-enhanced, and equity-enhanced categories, and controls the portfolio volatility at 4%[38] - The convertible bond market pricing deviation indicator is 14.56%[1][7] - The rotation strategy between convertible bonds and a stock-bond portfolio shows stable excess returns[11] - The low valuation strategy achieves an annualized return of 20.9% and an excess return of 8.8% since 2018[22] - The low valuation + strong momentum strategy achieves an annualized return of 25.2% and an excess return of 12.7% since 2018[25] - The low valuation + high turnover strategy achieves an annualized return of 23.6% and an excess return of 11.3% since 2018[29] - The balanced debt-enhanced strategy achieves an annualized return of 22.8% since 2018[32] - The credit bond substitution strategy achieves an annualized return of 7.1% since 2018[35] - The volatility control strategy achieves an annualized return of 9.7% since 2018[38]

2026 年 2 月 1 日 总量研究 警惕转债估值过高的风险 ——2026 年 2 月 1 日可转债观察 要点 1、警惕转债估值过高的风险 金融资产价格的中长期走势在很大程度上取决于其估值，估值越贵则下跌的概率 越大。可转债是其正股的衍生品，因此其价格的走势既取决于正股，也取决于其 相对于正股的估值，后者较可能是主导转债市场波动的决定性力量。 转股溢价率是最重要的估值指标之一。其代表转债价格相对于转换价值的溢价程 度，或者说是为了使转股不亏钱而需要的正股涨幅。在其他条件相同时，转股溢 价率越高则其估值越贵。 2026 年 1 月末，转债市场转股溢价率的中位数为 33.2%，处于自 2018 年初以 来的 71%分位数，估值已偏贵。进一步讲，只有 2022-2024 年中一些月份的转 股溢价率明显超过了 2026 年 1 月末，而这段时间溢价率的抬升主要是正股下跌 所导致的。（注：正股和转债同时下跌而转债跌幅小，因此溢价率抬升。） 为了过滤掉正股下跌的影响，我们剔除了每一时间点净价低于 120 元的转债， 重新计算转股溢价率中位数。2026 年 1 月末，净价在 120 元（含）以上的转债 的溢价率中位数为 ...

Report Summary 1. Report Industry Investment Rating The document does not mention the industry investment rating. 2. Core Viewpoints - Most industries rose today, with valuations increasing month - on - month. The convertible bond market showed mixed trends in different aspects, such as price, valuation, and industry performance [1]. - The convertible bond price center increased, and the proportion of high - price bonds rose. Valuations also went up, with changes in different types of convertible bonds and price ranges [2]. - In the industry performance, more than half of the underlying stock industry indices declined, and there were differences in the rise and fall rankings between the A - share market and the convertible bond market [3]. 3. Summary by Relevant Catalogs Market Main Index Performance - The CSI Convertible Bond Index rose 0.85% month - on - month, the Shanghai Composite Index rose 0.27%, the Shenzhen Component Index rose 0.09%, the ChiNext Index fell 0.57%, the SSE 50 Index rose 0.27%, and the CSI 1000 Index rose 0.21% [1]. - In terms of market style, mid - cap value stocks were relatively dominant. Mid - cap growth rose 1.80%, mid - cap value rose 2.56%, while large - cap value fell 0.01% [1]. Market Fund Performance - The trading sentiment in the convertible bond market weakened. The trading volume of the convertible bond market was 81.463 billion yuan, a 4.34% month - on - month decrease. The total trading volume of the Wind All - A Index was 2.992289 trillion yuan, a 2.42% month - on - month increase [1]. - The net outflow of the main funds in the Shanghai and Shenzhen stock markets was 27.487 billion yuan, and the yield of the 10 - year treasury bond decreased by 1.47bp to 1.82% [1]. Convertible Bond Valuation - The weighted average closing price of convertible bonds was 143.85 yuan, a 0.55% increase from the previous day. The closing price of equity - biased convertible bonds was 211.16 yuan, a 2.87% increase; that of bond - biased convertible bonds was 123.26 yuan, an 0.85% increase; and that of balanced convertible bonds was 135.08 yuan, a 1.16% increase [2]. - The proportion of high - price bonds above 130 yuan was 78.46%, a 2.19pct month - on - month increase. The proportion of bonds in the 120 - 130 yuan range decreased by 2.44pct [2]. - The 100 - yuan parity fitted conversion premium rate was 38.14%, a 0.38pct increase from the previous day. The overall weighted parity was 106.15 yuan, a 0.57% decrease [2]. Industry Performance - In the A - share market, the top three declining industries were Media (- 1.77%), National Defense and Military Industry (- 1.68%), and Beauty and Personal Care (- 1.65%); the top three rising industries were Non - Ferrous Metals (+ 5.92%), Petroleum and Petrochemical (+ 3.54%), and Coal (+ 3.42%) [3]. - In the convertible bond market, 24 industries rose. The top three rising industries were Coal (+ 3.32%), Petroleum and Petrochemical (+ 2.69%), and Non - Ferrous Metals (+ 2.50%); the top three declining industries were Household Appliances (- 2.63%), Machinery and Equipment (- 0.97%), and National Defense and Military Industry (- 0.92%) [3]. - In terms of closing price, large - cycle rose 1.34%, manufacturing rose 0.51%, technology rose 0.33%, large - consumption rose 0.25%, and large - finance rose 0.81% [3]. - The conversion premium rate of large - cycle rose 0.95pct, manufacturing rose 1.9pct, technology rose 1.9pct, large - consumption rose 3.1pct, and large - finance rose 1.1pct [3]. - The conversion value of large - cycle rose 0.59%, manufacturing fell 0.49%, technology fell 1.02%, large - consumption fell 1.11%, and large - finance rose 0.65% [3]. - The pure bond premium rate of large - cycle rose 2.0pct, manufacturing rose 0.62pct, technology rose 0.54pct, large - consumption rose 0.32pct, and large - finance rose 0.96pct [4]. Industry Rotation - Non - Ferrous Metals, Petroleum and Petrochemical, and Coal led the rise. Non - Ferrous Metals had a daily increase of 5.92% in the underlying stock and 2.50% in the convertible bond; Petroleum and Petrochemical had a 3.54% increase in the underlying stock and 2.69% in the convertible bond; Coal had a 3.42% increase in the underlying stock and 3.32% in the convertible bond [53].

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 ...

1. Report's Industry Investment Rating - No industry investment rating is provided in the report. 2. Core Viewpoints of the Report - The CSI Convertible Bond Index rose 2.92% last week. Despite some equity broad - based indices experiencing fluctuations due to ETF fund outflows, convertible bonds showed strong optimism as they were not affected by such factors. Key asset characteristic indicators in the convertible bond market rapidly increased [3][11]. - The short - term overheating indicators have not been triggered yet, but if the market remains strong in the first half of this week, these indicators may appear in the second half [12][18]. - The call provision remains the main short - term valuation game point. It has a disturbing impact on the pricing of equity - like convertible bonds. Historically, call provisions have generally put pressure on the subsequent trends of convertible bonds [20]. - For the underlying stocks, the call is not just an event - based shock. Converting bonds to stocks for "extending the life" of call - announced convertible bonds does not significantly increase returns. The price recovery of underlying stocks is not a high - probability event after conversion and extended holding [21]. - A set of screening criteria for convertible bond conversion investment to achieve effective "extension of life" has been established. From 2019 to now, convertible bonds meeting these criteria have an arithmetic average return of 3.56%, a median return of 2.13%, and a positive return probability of 72%. For convertible bonds meeting these criteria, it is recommended to actively convert at a negative premium rate at the end of the bond's life and hold for 10 trading days [24]. 3. Summary According to the Table of Contents Section 1: Is There a "Second Chance" for Convertible Bonds after Forced Redemption? - **Market Performance**: The CSI Convertible Bond Index rose 2.92% last week. The weighted average price of the entire market's convertible bonds reached 146 yuan, a record high. The number of convertible bond issues with a price > 130 yuan and a conversion premium rate > 20% reached 222, accounting for 58.58% of the entire market. The conversion premium rate of convertible bonds with a parity between 110 - 130 yuan increased rapidly [11]. - **Overheating Indicators**: The short - term trading signal indicators mainly include the implied 3 - month yield and the moving - average overheating indicator. As of January 23, neither had been triggered, but if the market remains strong in the first half of this week, overheating indicators may appear in the second half [12][18]. - **Impact of Call Provisions**: Call provisions are the main short - term valuation game point, disturbing the pricing of equity - like convertible bonds. From 2019 to now, the arithmetic average return of 441 call - redeemed convertible bonds from the call announcement date to the last trading day was - 4.78%, the median return was - 4.88%, and the positive return probability was only 32.2% [20]. - **Effect of Conversion and Extended Holding**: For underlying stocks, converting call - announced convertible bonds to stocks and extending the holding period does not significantly increase returns. From 2019 to now, the arithmetic average return during the test period was - 0.50%, the median return was - 1.31%, and the positive return probability was 44.93% [21]. - **Screening Criteria for Conversion Investment**: The screening criteria are: on the trading day before the call announcement, the conversion value is between 120 yuan and 135 yuan; the remaining term of the convertible bond is between 1.5 and 4.5 years; the convertible bond's price change from the call announcement date to the last trading day is between - 5% and 10%. From 2019 to now, 25 convertible bonds meet these criteria, with an arithmetic average return of 3.56%, a median return of 2.13%, and a positive return probability of 72% [24].

Market Overview - The equity-like market experienced a volatile upward trend from January 19 to 23, with the overall market index rising by 1.81% and the convertible bond index increasing by 2.92% during this period [5] - The convertible bond market saw a significant increase in trading activity, with the average daily trading volume dropping from 1045.15 billion to 932.94 billion [25] Convertible Bond Valuation - As of January 23, 2026, the median price of convertible bonds surpassed 140 yuan, indicating a shift in the reference significance of absolute prices [20] - The valuation of convertible bonds has shown a divergence, with debt-type bonds experiencing a slight decline in valuation while equity-type bonds continued to stretch [10][18] - The pricing anchor for convertible bonds has weakened, with a notable decrease in the proportion of low-priced convertible bonds, particularly those priced below 120 yuan [18] Sector Performance - The performance of convertible bonds varied by sector, with notable gains in upstream resources and high-end manufacturing sectors, such as textiles and apparel, which rose by 7.44%, and steel and petrochemicals, which increased by 6.67% and 6.65%, respectively [8] - Conversely, sectors like social services and media showed weaker performance, with declines of 7.53% and 1.93% [8] Investment Strategy - The current market conditions suggest that investors should focus more on equity timing indicators rather than relying solely on convertible bond metrics, as the significance of various convertible bond indicators is diminishing [20] - Despite the high valuation levels, the internal momentum for buying remains strong, and investors seeking relative returns are encouraged to continue participating in the market [20] Supply and Issuance - The total issuance of convertible bonds in 2026 reached 57.80 billion yuan, which is relatively low compared to recent years, with new issuances including Aiwei Convertible Bond at 19.01 billion yuan and Longjian Convertible Bond at 10.00 billion yuan [25]

1. Report Industry Investment Rating No information provided in the report. 2. Core Viewpoints of the Report - Recently, small and micro-cap stocks have been active. Despite policy cooling signals, they still benefit from loose liquidity. The CSI 2000 and Wind Small and Micro-cap Index have led the gains, which is suitable for the convertible bond style. The underlying stocks of convertible bonds have risen significantly, and the convertible bonds have simultaneously increased in valuation. Valuation indicators such as the convertible bond's 100-yuan premium rate and median price have reached new highs since 2017. Structurally, the price ranges of 130 - 140 yuan and above 150 yuan have shown strong performance. High-parity convertible bonds remain active, while newly issued convertible bonds have relatively poor performance. Currently, the bull market expectation in the equity market is relatively consistent, with high capital activity. Convertible bonds are experiencing a "double hit" market of parity and valuation. However, in the state of strong equity characteristics and high conversion premium rates, it is still necessary to beware of the forced redemption risk of individual bonds [1][2]. 3. Summary by Relevant Catalogs 3.1 Weekly Viewpoint and Outlook - Small and micro-cap stocks are active, and convertible bonds are in a "double hit" market of parity and valuation. However, the forced redemption risk of individual bonds needs to be watched out for [1][2]. 3.2 Convertible Bond Valuation - This week, the underlying stocks of convertible bonds performed actively, and the convertible bonds rose synchronously. The 100-yuan premium rate increased by 0.9% to 33.5%, reaching the 100th percentile since 2017. Currently, the 100-yuan premium rate of convertible bonds is still above the 2 - standard deviation [3]. - The valuations of convertible bonds in each parity range have increased significantly. The valuation increase in the equity - biased area is slightly higher than that in the debt - biased area, but the overall gap has narrowed compared with the previous period. The valuation in the 120 - 140 yuan parity range has increased significantly, mainly due to the significant increase in the activity of the underlying stocks. The valuation in the parity range above 140 yuan has only increased slightly, mainly due to the disturbance of forced redemption [7]. - From the perspective of individual bonds, in the high - parity area, Xinfu and Yinbang have entered the forced redemption process, and the expectation of forced redemption has increased, resulting in a relatively large decline in the conversion premium rate. Shuangliang, Hebang, Ruike, Zhoubang, Hengshuai, and Daimei have significantly increased their valuations due to the obvious rise of their underlying stocks. The valuations in the balanced and debt - biased areas have generally increased slightly. The valuations of near - maturity convertible bonds are weak. In addition, the valuation of the newly issued Anke convertible bond is slowly shrinking due to the weak performance of its underlying stock [8]. 3.3 Clause Tracking 3.3.1 Redemption - This week, Tianjian, Fuli, Sailong, Shentong, Beigang, and Huazheng convertible bonds announced redemptions, and 2 convertible bonds announced non - redemptions, with a forced redemption rate of 75%. Currently, there are 49 convertible bonds in the redemption process. Next week, 8 are expected to meet the redemption conditions, and 10 are expected to issue announcements of potential redemption triggers. In addition, 26 convertible bonds are expected to enter the forced redemption counting period within the next month [1][17][19]. 3.3.2 Downward Revision - This week, Hongchuan convertible bond proposed a downward revision, and Fangyuan convertible bond announced the downward revision result (not revised to the bottom). As of now, 101 convertible bonds are in the temporary non - downward revision range, 20 convertible bonds cannot be downward - revised due to net asset constraints, 1 convertible bond has triggered the condition and the stock price is still lower than the downward - revision trigger price but no announcement has been made, 16 convertible bonds are accumulating downward - revision days, and 3 convertible bonds have issued downward - revision board plans but have not yet gone to the general meeting of shareholders [1][23]. 3.3.3 Put Option - This week, no convertible bonds issued conditional put option announcements. As of now, 3 convertible bonds are accumulating put option trigger days, among which 1 convertible bond proposed a downward revision, and 2 convertible bonds are in the temporary non - downward revision range [1][27]. 3.4 Primary Issuance - As of now, there are 10 convertible bonds in the process of consent registration, with a to - be - issued scale of 8.8 billion yuan, and no convertible bonds are in the process of passing the listing committee [29].

1. Report Industry Investment Rating No information provided in the content. 2. Core Viewpoints of the Report - Recent small - and micro - cap stocks have been active. Despite policy - driven cooling signals, they still benefit from loose liquidity, with the CSI 2000 and Wind Small - and Micro - Cap Index leading the gains. Convertible bonds, which are well - matched in style, have seen a significant rise in their underlying stocks, leading to a simultaneous increase in their valuation. Valuation indicators such as the convertible bond's 100 - yuan premium rate and the median price have reached new highs since 2017. Structurally, the price ranges of 130 - 140 yuan and above 150 yuan have shown strong performance, while newly - issued convertible bonds have underperformed. Currently, there is a consensus on the bull market in the equity market, with high capital activity. Convertible bonds are experiencing a "double - hit" market in terms of parity and valuation, but in the state of strong equity characteristics and high conversion premium rates, the risk of forced redemptions of individual bonds should still be guarded against [2][3]. 3. Summary by Relevant Catalogs 3.1 Weekly Views and Outlook - Small - and micro - cap stocks are active. The convertible bond market is well - matched in style, with a significant increase in the underlying stocks and a simultaneous rise in valuation. High - parity convertible bonds are active, while newly - issued ones perform poorly. There is a "double - hit" market, but forced redemption risks should be noted [2][3]. 3.2 Convertible Bond Valuation - This week, the underlying stocks of convertible bonds performed actively, and the convertible bonds rose in tandem. The 100 - yuan premium rate increased by 0.9% to 33.5%, reaching the 100th percentile since 2017 and remaining above the 2 - times standard deviation [2][4]. - The valuation of convertible bonds in each parity range has increased significantly. The increase in the equity - biased area is slightly higher than that in the bond - biased area, but the gap has narrowed. The valuation in the 120 - 140 yuan parity range has increased significantly due to the high activity of underlying stocks, while the valuation in the range above 140 yuan has only increased slightly due to forced redemption disturbances [2][8]. - From the perspective of individual bonds, in the high - parity area, the conversion premium rates of Xinfu and Yinbang have decreased significantly due to the forced redemption process and rising forced - redemption expectations, while the valuations of Shuangliang, Hebang, Ruike, Zhoubang, Hengshuai, and Daimei have increased significantly due to the significant rise of their underlying stocks. The valuations in the balanced and bond - biased areas have generally increased slightly. The valuations of near - maturity bonds are weak, and the valuation of newly - issued Anke bonds is slowly compressing [2][10]. 3.3 Clause Tracking 3.3.1 Redemption - This week, Tianjian, Fuli, Sailong, Shentong, Beigang, and Huazheng convertible bonds announced redemptions, and 2 convertible bonds announced non - redemptions, with a forced - redemption rate of 75%. Currently, there are 49 convertible bonds in the redemption process, 8 are expected to meet the redemption conditions next week, and 10 are expected to issue announcements of potential redemption triggers. In addition, 26 convertible bonds are expected to enter the forced - redemption counting period within the next month [2][17][19]. 3.3.2 Downward Revision - This week, Hongchuan convertible bonds proposed a downward revision, and Fangyuan convertible bonds announced the result of the downward revision (not revised to the bottom). As of now, 101 convertible bonds are in the temporary non - downward - revision range, 20 cannot be downward - revised due to net - asset constraints, 1 has triggered the condition but has not announced while the stock price is still below the downward - revision trigger price, 16 are accumulating the days for downward revision, and 3 have issued the board of directors' pre - plans for downward revision but have not held a general meeting of shareholders [2][23]. 3.3.3 Put Option - No convertible bonds issued conditional put - option announcements this week. As of now, 3 convertible bonds are accumulating the days to trigger the put option, among which 1 has proposed a downward revision, and 2 are in the temporary non - downward - revision range [2][27]. 3.4 Primary Issuance - As of now, there are 10 convertible bonds in the process of approval for registration, with a total issuance scale of 8.8 billion yuan, and no convertible bonds are in the process of passing the listing committee [29].