正股大幅下跌，转债明显惜售 固定收益 | 动态跟踪 可转债市场周观察 研究结论 风险提示 政策变化超预期；货币政策变化超预期；经济基本面变化超预期；信用风险暴露超预 期；数据统计可能存在遗误 报告发布日期 2025 年 11 月 25 日 | 齐晟 | 执业证书编号：S0860521120001 | | --- | --- | | | qisheng@orientsec.com.cn | | | 010-66210535 | | 杜林 | 执业证书编号：S0860522080004 | | | dulin@orientsec.com.cn | | | 010-66210535 | | 王静颖 | 执业证书编号：S0860523080003 | | | wangjingying@orientsec.com.cn | | | 021-63326320 | | 徐沛翔 | 执业证书编号：S0860525070003 | | | xupeixiang@orientsec.com.cn | | | 021-63326320 | | 指数接近前高，止盈压力再起：可转债市 | 2025-11-18 | | --- | -- ...

2025 年 11 月 23 日 总量研究 本周有所调整 ——可转债周报（2025 年 11 月 17 日至 2025 年 11 月 21 日） 要点 1、市场行情 本周（2025 年 11 月 17 日至 2025 年 11 月 21 日，共 5 个交易日）中证转债指 数涨跌幅为-1.78%（上周涨跌幅为+0.52%），中证全指变动为-5.05%（上周涨 跌幅为-0.53%）。2025 年以来中证转债涨跌幅为+16.50%，中证全指涨跌幅为 +17.36%。 分评级来看，债项评级高评级券（评级为 AAA）、中高评级券（评级为 AA+）、 中评级券（评级为 AA）、中低评级券（评级为 AA-）和低评级券（评级为 AA- 及以下）本周涨跌幅分别为-0.82%、-1.41%、-2.31%、-2.07%和-1.92%，均 有所下跌，其中中评级券跌幅最大。 分转债规模看，大规模转债（债券余额大于 20 亿元）、中大规模转债（余额在 15 至 20 亿元之间）、中规模转债（余额在 10 至 15 亿元之间）、中小规模转 债（余额在 5 至 10 亿元之间）、小规模转债（余额小于 5 亿元）本周涨跌幅分 别为-1.33% ...

2025 年 11 月 23 日 转债抗跌性突出,百元估 40% 转债周度跟踪 20251121 1. 周观点及展望 相关研究 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 请务必仔细阅读正文之后的各项信息披露与声明 表 1: 本周百元估值表现偏强,再度逼近前高 | 百元溢价率估值 | 最新値 | 単周变化 | 2017 以来分位 | | --- | --- | --- | --- | | | | 保留异常点 | | | 全样本 | 39.6% | 3.5% | 97.6% | | AA+(含)以上 | 30.8% | 2.4% | 100.0% | | AA(含)以下 | 40.7% | 3.6% | 96.3% | | | | 去除异常点 | | | 全样本 | 30.5% | 0.6% | 99.8% | | ...

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 ...

证券研究报告 | 债券市场专题研究 | 债券研究 债券市场专题研究 报告日期：2025 年 11 月 20 日 权益长牛如何重塑转债格局？ ——债市策略思考 核心观点 需求端：权益长牛叠加股债跷跷板，债市资金或持续外溢，转债负债端需求仍具韧性。 供给端：转债大概率延续强赎高发的现状，但是转债发行有望从 2026 年开始改善，市 场内部结构或出现新老交替。长周期视角，转债有望跟随权益走势进入慢牛状态，但 转债表现大概率弱于股票、强于纯债。 经济基本面改善不足；国内流动性收紧；海外风险事件超预期；历史经验不代表 未来 分析师：覃汉 执业证书号：S1230523080005 qinhan@stocke.com.cn 分析师：陈婷婷 执业证书号：S1230525050001 chentingting01@stocke.com.cn 相关报告 1 《从核心超储偏低的视角理解 资金面和分层利差》 2025.11.16 2 《风偏回落，哑铃优先》 2025.11.16 3 《债市低波时代，优选 3-5 年 二永》 2025.11.15 http://www.stocke.com.cn 1/7 请务必阅读正文之后的免责条款部 ...

证券研究报告 | 朝闻国盛 gszqdatemark 2025 11 18 年 月 日 朝闻国盛 如何理解央行利率比价 今日概览 重磅研报 【策略】一周市场表现与政策事件回顾（11.14 当周）——20251117 【金融工程】转债估值维持高位震荡——十一月可转债量化月报 —— 20251117 【固定收益】如何理解央行利率比价——20251117 【固定收益】天气因素推升食品价格——基本面高频数据跟踪—— 20251117 研究视点 【化工】AIDC 电源管理终极方案，SST 趋势明显——20251117 【电力设备】钙钛矿：技术突破与产业化加速并行，设备与材料环节迎 来机遇——20251117 【传媒】OpenAI 发布新模型 GPT-5.1，苹果推出 App Store 小程序合作 伙伴计划——20251117 【海外】哔哩哔哩-W（09626.HK）-广告技术迭代，新游火爆出圈—— 20251117 作者 | 分析师 宋嘉吉 | | | | | --- | --- | --- | --- | | 执业证书编号：S0680519010002 | | | | | 邮箱：songjiaji@gszq.com ...

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 There is no information provided in the report regarding the industry investment rating. 2. Core Views of the Report - On November 14, the convertible bond market contracted in volume and declined, with compressed valuations. The CSI Convertible Bond Index decreased by 0.58% compared to the previous day, and the trading sentiment in the convertible bond market weakened. The total trading volume of the convertible bond market was 71.351 billion yuan, a 9.71% decrease from the previous day [1]. - The convertible bond price center declined, and the proportion of high - priced bonds decreased. The overall weighted average closing price of convertible bonds was 135.02 yuan, a 0.64% decrease from the previous day. The valuation was compressed, with the 100 - yuan par - value fitted conversion premium rate at 31.82%, a 0.82 - percentage - point decrease from the previous day [2]. - In the stock market, more than half of the underlying stock industry indices declined. Among A - share markets, the top three industries with the largest declines were electronics (-3.09%), communication (-2.46%), and media (-2.16%); the top three industries with the largest increases were real estate (+0.39%), banking (+0.26%), and pharmaceutical biology (+0.17%). In the convertible bond market, 23 industries declined, with the top three industries with the largest declines being communication (-2.52%), national defense and military industry (-1.85%), and automobile (-1.66%); the top three industries with the largest increases were steel (+2.31%), environmental protection (+0.82%), and public utilities (+0.27%) [3]. 3. Summary by Relevant Catalogs Market Overview - **Index Performance**: The CSI Convertible Bond Index decreased by 0.58% compared to the previous day, the Shanghai Composite Index decreased by 0.97%, the Shenzhen Component Index decreased by 1.93%, the ChiNext Index decreased by 2.82%, the SSE 50 Index decreased by 1.15%, and the CSI 1000 Index decreased by 1.16% [1]. - **Market Style**: Large - cap value stocks were relatively dominant. Large - cap growth stocks decreased by 2.20%, large - cap value stocks decreased by 0.55%, mid - cap growth stocks decreased by 1.48%, mid - cap value stocks decreased by 1.19%, small - cap growth stocks decreased by 1.45%, and small - cap value stocks decreased by 0.85% [1]. - **Fund Performance**: The trading sentiment in the convertible bond market weakened. The trading volume of the convertible bond market was 71.351 billion yuan, a 9.71% decrease from the previous day; the total trading volume of the Wind All - A Index was 1980.382 billion yuan, a 4.13% decrease from the previous day; the net outflow of the main funds in the Shanghai and Shenzhen stock markets was 62.011 billion yuan, and the yield of the 10 - year treasury bond increased by 0.14 bp to 1.81% [1]. Convertible Bond Price and Valuation - **Convertible Bond Price**: The overall weighted average closing price of convertible bonds was 135.02 yuan, a 0.64% decrease from the previous day. The closing price of equity - biased convertible bonds was 178.79 yuan, a 1.27% decrease; the closing price of bond - biased convertible bonds was 121.53 yuan, a 0.10% decrease; the closing price of balanced convertible bonds was 130.91 yuan, a 0.31% decrease. The proportion of high - priced bonds above 130 yuan was 62.34%, a 0.75 - percentage - point decrease from the previous day. The price median was 133.72 yuan, a 0.93% decrease from the previous day [2]. - **Convertible Bond Valuation**: The valuation was compressed. The 100 - yuan par - value fitted conversion premium rate was 31.82%, a 0.82 - percentage - point decrease from the previous day; the overall weighted par value was 104.59 yuan, a 0.52% decrease from the previous day. The premium rate of equity - biased convertible bonds was 10.60%, a 1.34 - percentage - point decrease; the premium rate of bond - biased convertible bonds was 84.51%, a 0.54 - percentage - point decrease; the premium rate of balanced convertible bonds was 22.78%, a 0.24 - percentage - point decrease [2]. Industry Performance - **Underlying Stock Industry**: Among A - share markets, the top three industries with the largest declines were electronics (-3.09%), communication (-2.46%), and media (-2.16%); the top three industries with the largest increases were real estate (+0.39%), banking (+0.26%), and pharmaceutical biology (+0.17%) [3]. - **Convertible Bond Industry**: In the convertible bond market, 23 industries declined, with the top three industries with the largest declines being communication (-2.52%), national defense and military industry (-1.85%), and automobile (-1.66%); the top three industries with the largest increases were steel (+2.31%), environmental protection (+0.82%), and public utilities (+0.27%) [3]. - **Key Indicators by Sector**: - Closing price: The large - cycle sector decreased by 0.15%, the manufacturing sector decreased by 1.11%, the technology sector decreased by 1.59%, the large - consumption sector decreased by 0.64%, and the large - finance sector decreased by 0.66% [3]. - Conversion premium rate: The large - cycle sector decreased by 0.57 percentage points, the manufacturing sector decreased by 0.37 percentage points, the technology sector increased by 0.3 percentage points, the large - consumption sector decreased by 0.29 percentage points, and the large - finance sector increased by 0.051 percentage points [3]. - Conversion value: The large - cycle sector increased by 0.51%, the manufacturing sector decreased by 0.87%, the technology sector decreased by 1.74%, the large - consumption sector decreased by 0.64%, and the large - finance sector decreased by 1.01% [3]. - Pure bond premium rate: The large - cycle sector decreased by 0.23 percentage points, the manufacturing sector decreased by 1.7 percentage points, the technology sector decreased by 2.3 percentage points, the large - consumption sector decreased by 0.82 percentage points, and the large - finance sector decreased by 0.79 percentage points [4].

1. Report Industry Investment Rating No information provided in the report. 2. Core Viewpoints of the Report - This week, the convertible bond market experienced an obvious style shift, with the TMT sectors like computer, media, and communication cooling off, while the power equipment sector led the rise, and photovoltaic convertible bonds performed brightly. The valuation of debt - oriented convertible bonds was firm, outperforming equity - oriented ones. With the market rising in a volatile manner, the valuation in the 130 - 140 yuan parity range was significantly weak due to strong redemption expectations. The convertible bonds lagged behind the underlying stocks, with their gains less than half of the underlying stocks. Indicators such as the median convertible bond price, the premium rate per hundred yuan, and the yield to maturity have returned to the upper edge of the oscillation range since September. If they can break through effectively, the short - term upward trend of convertible bonds is expected to be strengthened [2][3]. 3. Summary by Relevant Catalogs 3.1 Convertible Bond Valuation - The convertible bond premium rate per hundred yuan is still in an oscillating trend, within the range of 2 times the standard deviation above and below the 250 - day average. As of the latest, with outliers retained, the market - wide convertible bond premium rate per hundred yuan is 35.7%, down 0.1% week - on - week, and the latest percentile is at the 93.8% percentile since 2017 [2][4]. - Compared with last week, the valuations of debt - oriented and low - parity convertible bonds were stronger, with both the conversion premium rate and the bottom - support premium rate rising, and prices slightly increasing. The valuations of equity - oriented and high - parity convertible bonds were weaker, with the conversion premium rate oscillating downward. The valuation in the 130 - 140 yuan parity range declined significantly, and its historical percentile was significantly lower than other parity ranges [2][8]. - This week, the median convertible bond price and the yield to maturity were reported at 133.30 yuan and - 6.82% respectively, changing by + 0.96 yuan and - 0.18% week - on - week. Their current percentile levels are at the 99.80% and 0.30% percentiles since 2017 [2][13]. 3.2 Clause Tracking 3.2.1 Redemption - This week, Qibin Convertible Bond announced redemption, and Fenggong Convertible Bond announced non - redemption, with a strong redemption rate of 50%. Currently, there are 12 convertible bonds that have issued strong redemption or maturity redemption announcements but have not delisted. Among the non - delisted convertible bonds, the potential conversion or maturity balance of strongly redeemed and matured convertible bonds is 6 billion yuan. There are currently 40 convertible bonds in the redemption process, and 9 are expected to meet the redemption conditions next week [2][17][20]. 3.2.2 Downward Revision - This week, Aidi Convertible Bond proposed a downward revision. As of the latest, 98 convertible bonds are in the non - downward - revision period, 20 cannot be downward - revised due to net asset constraints, 2 have triggered the condition and the stock price is still below the downward - revision trigger price but no announcement has been made, 31 are accumulating downward - revision days, and 4 have issued board proposals for downward revision but have not held a general meeting of shareholders [2][22]. 3.2.3 Put Option - This week, no convertible bond issued a conditional put option announcement. As of the latest, 7 convertible bonds are accumulating put - option trigger days, among which 1 proposed a downward revision, 1 has triggered the downward - revision condition, and 5 are in the non - downward - revision period [2][25]. 3.3 Primary Issuance - This week, no convertible bond issued an issuance announcement. Qizhong Convertible Bond and Zhuomei Convertible Bond have been issued and are waiting for listing. As of the latest, there are 7 convertible bonds at the approval - for - registration stage, with a to - be - issued scale of 6.9 billion yuan; and 7 at the listing - committee - approval stage, with a to - be - issued scale of 6.3 billion yuan [2][27].

Group 1 - The report indicates that the equity market continued to experience high volatility in October, with convertible bonds showing relative strength due to their structural advantages [5][6][37] - The convertible bond index recorded a monthly return of -0.57%, slightly underperforming the CSI Convertible Bond Index and the equal-weighted index, but still maintaining excess returns year-to-date [6][37] - There is a potential shift in market style, with small-cap indices showing declining trading volume since August, suggesting a possible emergence of relative return advantages for small-cap styles in November [16][37] Group 2 - The report highlights that despite the presence of parity-driven logic in the convertible bond market, potential valuation risks remain a significant concern, with high valuation levels indicating increasing vulnerability [16][37] - The report suggests that the overall strategy for November should focus on relative returns, as convertible bonds may benefit from the potential style advantages in the equity market, although high overall valuations pose risks [37] - The report outlines changes in the monthly selection strategy, emphasizing a shift away from high-odds strategies and focusing on low-price enhancement and active selection strategies [39][40][41] Group 3 - Specific convertible bonds to focus on in November include Southeast Convertible Bond, China Special Convertible Bond, and Jinko Convertible Bond under the low-price enhancement strategy [40] - For the active selection strategy, recommended bonds include Shouhua Convertible Bond, Xinhua Convertible Bond, and Tianneng Convertible Bond, emphasizing stability in the underlying stock's fundamentals and price trends [41][42]