固定收益 | 动态跟踪 估值小幅修复，底仓品种价值显现 可转债市场周观察 研究结论 报告发布日期 2025 年 09 月 29 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 | | 估值继续压缩，等待切入时机：可转债市 | 2025-09-24 | | --- | --- | | 场周观察 | | | 关注科创债 ETF 未"超涨"成分券：信用 | 2025-09-22 | ...

Core Viewpoint - The article suggests that the recent decline in convertible bonds is helping to correct the "extreme overvaluation" in the market, with the core issue still being the stock market performance [1] Group 1: Market Environment - The current environment for convertible bonds remains characterized by "high valuation, narrow selection, and tight supply," with no short-term changes expected [1] - The easing of tensions between China and the US continues to provide a favorable backdrop, with ample funds available in the market, suggesting a positive medium-term outlook for the stock market [1] - A moderate adjustment in the stock market may lead to a healthier "slow bull" market [1] Group 2: Convertible Bond Valuation - The recent high prices of convertible bonds are primarily driven by supply and demand dynamics, but factors such as shortening maturities and increased early redemption ratios indicate that extreme valuations are unlikely to persist, especially if stock market performance cools [1] - Historical experience shows that valuation adjustments for convertible bonds at extreme highs tend to be sharp, but as long as the stock market does not weaken, the downside potential is often limited [1] Group 3: Performance of Bond ETFs - The article highlights that the Ping An Company Bond ETF (511030) has the best performance in terms of controlling drawdown since the recent bond market adjustment began on August 8, 2025, with a net value that remains relatively stable [1] - A table is provided comparing various bond ETFs, showing metrics such as scale, recent performance, and drawdown control, indicating the relative stability of the Ping An ETF compared to others [1]

Group 1: Report Industry Investment Rating - Not provided in the content Group 2: Core Views of the Report - In July 2025, the convertible bond and equity markets both rose rapidly with multiple catalysts, but there was a slight pullback at the end of the month. The valuation of convertible bonds is at a high level, and their elasticity is relatively weak. The current valuation increase is mainly driven by low - price convertible bonds, with a relatively healthy structure. Attention should be paid to potential investment opportunities in low - price and equity - biased convertible bonds [1][26][35] - The convertible bond market is expected to oscillate at a high valuation level. The support from the equity market may remain strong, and the risk of valuation decline is relatively weak. The "Huachuang Convertible Bond" focus portfolio for August 2025 has been adjusted [36][49] Group 3: Summary by Directory I. Convertible Bond Valuation at a High Level, Focus on Structural Opportunities - **Market Review**: In July, the equity and convertible bond markets both rose rapidly with multiple catalysts. The public funds in the Shanghai and Shenzhen stock exchanges increased their holdings of convertible bonds by 3.63%, and the ETF share increased by 19.46%. The small - cap style was strong throughout the month, and there was a slight pullback at the end of the month. The Wind All - A Index rose 4.75%, and the convertible bond index rose 2.87%, with the valuation increasing [1] - **Analysis of High - Valuation Characteristics**: High - valuation convertible bonds have weak elasticity. Reviewing historical high - valuation periods (March 2020, February 2022, August 2022), they were characterized by high - valuation pullback pressure and high Delta. Currently, the rapid increase in convertible bond valuation is due to fund buying and ETF share growth. The low - price varieties are strong, and the current Delta is around 0.55, providing a higher safety margin [2][16] - **Investment Suggestions**: There may be a bubble in convertible bond valuation. Pay attention to low - price and equity - biased convertible bonds. In a high - valuation environment, if there are theme catalysts, focus on equity - biased convertible bonds to increase elasticity, and also participate in low - price convertible bonds for bottom - line protection [3][35] II. Valuation Outlook: High - Level Oscillation, Relatively Healthy Structure - **Support from the Equity Market**: Multiple themes have driven the equity market, and sentiment is positive. The technology sector can continue to be followed [36] - **Healthy Valuation Structure**: The current valuation increase is mainly driven by low - price convertible bonds. Public funds and ETFs have increased their holdings, and the risk of valuation decline is relatively weak. As of July 31, 2025, the 100 - yuan par - value fitted conversion premium rate was 26.83%, up 2.11 pct from the end of June [36] - **Valuation Compression in Different Categories**: As of July 31, compared with the end of June, the conversion premium rates of debt - biased convertible bonds decreased significantly. Most industries, ratings, and scales of convertible bonds saw valuation compression [40][41] III. Key Focus Convertible Bonds - **July Performance**: From July 5 to August 4, the July convertible bond portfolio rose 4.42%, outperforming the benchmark index by 1.17 pct. Huayi, Fenggong, and Rongtai had the highest gains, while some bank convertible bonds adjusted slightly [46] - **August Portfolio Adjustment**: The "Huachuang Convertible Bond" focus portfolio for August is adjusted to include Xingqiu, Mingli, Fenggong, Zhanggu, Huayi, Yifeng, Shangyin, Ziyin, Zhongyin, Qingnong, and Xingye. The portfolio selection strategy combines top - down and bottom - up approaches, with specific selection requirements [49][53][54] IV. Market Review: Both Convertible Bonds and Underlying Stocks Rose, Valuation Significantly Increased - **Overall Market Performance**: In July, the underlying stock market rose, and the convertible bond market followed. The Shanghai Composite Index rose 3.74%, the Shenzhen Component Index rose 5.20%, the Wind All - A Index rose 4.75%, and the convertible bond index rose 2.87%. The valuation increased by 2.11 pct. The small - cap stocks performed better, and the pharmaceutical sector was relatively strong [55] - **(1) Market Performance: Most Convertible Bond Sectors Rose, and the Tibet Revitalization Concept Heated Up Significantly**: Most of the Shenwan primary industry indices rose in July, with steel, pharmaceutical biology, and building materials having the highest gains. In the convertible bond market, building materials, pharmaceutical biology, and household appliances had the highest gains [58] - **(2) Capital Performance: Trading Volume in the Convertible Bond and Equity Markets Continued to Increase**: The average daily trading volume of the CSI Convertible Bond Index in July was 728.88 billion yuan, up 16.32% from June. The average daily trading volume of the Wind All - A Index was 16,336.29 billion yuan, up 22.28% from June. The margin trading balance increased, and most industries received net margin purchases [68][69] V. Supply and Demand Situation: The Supply Scale of New Convertible Bonds Increased Month - on - Month, and the Pace of Pre - plans Slowed Down - **(1) In July, 3 Convertible Bonds Were Issued, and 9 New Convertible Bonds Were Listed**: In July, 3 new convertible bonds were issued, with a total scale of 84.52 billion yuan, and 9 new convertible bonds were listed, with a total scale of 43.52 billion yuan. The online subscription for new convertible bonds heated up, with an average effective subscription amount of 8.32 trillion yuan. The total effective subscription was 24.97 trillion yuan, and the online subscription success rate was 0.0096% [71][76] - **Pending Issuance and New Pre - plans**: The total pending issuance scale is about 84 billion yuan. As of July 31, 2025, 4 listed companies obtained approval for convertible bond issuance, and 3 companies passed the review meeting and were waiting for approval. Two companies announced new board pre - plans, with a total scale of 24.96 billion yuan, a 10.40% decrease from June [78][80] - **Redemption and Downward Revision Announcements**: In July, 5 convertible bonds announced redemption, and 8 convertible bonds announced downward revisions. Many convertible bonds also announced non - downward revisions, proposed downward revisions, or were expected to meet redemption conditions [85][89] - **(2) In July, Holders in the Shanghai and Shenzhen Stock Exchanges Were Cautious Overall, while Public Funds Were Active**: The total convertible bond holding value in the Shanghai and Shenzhen stock exchanges in July was 647.854 billion yuan, a decrease of 73.14 billion yuan from June. Public funds increased their holdings, while enterprise annuities decreased their holdings. Brokerage asset management also showed different trends in the two exchanges [92][98][100]

1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core View of the Report - From July 14 to July 19, 2025, the convertible bond market continued its gentle recovery, with steadily increasing trading activity. The focus of capital allocation shifted towards mid - cap individual bonds with fundamental support and elasticity expectations. The equity market maintained structural differentiation, with the growth style outperforming, and the science - and - technology innovation sectors standing out. There was also capital inflow into the cyclical manufacturing direction. The valuation structure of convertible bonds stretched overall, and the impetus for valuation repair of medium - and high - parity bonds increased. Since 2025, the proportion of convertible bonds held by insurance funds has been continuously rising compared to 2024, indicating that stable long - term funds have a stronger preference for assets that can both increase returns and offer high safety margins. It is recommended to pay attention to high - prosperity directions while evenly allocating medium - and low - priced high - quality convertible bonds with coupon advantages and credit support [2][6]. 3. Summary According to the Table of Contents 3.1 Market Theme Weekly Review 3.1.1 Insurance Funds' Allocation in the Convertible Bond Market - The overall proportion of insurance funds in the convertible bond market has increased. Although the face value of convertible bonds held by insurance institutions has gradually decreased from 64.58 billion yuan in June 2024 to 57.64 billion yuan in June 2025, mainly due to the simultaneous decline in the overall scale of the convertible bond market, the proportion of insurance funds has risen from 7.8% in June 2024 to 8.1% in June 2025, reflecting their enhanced relative allocation willingness [25]. - The participation amount and proportion of insurance funds in the Shenzhen Stock Exchange have steadily increased. In June 2025, the convertible bond holders on the Shenzhen Stock Exchange were mainly fund investors, accounting for 31.7%, a year - on - year increase of 0.9 pct. Insurance institutions held 20.62 billion yuan, accounting for 6.7%, a year - on - year increase of 1.2 pct [27]. - The proportion of insurance funds on the Shanghai Stock Exchange has remained stable, but the holding face value has declined. In June 2025, the convertible bond holders on the Shanghai Stock Exchange were mainly public funds, accounting for 34.0%, a year - on - year increase of 4.0 pct. Insurance institutions held 37.02 billion yuan, accounting for 9.1%, a year - on - year decrease of 0.2 pct, possibly due to the conversion or maturity of some bank convertible bonds [33]. 3.1.2 Equity Market Weekly Review - The trading themes in the equity market were active. The rare earth index led the market with a 17.5% weekly increase and a trading volume of 118.89 billion yuan. The pharmaceutical technology theme was prominent, with the innovative drug index rising 10.8%, the weight - loss drug index climbing 9.6%, etc. The new energy sector showed a slight recovery, and the digital economy field was structurally differentiated [37]. 3.1.3 Convertible Bond Market Weekly Review - The convertible bond market continued to rise, with a moderately narrowing increase, reaching a new high in trading activity. The market style shifted towards small - cap bonds, which led the gains, indicating an increase in capital's risk appetite. In terms of valuation, the low - parity range saw valuation repair, while the high - parity range experienced some compression. The implied volatility fluctuated upward, and market sentiment stabilized and recovered. The home appliance, computer, and communication sectors led the gains, and the trading focus continued to gather in the pharmaceutical, basic chemical, and power equipment sectors [42]. 3.2 Market Weekly Tracking 3.2.1 Main Stock Indexes Strengthened, with High - Prosperity Sectors as the Week's Main Line - The main A - share stock indexes continued to strengthen. The Shanghai Composite Index rose 0.7%, the Shenzhen Component Index rose 2.0%, and the ChiNext Index led with a 3.2% increase. The science - and - technology innovation mid - and small - cap stocks performed well, with the CSI 300 rising 1.1%, the STAR 50 rising 1.7%, etc. [43]. - The market's main funds continued to flow out, and the outflow pressure intensified. The average daily trading volume of the whole market was about 1.5 trillion yuan, the same as the previous week. The trading sentiment of the main funds weakened marginally [44]. - The A - share market maintained a structurally differentiated pattern, with high - prosperity sectors performing strongly. The communication sector led the gains with a 7.5% increase, followed by the pharmaceutical, computer, and non - ferrous metal sectors. The banking sector was weak, with a 3.4% decline [48]. - The trading volume of leading sectors expanded with the increase in prices. The communication sector had the largest increase in trading volume, and the automotive sector also showed significant improvement. The non - bank financial sector had a slight increase but a decrease in trading volume, indicating an expansion of capital divergence [49]. - The market's sector congestion was differentiated. The textile and apparel sector was close to historical high levels in terms of congestion indicators. The communication sector had a high trading volume but a relatively low turnover rate. Some sectors such as food and beverage had low capital attention, while the real estate sector showed a divergence between trading volume and turnover rate [56]. 3.2.2 Convertible Bond Market Followed the Upward Trend, with Small - Cap Convertible Bonds Performing Well - The convertible bond market continued to rise, with the increase narrowing compared to the previous week. Small - cap convertible bonds led the gains. The CSI Convertible Bond Index rose 0.7%, the Wind Small - Cap Convertible Bond Index rose 1.3%, the mid - cap index rose 0.5%, and the large - cap index rose 0.3%. The trading activity of the convertible bond market increased, with an average daily trading volume of about 73.84 billion yuan, a 2.4 - billion - yuan increase from the previous week [60]. - Valuation: By parity range, the overall valuation of the convertible bond market stretched, with differentiation in the high - parity range. By market price range, the valuation showed a differentiated and structurally adjusted pattern. The implied volatility of the convertible bond market continued to rise, and the median price of convertible bonds oscillated upward, indicating a relatively high level of market trading sentiment [65][71][72]. - By sector, the convertible bond market generally strengthened, and capital concentration increased. 25 industries rose, 4 industries fell, and 14 industries had an increase of over 1%. The home appliance, computer, and communication sectors led the gains, while the coal sector led the decline. The pharmaceutical, basic chemical, and power equipment sectors had the highest trading volumes [77]. - Individual bonds generally strengthened. The top - performing convertible bonds were mostly driven by their underlying stocks, with high - elasticity and medium - duration characteristics. The underperforming bonds were dragged down by their underlying stocks [82][84]. 3.3 Primary Market Tracking and Clause Games 3.3.1 Primary Market Issuance Plan - Two new convertible bonds were listed, and seven companies updated their issuance plans. The total scale of projects in the exchange - acceptance stage and later was 64.96 billion yuan [88][89][94]. 3.3.2 Clause Games - Regarding the downward - revision clause: 8 bonds announced that they were expected to trigger downward revision, 4 bonds announced no downward revision, and 1 bond proposed downward revision [99]. - Regarding the redemption clause: 5 bonds announced that they were expected to trigger redemption, 3 bonds announced no early redemption, and 5 bonds announced early redemption [106].

Industry Investment Rating - The industry investment rating is maintained at "Outperform the Market" [1] Core Viewpoints - The supply-demand contradiction in the convertible bond market remains prominent, with approximately 470 existing bonds as of June 20, 2025, including 14 related to the banking sector [3][7] - The market valuation level has shown significant recovery, with the median conversion premium and pure bond yield at 31.43% and -1.60% respectively as of June 20, 2025 [4][11] - The low volatility attribute of the banking sector is expected to maintain its advantage in the long term, especially considering the current international trade and geopolitical situation [5][13] Summary by Relevant Sections Industry Basic Situation - The closing index level is 4479.03, with a 52-week high of 4479.03 and a low of 3132.76 [1] Market Supply and Demand - As of June 20, 2025, there are 10 existing bank convertible bonds with a total scale of approximately 151.3 billion, accounting for less than 23% of the total convertible bond market [3][9] - The demand for bank convertible bonds remains high due to their strong credit quality and risk resistance, while the supply has stagnated since 2023 due to long-term undervaluation [7][9] Market Valuation - The market has seen a notable recovery in valuation levels, with some indicators returning to relatively high levels compared to recent years [4][11] Investment Recommendations - It is suggested to focus on the largest existing convertible bonds, such as the Industrial Bank convertible bond and the representative Shangyin convertible bond from city commercial banks, considering their reasonable valuation and substantial remaining balance [5][13]