1. Report Industry Investment Rating No information provided in the report. 2. Core Viewpoint The convertible bond market currently meets the pre - condition of "long - term and significant valuation increase with the hundred - yuan premium rate at a historical high", but the recent upward trend of the equity market remains intact, and there has been no prior continuous shock adjustment to erode market confidence. Therefore, convertible bond valuations are expected to continue to fluctuate in the short - to - medium term. Future focus should be on equity trends and expected changes [3][25]. 3. Summary by Related Catalogs 3.1. Convertible Bond Sharp Valuation Compression Reappears, Conditions for Continuous Compression Not Met - On August 27, 2025, the CSI Convertible Bond Index dropped 2.82% in a single day, the hundred - yuan premium rate compressed by 3.48 pcts to 29.08%, and the trading volume exceeded 110 billion yuan. One reason for the sharp valuation compression was the vulnerability of convertible bond valuations at a historical high, and the other was the first significant net redemption of first - and second - tier bond funds since continuous net subscriptions in July, with securities firms, trusts/futures, and wealth management subsidiaries contributing the main net redemption volume [1][5]. - There were differences in the intraday performance of valuation compression. In terms of rhythm, the compression slope of the convertible bond hundred - yuan premium rate started to increase around 11:20, while the convertible bond underlying stock index lagged behind and began to decline rapidly around 13:25. After the lunch break, the equity market continued to decline, but the hundred - yuan premium rate bottomed out and fluctuated around 14:00. Structurally, the compression of the fitted premium rate of low - parity convertible bonds was more obvious, the valuations of financial and AA+/AAA convertible bonds were relatively resilient, and new bonds (listed for less than 1 year) had the largest valuation compression in the morning but also a strong rebound after the lunch break [1][8]. 3.2. Historical References for Rapid Valuation Compression - Since 2017, there have been 17 times when the single - day valuation compression of the hundred - yuan premium rate exceeded 2 pcts. Nine of these occurred during the period from 2017 - 2018 when the sample size was small and fluctuations were large, and the rest occurred on 2020 - 03 - 23, 2021 - 12 - 07, 2022 - 02 - 14, 2022 - 02 - 15, 2022 - 08 - 19, 2024 - 02 - 28, 2025 - 04 - 07, and 2025 - 08 - 27 [2][10]. - **2020 - 03 - 23**: Due to the unexpected spread of the pandemic globally, leading to deep adjustments in equity markets in many countries/regions. The Wind All - A Index dropped 3.81% and the Nasdaq Index dropped 9.49% on that day. Convertible bond valuations compressed by 2.55 pcts due to panic, but they stabilized and recovered as the global equity markets stabilized [10]. - **2021 - 12 - 07**: A typical period when convertible bond fluctuations increased after a rapid valuation increase to a high level. On that day, the conversion premium rate compression of high - priced convertible bonds and the decline in convertible bond prices were both prominent. However, from the end of 2021 to the beginning of 2022, fixed - income + funds and insurance funds entered the market significantly. With strong support from the capital side and the strength of convertible bond underlying stocks represented by small - cap stocks, convertible bond valuations continued to rise after a two - day correction, and the CSI Convertible Bond Index also fluctuated upward [14]. - **2022 - 02 - 14 and 2022 - 02 - 15**: The Wind All - A Index had been oscillating and declining for over 2 months, and convertible bond underlying stocks also had a sharp adjustment in mid - January. However, convertible bond valuations continued to oscillate upward, creating a divergence. After the equity market rebounded in early February but quickly declined again, the convertible bond market lost confidence and patience, resulting in a sharp valuation decline in mid - February. After the equity market stabilized in mid - to - late February, convertible bond valuations did not continue to decline, and only continued to compress when the equity market adjusted again in March [14]. - **2022 - 08 - 19**: Similar to the situation in February 2022, convertible bond valuations climbed to a high level. The Wind All - A Index had already adjusted significantly in advance, but convertible bond valuations remained high. After the small - and micro - cap stocks declined, the valuations were quickly adjusted to a relatively reasonable level of around 26%. However, the continued adjustment of the equity market caused convertible bond valuations to continue to decline [15]. - **2024 - 02 - 28**: During the repair process of the squeeze - out decline of small - and micro - cap stocks caused by quantitative funds, on the 28th, affected by market rumors about quantitative fund supervision, the equity market adjusted sharply again. The convertible bond underlying stock index mainly composed of small - and micro - cap stocks dropped 5.83%, and the hundred - yuan premium rate compressed by 2.29 pcts. After the rumor effect subsided, the equity market continued to repair, and convertible bond valuations stabilized, oscillated, and recovered the next day [18]. - **2025 - 04 - 07**: Mainly due to unexpected changes in peripheral tariff policies, the Wind All - A Index dropped 9.26% and the convertible bond underlying stock index dropped 12.19% on that day. Affected by the pessimistic sentiment in the equity market, convertible bond valuations compressed by 2.53 pcts. However, the subsequent equity market continued to repair, and the hundred - yuan premium rate rose 2.48 pcts on April 8, basically recovering all the losses [18]. - In the two sample periods of 2022 - 02 - 14 and 2022 - 08 - 19, there was still significant valuation decline in the 30 trading days after the rapid valuation compression. The commonalities were long - term and significant valuation increases before the compression, with the hundred - yuan premium rate at a historical high, and the equity market had started to oscillate and adjust, and continued to weaken in the future [2][19]. - In other sample periods, neither the decline of convertible bond valuations nor the CSI Convertible Bond Index lasted more than 3 days, and there was no obvious continuous compression of convertible bond valuations in the 30 trading days after the rapid valuation compression, regardless of whether the equity market rose, oscillated, or declined [3][23].

丨证券研究报告丨 固收资产配置丨点评报告 [Table_Title] 转债板块轮动深化，整体估值压缩 ——可转债周报 20250517 报告要点 [Table_Summary] 当周（2025 年 5 月 12 日–2025 年 5 月 17 日）A 股整体维持震荡整理格局，结构性轮动加 剧，市场风格由高弹性博弈逐步向防御与低位回补倾斜。可转债方面，中证转债指数微涨0.32%， 成交温和修复，低价与中价区间估值明显压缩，中高平价个券估值小幅修复。行业间表现分化， 个券层面弹性主导的结构性机会仍存。一级市场供给节奏活跃，条款博弈延续审慎，赎回扰动 整体可控。建议配置上聚焦低溢价、高景气个券，同时兼顾高评级蓝筹类转债的稳健配置价值。 分析师及联系人 [Table_Author] 赵增辉 熊锋 SAC：S0490524080003 SAC：S0490524120004 SFC：BVN394 请阅读最后评级说明和重要声明 %% %% %% %% research.95579.com 1 [Table_Title 转债板块轮动深化，整体估值压缩 2] ——可转债周报 20250517 [Table_Summary2] ...