转债分析框架：混沌的天平 - 中金固收 2025 债市宝典系 列 20251029 转债波动主要受正股影响，具有下跌空间有限、上涨潜力较大的不对称 性，使其在市场不确定性高时成为理想投资工具。精达转债案例表明， 高不确定性品种更适合配置于转债，以期获得超额收益。 机构投资者虽占转债市场较大比例（39%为基金），但专门从事转债研 究的人员较少，市场专业性有待考量。多数基金经理仅为超额收益或仓 位配置少量转债，难以支撑市场整体专业水平。 转债市场具有季节性特征，类似于旅游城市，市场好的时候投资者大量 涌入，交易活跃；而在淡季时，市场参与者寥寥无几，更容易识别错误 定价。 投资者常误认为看好正股就应买入对应转债，忽略了不确定性和不对称 性。若非常看好某股票，应通过融资、期权等工具操作，而非选择风险 较低的转债。高溢价率往往是高点到来的象征。 定价在转债市场中至关重要，影响新券接受度和二级市场流动性。应关 注隐含波动率、YTM（到期收益率）以及百元溢价率等定价相关指标。 百元溢价率较低预示未来一年内有较好平均收益表现。 Q&A 2025 年转债市场有哪些显著变化？ 2025 年是转债市场变化较大的一年。以往的转债宝典 ...

Report Industry Investment Rating No investment rating information is provided in the report. Core Viewpoints - Long - term, major inflection points of convertible bonds are basically synchronous with equities, and capital behavior determines the actual performance of convertible bonds in trending markets. Short - term, capital attitude and behavior determine the performance of convertible bonds around phased inflection points. The convertible bond index may enter a volatile phase in the short term, following changes in the equity market with potentially increased market volatility [1][3][12] - After the adjustment, the average price of convertible bonds has declined, the conversion premium rate has decreased, and the problem of over - valued convertible bonds has been alleviated [19] Summary by Directory 1. Convertible Bond Weekly Thinking - Past week, both the equity and convertible bond markets adjusted, stabilized, and rebounded, with convertible bonds performing slightly better than underlying stocks. The Shanghai Composite Index fluctuated above 3800 points, being weak in the first four trading days and significantly rebounding on Friday. The Wind Convertible Bond Equal - Weighted Index rose 0.51% last week, while the Convertible Bond Underlying Stock Equal - Weighted Index fell 0.75%, and the overall market premium rate increased [10] - Since August 27, the amplitude of the convertible bond market has increased, with different driving factors. On August 27 and September 1, the adjustment was mainly due to capital outflows from the convertible bond market, and convertible bonds underperformed underlying stocks. On September 2, the decline and on September 5, the increase were mainly due to changes in the equity market, with parity driving the performance of convertible bonds. On September 5, the high follow - up performance of convertible bonds was due to capital represented by convertible bond ETFs turning to net inflows [2][11] - Absolute return funds have shifted from direct to indirect holding of convertible bonds. In August, institutions other than public funds basically reduced their holdings of convertible bonds due to the shrinking market size, while public funds continued the growth trend from July. From July to August, absolute return funds such as wealth management subsidiaries and trusts continuously reduced their direct holdings of convertible bonds but indirectly held them by buying fixed - income + funds and convertible bond ETFs. The large - scale inflow of fixed - income + funds, likely synchronous with convertible bond ETFs, started in mid - to - early July, driving up the valuation of convertible bonds. Recently, the attitude of fixed - income + funds has changed due to market fluctuations. Convertible bond ETFs had net outflows on September 1 and 2 and large net inflows on September 5. The previous adjustment of convertible bonds was mainly due to the profit - taking sentiment of absolute return funds, and the weak recovery this time is because the price and valuation of the convertible bond market have reached absolute highs, resulting in the convertible bond trend leading that of the equity market slightly [4][15][16] 2. Convertible Bond Market Tracking 2.1 Convertible Bond Market Conditions - The report provides the performance data of various convertible bond indexes in different time periods, including the past week, two weeks, September to date, one month, two months, half - year, and one year. For example, the Wind Convertible Bond Energy Index rose 1.03% in the past week, - 2.75% in the past two weeks, etc. [22] 2.2 Convertible Bond Individual Securities - The report shows the top ten and bottom ten individual convertible bonds in terms of price changes in the past week, but specific bond names are not provided [24] 2.3 Convertible Bond Valuation - The report presents the valuation trends of different types of convertible bonds, such as debt - type, balanced, and equity - type convertible bonds, including the conversion premium rate trends of different parities of convertible bonds [31] 2.4 Convertible Bond Price - The report shows the price median trend of convertible bonds [35]

Section 1: Investment Rating of the Reported Industry - The provided content does not mention the industry investment rating [1][2] Section 2: Core Views of the Report - Deep learning may be used for convertible bond pricing. Based on the Universal Approximation Theorem (UAT), if there is a reasonable analytical solution for convertible bond pricing, a neural network model can fit the result [2][5] - A Multilayer Perceptron (MLP) model is designed. It uses 11 factors, including core factors, convertible bond-specific factors, and market performance factors, to nonlinearly fit the pricing characteristics of convertible bonds [2][5] - The MLP model has good convergence and excellent extrapolation generalization ability. It can strongly explain out-of-sample data from 2024 to Q1 2025 [2][8] - After developing multiple models, including the MLP, MC, and traditional BS models, they can assist in investment activities in various scenarios such as new bond pricing, market interpretation, and clause pricing [2][13] - The neural network model indicates that the current market pricing of convertible bonds is overestimated, but not as much as expected. Convertible bond valuations are high but may still rise further [2][13] - In new bond pricing, the MLP and MC models form a "high-low combination." The MC model is better at pricing large-scale, high-rated convertible bonds, while the MLP is more effective for regular convertible bond listings [2][16] - The models also work well for pricing convertible bond downward revisions [2][19] Section 3: Summary by Relevant Catalog 1. Deep Learning Pricing Model's Concept and Design - The MLP model is based on the idea that if there is an analytical solution for convertible bond pricing, a neural network can fit it. It uses 11 factors for pricing [5] - The model has good convergence and generalization ability. After training with data from 2022 - 2023 and cleaning the dataset, it can effectively explain out-of-sample data from 2024 to Q1 2025 [8] - Compared with the BS and MC models, the MLP model has better pricing results for the overall market and individual convertible bonds. It has faster computation speed than the MC model and is more suitable for real - world scenarios than the BS model. However, it has limitations such as being a "black box" and requiring a large amount of historical data [10][11] 2. Convertible Bond Quantitative Pricing 2.0 - What Are the Model's Applications? - With multiple models (MLP, MC, and BS), they can assist in investment activities in various scenarios [13] - At the overall market pricing level, the neural network model shows that the current market pricing is overestimated, but not significantly. Convertible bond valuations are high but may still increase [13] - In new bond pricing, the MLP and MC models complement each other. The MC model is better for large - scale, high - rated convertible bonds, and the MLP is better for regular convertible bonds. Over 50% of convertible bond listing prices fall within the range defined by the two models, and over 80% are captured after the pricing repair in November 2024 [16] - For downward revision pricing, the MLP model can predict prices when the convertible bond is revised to the trigger threshold and to the lowest level. Most convertible bond prices on the second trading day after a downward revision proposal fall within or near this predicted range [19]

1. Report Industry Investment Rating - There is no information about the industry investment rating in the provided content. 2. Core Viewpoints of the Report - Convertible bonds are complex derivatives with both equity and debt characteristics, effectively filling the gap in medium - low volatility and medium - return products [13]. - The main participants in the convertible bond market are institutional investors from the bond market, attracted by the ability to obtain equity - like returns without occupying equity positions and the price protection of the bond nature [17][24]. - The positioning of convertible bonds in the secondary market is to provide additional income sources for the bond market and offer a more stable investment option for equity and hybrid investors [32]. - When analyzing convertible bonds, it is necessary to first determine their equity - debt attributes, and then adopt different research methods for equity - dominant and debt - dominant convertible bonds [89]. 3. Summary According to the Directory 3.1 Initial Understanding of Convertible Bonds - Convertible bonds are a type of corporate bond that can be converted into stocks, with the right of conversion being an option for investors. They have the characteristics of both bonds and stocks, and their pricing is affected by stock prices and pure - bond values [8][9]. - The risk - return ratio of convertible bonds lies between stocks and bonds, and they effectively supplement the lack of medium - low volatility and medium - return products. Their main participants are from the bond market, and they are favored because they do not occupy equity positions and have bond - bottom protection [13][17][24]. - The core role of convertible bonds in the secondary market is to provide additional income for the bond market and offer a more stable investment option for equity and hybrid investors [32]. 3.2 Basic Elements and Clause Explanations of Convertible Bonds - When dealing with convertible bond issues, key information includes basic details such as issuance scale, term, and credit rating, as well as the settings of basic and additional clauses. Currently, the clause settings of convertible bonds are nearly identical [38]. - Basic information mainly focuses on the underlying stock, scale, term, and credit rating. The price of the underlying stock is crucial for the price of convertible bonds, and the scale affects the subscription success rate, listing valuation, and the issuer's decisions. The term is mostly 6 years, and the credit rating affects institutional investment [40][43][48]. - The conversion clause determines how convertible bonds are converted into stocks, and investors usually choose to convert under specific conditions such as forced redemption, negative premium arbitrage, and favorable conversion at maturity. The pure - bond clause determines the pure - bond value of convertible bonds, and convertible bonds usually use a progressive interest rate with high - value compensation at maturity [55][57][63]. - The additional clauses of domestic convertible bonds mainly include redemption, put, and downward - adjustment clauses. The redemption clause promotes investors to convert bonds, the put clause protects investors' interests, and the downward - adjustment clause is beneficial for issuers to avoid put - backs and promote conversion [69]. 3.3 Basic Research Ideas for Convertible Bond Pricing - The starting point for convertible bond pricing research is to divide the equity - debt attributes of individual bonds. It is recommended to calculate the correlation and elasticity between the underlying stock price and the convertible bond price instead of relying solely on the flat - bottom premium rate [89][94]. - For equity - dominant convertible bonds, the most important factor is the trend of the underlying stock, and the other core concern is the conversion premium rate. It is necessary to comprehensively consider factors such as the underlying stock's expectations, pure - bond returns, and liquidity to judge the valuation [106][107][119]. - For debt - dominant convertible bonds, there are two classic allocation strategies: the pure - bond bottom - position strategy, which focuses on coupon value and bond - bottom protection, and the low - price allocation strategy, which aims for a significant increase in the pure - bond premium rate [122].