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 09 月 07 日 转债两大定价核心：权益和资金 ——可转债周度追踪 核心观点 长期来看，历史上转债大级别的拐点和权益基本同步，而资金行为决定了转债在趋势 行情中实际表现。短期来看，资金态度和行为决定了转债在阶段性拐点前后的表现。 我们认为转债指数短期可能转入震荡，跟随权益市场变化，市场振幅或加大。 ❑ 第一，8/27 以来转债市场振幅加大，背后主导因素各有不同。 转债在 8 月 27 日和 9 月 1 日的调整的主要原因是资金流出转债市场，转债表现 明显弱于正股，早盘起已经转弱势头。但是转债 ETF 在 9/1 出现净流出。转债在 9 月 2 日下跌和 9 月 5 日上涨的主要原因是权益市场变化，平价推动转债表现。 而转债在 5 日展现了较高的跟随性是以转债 ETF 为代表的资金转为净流入。 ❑ 第二，转债和权益的同步性如何？ 转债定价的两大核心是权益表现和资金行为。长期来看，历史上转债大级别的拐 点和权益基本同步，即权益市场的涨跌确定了转债变化的基础方向。而资金行为 决定了转债在趋势行情中实际表现。一般来说，资金对 ...

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].