证 券 研 究 报 告 【债券日报】 转债市场日度跟踪 20260106 ❖ 市场概况：6 日转债跟随正股上涨，估值抬升 指数表现：中证转债指数环比上涨 1.35%、上证综指环比上涨 1.50%、深证成 指环比上涨 1.40%、创业板指环比上涨 0.75%、上证 50 指数环比上涨 1.90%、 中证 1000 指数环比上涨 1.43%。 市场风格：中盘价值相对占优。大盘成长环比上涨 1.20%、大盘价值环比上涨 1.39%、中盘成长环比上涨 2.20%、中盘价值环比上涨 2.75%、小盘成长环比 上涨 1.68%、小盘价值环比上涨 1.67%。 资金表现：转债市场成交情绪升温。可转债市场成交额为 947.34 亿元，环比 增长 13.55%；万得全 A 总成交额为 28322.78 亿元，环比增长 10.32%；沪深 两市主力净流出 176.68 亿元，十年国债收益率环比上升 2.45bp 至 1.88%。 转债价格：转债中枢提升，高价券占比提升。转债整体收盘价加权平均值为 138.02 元，环比昨日上升 1.23%。其中偏股型转债的收盘价为 195.99 元，环比 下降 1.30%；偏债型转债的收盘价为 ...

研究早观点 2026 年 1 月 7 日 星期三 市场走势 【今日要点】 【衍生品研究】供需失衡下，预期转债市场将维持高位-推荐指数成分 调整套利策略及深度挖掘个券 【行业评论】INHBE siRNA 减脂不减肌，联合 GLP-1 展现协同减重潜 力 资料来源：常闻 国内市场主要指数 | 指数 | | 收盘 | 涨跌幅% | | --- | --- | --- | --- | | 上证指数 | | 4,083.67 | 1.50 | | 深证成指 | | 14,022.55 | 1.40 | | 沪深 | 300 | 4,790.69 | 1.55 | | 中小板指 | | 8,593.43 | 1.83 | | 创业板指 | | 3,319.29 | 0.75 | | 科创 | 50 | 1,429.30 | 1.84 | | 资料来源：常闻 | | | | 分析师： 彭皓辰 执业登记编码：S0760525060001 邮箱：penghaochen@sxzq.com 2019 年 2 月 21 日 星期四 请务必阅读最后股票评级说明和免责声明 1 【今日要点】 研究早观点 【衍生品研究】供需失衡下，预期转债 ...

债券研究 证 券 研 究 报 告 【债券日报】 转债市场日度跟踪 20251231 (1) 收盘价：大周期环比+0.18%、制造环比-0.02%、科技环比+0.86%、大消费 环比+0.49%、大金融环比-0.76%。 (2) 转股溢价率：大周期环比+0.45pct、制造环比+0.9pct、科技环比-0.7pct、大 消费环比+0.15pct、大金融环比+0.22pct。 市场概况：12 月 31 日转债过半行业上涨，估值环比抬升 指数表现：中证转债指数环比上涨 0.02%、上证综指环比上涨 0.09%、深证成 指环比下降 0.58%、创业板指环比下降 1.23%、上证 50 指数环比下降 0.18%、 中证 1000 指数环比下降 0.03%。 市场风格：中盘价值相对占优。大盘成长环比下降 0.82%、大盘价值环比下降 0.13%、中盘成长环比下降 0.42%、中盘价值环比上涨 0.45%、小盘成长环比 上涨 0.14%、小盘价值环比下降 0.17%。 资金表现：转债市场成交情绪减弱。可转债市场成交额为 746.80 亿元，环比 减少 0.50%；万得全 A 总成交额为 20657.88 亿元，环比减少 4 ...

证券研究报告 | 2026年01月04日 转债市场周报 春躁期间转债估值仍有提升空间 核心观点 固定收益周报 上周转债个券多数收跌，中证转债指数全周-0.27%，价格中位数-0.50%， 我们计算的算术平均平价全周-0.75%，全市场转股溢价率与上周相比 +0.74%。个券层面，天创（控制权变更）、茂莱（精密光学）、利柏（核 电）、宏微（功率半导体）、宏图（卫星互联网）转债涨幅靠前；浩瀚 （网络可视化）、嘉美（控制权变更）、华医（半导体洁净室）、凯盛 （氯化亚砜&已公告强赎）、瑞达（非银&已公告强赎）转债跌幅靠前。 上周市场焦点（12 月 29 日-12 月 31 日） 观点及策略（1 月 5 日-1 月 9 日） 看好春躁期间权益行情，正股预期走强+季节效应下转债估值有小幅提 升空间，择券重视正股业绩弹性，临期转债考虑参与正股： 股市层面看，12 月股市风险偏好较高，但考虑到年末排名、回归业绩基 准等因素，资金更倾向于选择筹码简单、相对低位的新领域（商业航天）、 近期排产较好一季度业绩预期较佳的电池、以及有期货价格参考支撑的 聚酯产业链、有色金属等方向，而有泡沫化争议且受纳指影响较大的 AI 算力、刺激政策 ...

2026 年度固收策略电话会议 20251230 摘要 预计 2026 年货币政策适度宽松，或有一次降息，时间窗口可能在春节 后一季度内，但 1 月降息概率较低。央行可能通过买断式逆回购或降准 保持资金宽松，以支持政府债券发行。 2026 年通胀预计回升，CPI 均值约 0.5%，PPI 均值约-1.1%，GDP 平 减指数约 0.3%，将使 10 年国债中枢上升近 10BP。若央行降息 10BP，全年利率中枢大致维持在当前 1.8-1.85%水平。 2026 年债券投资可采用 2-3 年信用套息策略，净 carry 约为 40BP 以 上，加上少量杠杆，预计回报可达 2-2.1%。关注低频、高胜率、高赔 率的单边策略，如降息预期升温时关注 5 年和 10 年利率债。 短期内关注短端国债、政金债和存单，重点关注两三年信用债和 5 年国 开债。若央行超预期降息或买债规模提高，可考虑持有长端活跃券，否 则进行短期高频交易。 预计 2026 年财政规模扩张，但幅度小于前一年。政府债供给压力集中 在 1-3 月、5-6 月和 8-9 月，央行可能在 1-2 月、5 月和 8 月保持流动 性支持。4-5 月和 7 月或 ...

Report Industry Investment Rating No information provided in the given content. Core Viewpoints - On December 30, the convertible bond industry showed mixed performance in terms of gains and losses, with valuations rising on a month - on - month basis [1]. - The mid - cap growth style was relatively dominant in the market [1]. - The trading sentiment in the convertible bond market weakened [1]. - The convertible bond price center increased, and the proportion of high - price bonds rose [2]. - The convertible bond valuations increased [2]. - In the A - share market, more than half of the underlying stock industry indices declined, while in the convertible bond market, 14 industries rose [3]. Summary by Related Catalogs Market Overview - **Index Performance**: The CSI Convertible Bond Index rose 0.14% month - on - month, the Shanghai Composite Index remained unchanged, the Shenzhen Component Index rose 0.49%, the ChiNext Index rose 0.63%, the SSE 50 Index rose 0.06%, and the CSI 1000 Index rose 0.04% [1]. - **Market Style**: Mid - cap growth was relatively dominant. Large - cap growth rose 0.57%, large - cap value fell 0.13%, mid - cap growth rose 0.81%, mid - cap value rose 0.66%, small - cap growth rose 0.66%, and small - cap value rose 0.34% [1]. - **Fund Performance**: The trading sentiment in the convertible bond market weakened. The trading volume of the convertible bond market was 75.057 billion yuan, a 2.96% month - on - month decrease; the total trading volume of the Wind All - A was 2.161532 trillion yuan, a 0.18% month - on - month increase; the net outflow of the main funds in the Shanghai and Shenzhen stock markets was 23.828 billion yuan, and the yield of the 10 - year treasury bond decreased by 0.02 bp to 1.86% [1]. Convertible Bond Price - The overall weighted average closing price of convertible bonds was 134.53 yuan, a 0.09% month - on - month increase. Among them, the closing price of equity - biased convertible bonds was 202.44 yuan, a 1.47% increase; the closing price of bond - biased convertible bonds was 118.85 yuan, a 0.18% decrease; the closing price of balanced convertible bonds was 129.71 yuan, a 0.01% increase [2]. - The proportion of bonds with a closing price above 130 yuan was 59.95%, a 1.15 - percentage - point increase. The largest change in proportion occurred in the 120 - 130 (including 130) range, with a proportion of 28.01%, a 1.39 - percentage - point decrease. There were no bonds with a closing price below 100 yuan. The median price was 132.60 yuan, a 0.07% month - on - month decrease [2]. Convertible Bond Valuation - The fitted conversion premium rate of 100 - yuan par value was 33.54%, a 0.45 - percentage - point month - on - month increase; the overall weighted par value was 101.88 yuan, a 0.19% month - on - month decrease [2]. - The premium rate of equity - biased convertible bonds was 18.25%, a 1.38 - percentage - point increase; the premium rate of bond - biased convertible bonds was 86.78%, a 2.11 - percentage - point increase; the premium rate of balanced convertible bonds was 25.17%, a 0.42 - percentage - point increase [2]. Industry Performance - **Underlying Stock Market**: Among the A - share industries, the top three decliners were Commerce and Retail (-1.56%), Real Estate (-1.22%), and Utilities (-1.14%); the top three gainers were Petroleum and Petrochemical (+2.63%), Automobile (+1.35%), and Non - Ferrous Metals (+1.31%) [3]. - **Convertible Bond Market**: Among the convertible bond industries, the top three gainers were Automobile (+2.08%), Petroleum and Petrochemical (+1.25%), and Textile and Apparel (+0.77%); the top three decliners were Environmental Protection (-2.57%), National Defense and Military Industry (-1.23%), and Building Materials (-1.16%) [3]. - **By Category**: - **Closing Price**: The large - cycle category decreased by 0.38%, manufacturing increased by 0.54%, technology decreased by 0.24%, large - consumption increased by 0.10%, and large - finance decreased by 0.05% [3]. - **Conversion Premium Rate**: The large - cycle category decreased by 0.21 percentage points, manufacturing increased by 0.57 percentage points, technology increased by 0.028 percentage points, large - consumption increased by 0.63 percentage points, and large - finance increased by 0.79 percentage points [3]. - **Conversion Value**: The large - cycle category decreased by 0.74%, manufacturing increased by 0.17%, technology decreased by 0.36%, large - consumption decreased by 0.43%, and large - finance decreased by 0.20% [3]. - **Pure Bond Premium Rate**: The large - cycle category decreased by 0.55 percentage points, manufacturing increased by 0.81 percentage points, technology decreased by 0.16 percentage points, large - consumption increased by 0.12 percentage points, and large - finance decreased by 0.065 percentage points [4]. Industry Rotation - Industries such as Petroleum and Petrochemical, Automobile, and Non - Ferrous Metals led the gains. For example, Petroleum and Petrochemical had a daily increase of 2.63% in the underlying stock market and 1.25% in the convertible bond market; Automobile had a 1.35% increase in the underlying stock market and 2.08% in the convertible bond market [54].

Core Viewpoint - The China Convertible Bond Index rose by 0.01% to 493.52 points on December 26, indicating a slight upward trend in the convertible bond market [1] Group 1: Top Gainers - The top gainers in the convertible bond market included: - Jiamei Convertible Bond, which increased by 12.68% - Mengsheng Convertible Bond, which rose by 12.45% - Dazhong Convertible Bond, which saw an increase of 8.69% - Jinzong Convertible Bond, which went up by 6.16% - Beigang Convertible Bond, which gained 4.68% [1] Group 2: Top Losers - The top losers in the convertible bond market included: - Huicheng Convertible Bond, which decreased by 3.46% - Jiazhe Convertible Bond, which fell by 3.17% - Guanzhong Convertible Bond, which dropped by 3.10% - Jingzhuang Convertible Bond, which declined by 3.02% - Huayi Convertible Bond, which saw a decrease of 2.91% [1]

Report Summary 1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core Viewpoints - On December 24, 2025, the demand for cross - year funds increased, leading to a structural differentiation in the capital market. The bond market fluctuated and consolidated, while the convertible bond market's major indices rose collectively, with most individual convertible bonds posting gains. Yields of U.S. Treasuries across various tenors generally declined, and the 10 - year government bond yields of major European economies showed divergent trends [1]. 3. Summary by Directory 3.1 Bond Market News - **Domestic News** - The 4th quarter (111th in total) regular meeting of the Central Bank's Monetary Policy Committee in 2025 was held on December 18. It proposed to leverage the integrated effect of incremental and existing policies, maintain ample liquidity, and keep the RMB exchange rate basically stable at a reasonable and balanced level [3]. - On December 24, the central bank announced a 400 - billion - yuan MLF operation on December 25, with a net injection of 100 billion yuan after considering the maturity of 300 billion yuan of MLF this month [4]. - Multiple departments jointly issued the "Opinions on Financial Support for Accelerating the Construction of the New Western Land - Sea Corridor", proposing 21 key measures to support its high - quality development [4]. - The National Development and Reform Commission and the Ministry of Commerce released the "Catalogue of Industries Encouraged for Foreign Investment (2025 Edition)", with a total of 1679 items, a net increase of 205 items compared to the 2022 edition [5]. - Beijing optimized and adjusted housing purchase restriction policies on December 24, reducing the social security or tax payment requirements and allowing multi - child families to buy an additional property within the 5th Ring Road [6]. - **International News** - On December 24, the U.S. Department of Labor reported that the number of initial jobless claims for the week ending December 20 fell to 214,000, while the number of continuing jobless claims for the week ending December 13 was 1.923 million. Consumer confidence has declined for five consecutive months [7]. - **Commodities** - On December 24, international crude oil and natural gas futures prices declined. WTI February crude futures fell 0.05% to $58.35 per barrel, Brent February crude futures fell 0.22% to $62.24 per barrel, COMEX gold futures fell 0.01% to $4,505.40 per ounce, and NYMEX natural gas prices fell 3.69% to $4.249 per ounce [8][9]. 3.2 Capital Market - **Open Market Operations** - On December 24, the central bank conducted a 26 - billion - yuan 7 - day reverse repurchase operation, with a net withdrawal of 20.8 billion yuan due to the maturity of 46.8 billion yuan of reverse repurchases [11]. - **Funding Rates** - On December 24, due to the increasing cross - year demand from institutions, the capital market showed a structural differentiation. DR001 dropped 0.69bp to 1.262%, and DR007 dropped 3.05bp to 1.380% [12]. 3.3 Bond Market Dynamics - **Interest - Bearing Bonds** - **Spot Bond Yield Trends** - On December 24, affected by multiple rumors such as the central bank's reserve requirement ratio cut and bond purchases, the bond market fluctuated and consolidated. As of 20:00, the yield of the 10 - year Treasury bond active bond 250016 remained unchanged at 1.8350%, and the yield of the 10 - year CDB bond active bond 250215 dropped 0.05bp to 1.8975% [14]. - **Bond Tendering** - Information on the tendering of 25 Discount Treasury Bond 82, 25 Discount Treasury Bond 81, and 25 Coupon Treasury Bond 25 is provided, including their terms, issuance scales, winning yields, and other data [15]. - **Credit Bonds** - **Secondary Market Transaction Anomalies** - On December 24, the trading price of one industrial bond, "22 Vanke 04", deviated by more than 10%, rising more than 18% [15]. - **Credit Bond Events** - Various companies announced events such as debt defaults, debt restructurings, asset sales, and equity transfers. For example, Sunac China completed its comprehensive overseas debt restructuring, and Wanda's credit ratings were downgraded [17]. - **Convertible Bonds** - **Equity and Convertible Bond Indices** - On December 24, the three major A - share stock indices rose collectively, and the convertible bond market also increased. The CSI Convertible Bond Index, Shanghai Stock Exchange Convertible Bond Index, and Shenzhen Stock Exchange Convertible Bond Index rose 0.71%, 0.75%, and 0.62% respectively [17]. - **Convertible Bond Tracking** - On December 25, Jin 05 Convertible Bond started its online subscription, and on December 24, Tianneng Convertible Bond announced that it was about to trigger the condition for a downward revision of the conversion price [23]. - **Overseas Bond Markets** - **U.S. Bond Market** - On December 24, yields of U.S. Treasuries across various tenors generally declined. The 2 - year U.S. Treasury yield dropped 1bp to 3.47%, and the 10 - year U.S. Treasury yield dropped 3bp to 4.15%. The yield spreads between 2 - year and 10 - year, and 5 - year and 30 - year U.S. Treasuries both narrowed by 2bp [20][21]. - **European Bond Market** - On December 24, the 10 - year government bond yields of major European economies showed divergent trends. France's 10 - year government bond yield rose 1bp, Spain's dropped 1bp, and the UK's remained unchanged [24]. - **Daily Price Changes of Chinese - Issued U.S. Dollar Bonds** - As of the close on December 24, price change information of various Chinese - issued U.S. dollar bonds is provided, including the daily and monthly changes in yields and prices of bonds issued by companies such as Longfor Group and Wanda [26].

1. Report Industry Investment Rating No information provided in the content. 2. Core View of the Report On December 22, the convertible bond market followed the underlying stocks to rise, with increased valuation. The small - cap value style was relatively dominant, and the trading sentiment in the convertible bond market heated up. The prices and valuations of convertible bonds generally increased, and most industries in the underlying stocks and convertible bonds rose [1]. 3. Summary by Relevant Catalogs 3.1 Market Main Index Performance - The CSI Convertible Bond Index closed at 487.96, up 0.55% daily, 1.03% weekly, -0.02% monthly, and 17.71% since the beginning of 2025. Other convertible bond - related indices and major A - share indices also showed different degrees of increase or decrease [7]. - In terms of style indices, the small - cap index (Shenwan) closed at 5459.73, up 1.12% daily. The small - cap growth index closed at 6109.78, up 1.46% daily. Different style indices had their own performance trends [8]. 3.2 Market Fund Performance - The trading volume of the convertible bond market was 696.34 billion yuan, and the trading volume of the A - share market was 18821.94 billion yuan. The net inflow of the main funds in the Shanghai and Shenzhen stock markets was 17.43 billion yuan. The 10 - year Treasury bond yield increased by 1.07BP, and the convertible bond spread increased by 0.27PCT [9][13]. 3.3 Convertible Bond Valuation - After excluding convertible bonds with a closing price > 150 yuan and a conversion premium rate > 50%, the 100 - yuan par - fitted conversion premium rate was 33.42%, up 0.91pct, at the 99.80% quantile since 2019. The overall weighted average par was 99.91, up 0.38% [18][19][22]. - The price median was 132.41, up 0.67%, at the 98.50% quantile since 2019. The conversion premium rate was divided by stock - bond nature: the partial - debt type decreased by 0.59pct, and the balanced type increased by 0.36pct [22][29]. 3.4 Industry Rotation - In the underlying stock market, the top three rising industries were commerce and retail (+3.66%), light industry manufacturing (+2.17%), and environmental protection (+2.06%); the top three falling industries were banking (-0.44%), electronics (-0.29%), and coal (-0.29%). - In the convertible bond market, the top three rising industries were environmental protection (+4.16%), building materials (+2.40%), and building decoration (+1.65%); the top three falling industries were non - bank finance (-1.26%), national defense and military industry (-0.16%), and pharmaceutical biology (-0.15%) [3].

Group 1 - The core view of the report indicates that the convertible bond market in 2025 is expected to experience a "double hit" of parity and premium rates, transitioning from "equity replacement" to "debt market supplementary income" in 2026 [1][2] - The report anticipates that the supply of convertible bonds will continue to shrink by 5.3% to 27.6% in 2026, with a notable increase in the issuance of convertible bonds from the ChiNext board, which may provide quality supply in the next two years [1][8] - Demand for convertible bonds is driven by the pursuit of elastic products, with significant growth in the scale of secondary bond funds and the potential for primary bond funds to increase their positions [1][19] Group 2 - The valuation outlook suggests that the premium rate for convertible bonds may not significantly rise, as the current 30% premium rate implies expectations of at least a 30% increase in the underlying stock [1][36] - The report highlights that the convertible bond market may see localized profit opportunities, particularly if the underlying stock market maintains a slow bull trend, with a focus on sectors such as technology and new energy [1][42] - The strategy for 2026 emphasizes the importance of focusing on industry rotation and individual bond marginal changes, recommending a concentrated position in core alpha opportunities [1][48]