2025 年 11 月 30 日 渐行渐近：转债到期和时间价值衰 减压力分析 ——转债凸性与定价系列报告之四 ⚫ （1）剩余期限已缩短至 2.5 年附近，金融、消费转债"老龄化"严重 相关研究 证券分析师 黄伟平 A0230524110002 huangwp@swsresearch.com 王明路 A0230525060003 wangml@swsresearch.com 徐亚 A0230524060002 xuya@swsresearch.com 联系人 徐亚 A0230524060002 xuya@swsresearch.com 债 券 研 究 证 券 研 究 报 告 本研究报告仅通过邮件提供给 中庚基金 使用。1 请务必仔细阅读正文之后的各项信息披露与声明 债 券 策 略 - ⚫ 随着时间自然流失，转债市场剩余期限天然存在缩短趋势，而新券发行是改善转债剩余期 限的核心手段，2024 年以来随着转债新发大幅放缓，转债剩余期限明显缩短。截止到 2025/11/21，转债加权剩余期限仅为 2.53 年左右，剩余期限在 2 年以内的转债余额占 比已逼近 40%。参照历史数据来看，如果转债发行短期不明显放量，每自 ...

Core Insights - The demand side indicates that the long bull market in equities, combined with the stock-bond seesaw effect, may lead to continued outflow of funds from the bond market, while the demand for convertible bonds remains resilient [1] - On the supply side, the prevalence of strong redemptions in convertible bonds is likely to continue, but issuance is expected to improve starting in 2026, leading to a potential new-old transition in market structure [1] - From a long-term perspective, convertible bonds are expected to enter a slow bull market alongside equities, but their performance is likely to be weaker than stocks and stronger than pure bonds [1] Demand Side Analysis - The stock-bond seesaw effect suggests that funds may continue to flow out of the bond market, with solid returns from equity markets driving this trend [2] - The core advantage of fixed income plus funds lies in their diversified asset allocation, which balances the risk-return characteristics of stocks and bonds [2] - Despite a slight outflow of funds recently, the demand for convertible bonds remains robust, with the share and scale of secondary bond funds significantly expanding in Q3 2025 [8] Supply Side Analysis - The convertible bond market saw a rapid contraction post-2015 bull market, with the market balance dropping to just 13.3 billion yuan by the end of 2015, a decrease of over 120 billion yuan from the previous year [11] - As the equity bull market continues, some existing convertible bonds will likely have strong redemption windows, and the prevalence of strong redemptions is expected to persist [11] - Starting in 2026, the issuance of convertible bonds is projected to improve, with an estimated supply of around 50-60 billion yuan, slightly better than in 2025 [16] Valuation and Market Dynamics - The historical valuation trends of convertible bonds generally follow the movements of the equity market, with the premium rate primarily driven by balanced and equity-oriented convertible bonds [19] - In a bull market for equities, investors may prefer balanced and equity-oriented convertible bonds to capture higher returns [19] - The current market faces challenges due to limited capacity for fund absorption and high price valuations, which compress the yield space for convertible bonds [19][20]

Group 1 - The market is currently in a state of fluctuation, with attempts to break out of the range but lacking decisive upward momentum. The total A-share index closed at 6356.50 on November 14, down 0.47% from November 7, while convertible bonds rose by 0.52 during the same period [1][9] - The semiconductor and AI computing indices have been in continuous adjustment since October 9, with declines of 11.05% and 9.37% respectively as of November 14. This adjustment has led to a significant decrease in market congestion, indicating a potential rebound opportunity when favorable conditions arise [2][44] - The valuation of convertible bonds has seen significant stretching, with the valuation center for bonds at a parity of 80 yuan rising to 54.64%, an increase of 1.75 percentage points from November 7. This suggests that the market is currently valuing convertible bonds at historically high levels [23][27] Group 2 - The report highlights the need to focus on the semiconductor and AI computing sectors for potential rebound opportunities, as these sectors have shown significant adjustments and reduced congestion levels, making them more susceptible to upward movements when positive news emerges [2][44] - In a bull market environment, convertible bonds that do not undergo forced redemption tend to experience significant valuation recovery after the T+1 day. Conversely, those that do face forced redemption typically see an average decline of 3% on the T+1 day, but recovery is still possible in a bull market [3][61] - The report indicates that the current market environment is characterized by a search for new leading sectors, with consumer and new energy sectors being tested for strength. However, the sustainability of these sectors remains uncertain as they have not yet established a solid upward trend [1][16]

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - The length of the non - call commitment period for convertible bonds has stabilized at around 100 - 150 days since H2 2024, and the length has little impact on bond valuation [1][12]. - The necessity of paying attention to callable convertible bonds has increased. In H2 2025, the post - call yield of convertible bonds has increased, mainly contributed by the underlying stocks [2][3]. - Last week, the convertible bond market rose slightly, and the valuation decreased. Four convertible bonds announced early redemption, and three convertible bonds were listed, with a total pending issuance size of approximately 16.29 billion yuan [4][5]. 3. Summary by Directory 3.1 2025H2 Changes in Convertible Bond Call and Non - Call - The length of the non - call commitment period has stabilized at 100 - 150 days after reaching a peak of around 200 days in early 2024. The change is due to the improvement of information disclosure rules and the weak performance of the equity market [1][10]. - The length of the commitment period has little impact on convertible bond valuation. Since early 2025, the conversion premium rate on the day after the non - call announcement has risen from 2% to around 8%, but there is no significant difference among different commitment period groups [12]. - The frequency and proportion of callable convertible bonds have increased recently. In H2 2025, the post - call performance of convertible bonds has been strong, with an average increase of 0.5% in 20 trading days after the call announcement. Buying on T + 1 and holding until T + 20 can yield an average return of 3.0% [2][17][18]. - The strength of callable convertible bonds in H2 2025 is mainly due to the underlying stocks. The conversion premium rate of callable convertible bonds in 2025 is lower than the historical average, and the underlying stocks of callable convertible bonds in H2 2025 have performed significantly better than before [3][19]. 3.2 Market Review: Convertible Bonds Rose Slightly Weekly, and Valuation Declined - **Weekly Market Performance**: Last week, major stock indexes rose, and the convertible bond market rose slightly. The Shanghai Composite Index rose 1.52%, the Shenzhen Component Index rose 2.65%, and the CSI Convertible Bond Index rose 0.43%. There are 442 issued and outstanding convertible bonds with a balance of 611.817 billion yuan [26]. - **Valuation Performance**: The weighted average closing price of convertible bonds was 131.35 yuan, up 0.22% from the previous week. The conversion premium rate of the convertible bond market's par - value fitting was 29.94%, down 0.21 pct from the previous Friday. The premium rates of convertible bonds with different ratings and scales changed differently [36]. 3.3 Terms and Supply: Four Convertible Bonds Announced Call, Total Pending Issuance Size Approximately 16.29 Billion - **Terms**: As of September 12, Hao 24, Jing 23, Songyuan, and Lingyi convertible bonds announced early redemption; Tianyuan and Borui convertible bonds announced non - early redemption; Montai, Rundong, and other convertible bonds announced expected satisfaction of call conditions. No convertible bond announced a proposal for downward revision by the board of directors last week [4][57]. - **Primary Market**: Last week, Shenglan Zhuan 02, Jinwei, and Kaizhong convertible bonds were listed, with a total scale of 2.051 billion yuan. There are 4 listed companies that have obtained approval for convertible bond issuance, with a proposed issuance scale of 8.302 billion yuan. The total pending issuance size is approximately 16.29 billion yuan [5][60][67].

Summary of Conference Call on Convertible Bond Market Industry Overview - The convertible bond market has experienced a significant adjustment, leading the stock market in this trend. Recent stabilization has been noted, but high-priced and small-cap convertible bonds have seen substantial declines, while large and mid-cap bonds remain relatively stable. Current bond prices are around 128 RMB, with premium rates at historical highs, necessitating attention to bonds with high redemption expectations, such as Jintian, which have limited upside potential [1][4]. Key Insights and Arguments - **Market Performance**: The convertible bond market remains active despite stock market volatility, with daily trading volumes between 700 billion to 900 billion RMB. The market's adjustment has been more pronounced than that of the stock market, with the Zhongzheng Convertible Bond Index dropping 2.82% on a specific day [2]. - **Future Outlook**: A positive outlook is maintained for the period from September to December, although some adjustments are expected. High-priced, mid-priced, and small-cap bonds have seen significant declines, while large and mid-cap bonds are more stable. Bonds with high premium rates or high P/E ratios should be excluded from investment considerations [3][12]. - **Selection Strategy**: The selection of convertible bonds is categorized into three types: - **Core Holdings**: Low-volatility bank bonds held for 6 months to 3 years. - **Allocation Type**: Focused on sectors like robotics and low-altitude economy, held for 1 to 6 months. - **Trading Type**: Driven by short-term events such as restructuring or shareholder changes, focusing on small-cap stocks with high turnover rates [7][10]. - **Risk Management**: Approximately 18 high-risk bonds have been identified for exclusion, including Fangyuan, Dongfang Shishang, and Wenke, due to management issues or poor financial conditions. Emphasis is placed on managing positions and optimizing investment portfolios [5][12]. Additional Important Content - **Bond Classification by Redemption Status**: Convertible bonds can be classified based on their redemption status, which influences their price ceilings and investment strategies. Categories include bonds unlikely to be redeemed in three months, those approaching redemption, and those with low conversion values [9][12]. - **Investment Opportunities**: Specific sectors such as solid-state batteries and photovoltaic panels are highlighted for their potential. Companies like Enjie and Tiantian Tianci are noted for their attractive valuations and market positions [6][20]. - **Performance Comparison**: Enjie and Tiantian Materials are both leaders in the lithium battery industry, but Enjie shows better investment value due to lower premium rates and a more favorable market position [21][22]. - **Operational Strategies**: For bonds nearing redemption, such as Lilo and Niutai, the recommendation is to avoid long-term investments due to limited upside and higher risks. Instead, focus on bonds with potential for price appreciation based on underlying stock performance [18]. - **Factor Selection Methodology**: Key indicators for selecting convertible bonds include stock valuation, terms, and industry conditions. The focus is on strong redemption clauses and overall market sentiment [19][25]. - **Adjustments in Selection Strategy**: Current strategies emphasize the importance of terms in response to market pressures and frequent redemptions, with a focus on small-cap stocks and high turnover rates to enhance overall portfolio performance [26].

证券研究报告 南京银行 (601009 CH) 2025 年中期策略会速递— 业绩稳健增长，转债强赎可期 | 华泰研究 | | | 更新报告 | | --- | --- | --- | --- | | 2025 年 | 6 月 | 05 日│中国内地 | 区域性银行 | 6 月 4 日南京银行出席我们组织的 2025 年中期策略会，核心要点包括：1） 预计全年信贷同比多增，但零售需求与风险改善趋势仍待观察；2）存款迎 重定价高峰，负债成本持续优化；3）转债转股可期，夯实公司资本。 信贷有力投放，资产质量稳健 南京银行 24 年/25Q1 贷款同比+14.3%/+14.7%，新增贷款 1573/897 亿元。 Q1 信贷有力投放，为全年奠定较好基础，公司预计能够顺利完成目标，实 现同比多增。年初以来零售投放回暖，主要系按揭增势较好。消费贷方面， 南银法巴在两年快速增长后逐步进入稳定期，平台贷款方面更加谨慎，今年 整体会在管控风险的前提下进行零售投放安排。资产质量表现看，公司不良 走势平稳，25Q1 不良率环比持平至 0.83%。零售不良生成短期或仍有波动， 但随存量不良出清，更多核销资源向零售倾斜，25Q1 零 ...

证券研究报告 南京银行 (601009 CH) 2025 年中期策略会速递— 业绩稳健增长，转债强赎可期 | 华泰研究 | | | 更新报告 | | --- | --- | --- | --- | | 2025 年 | 6 月 | 05 日│中国内地 | 区域性银行 | 6 月 4 日南京银行出席我们组织的 2025 年中期策略会，核心要点包括：1） 预计全年信贷同比多增，但零售需求与风险改善趋势仍待观察；2）存款迎 重定价高峰，负债成本持续优化；3）转债转股可期，夯实公司资本。 信贷有力投放，资产质量稳健 南京银行 24 年/25Q1 贷款同比+14.3%/+14.7%，新增贷款 1573/897 亿元。 Q1 信贷有力投放，为全年奠定较好基础，公司预计能够顺利完成目标，实 现同比多增。年初以来零售投放回暖，主要系按揭增势较好。消费贷方面， 南银法巴在两年快速增长后逐步进入稳定期，平台贷款方面更加谨慎，今年 整体会在管控风险的前提下进行零售投放安排。资产质量表现看，公司不良 走势平稳，25Q1 不良率环比持平至 0.83%。零售不良生成短期或仍有波动， 但随存量不良出清，更多核销资源向零售倾斜，25Q1 零 ...

Core Insights - In the first half of 2024, the proportion of convertible bonds redeemed through strong redemption reached 52.94% due to a sluggish market environment [1] - In the second half of 2024, the strong redemption rate increased to 64% driven by rising underlying stock prices and favorable policies [1] - The strong redemption rate for convertible bonds has approached 70% this year, indicating a significant increase [1] Industry Analysis - The stable performance of the A-share market has been a crucial factor contributing to the increase in early redemption of convertible bonds, enhancing the valuation and vitality of existing convertible bonds [1] - The growing number of strong redemption cases is expected to further enhance the attractiveness of the convertible bond market, potentially attracting more capital inflow [1]

2025 年 04 月 27 日 强赎全拆解：让人欢喜让人忧 ——转债策略系列报告之五 《转债下修条款的"攻守之道"——转债策 略系列报告之四》2025/3/27 《转债仓位择时指标初探——转债策略系 列报告之三》2025/3/16 证券分析师 黄伟平 A0230524110002 huangwp@swsresearch.com 徐亚 A0230524060002 xuya@swsresearch.com 徐亚 (8621)23297818× xuya@swsresearch.com 证 券 研 究 报 告 请务必仔细阅读正文之后的各项信息披露与声明 本研究报告仅通过邮件提供给 中庚基金 使用。1 债 券 研 究 债 券 策 略 ⚫ 转债触发强赎是"皆大欢喜"的事情，但是强赎对于转债本身又是风险事件，本文将对此 分析。 ⚫ 1. 强赎概念：转债主流退出途径，流程逐渐规范 ⚫ 转债在 6 年存续期内往往会在牛市期间触发强赎，因此强赎也是转债退出的主流方式， 80%左右的转债通过强赎退市。截止到 2025/4/18 共有 512 只转债退市，退出方式共计 5 种，其中通过强赎退出的转债为 422 只、占比 82% ...