正股大幅下跌，转债明显惜售 固定收益 | 动态跟踪 可转债市场周观察 研究结论 风险提示 政策变化超预期；货币政策变化超预期；经济基本面变化超预期；信用风险暴露超预 期；数据统计可能存在遗误 报告发布日期 2025 年 11 月 25 日 | 齐晟 | 执业证书编号：S0860521120001 | | --- | --- | | | qisheng@orientsec.com.cn | | | 010-66210535 | | 杜林 | 执业证书编号：S0860522080004 | | | dulin@orientsec.com.cn | | | 010-66210535 | | 王静颖 | 执业证书编号：S0860523080003 | | | wangjingying@orientsec.com.cn | | | 021-63326320 | | 徐沛翔 | 执业证书编号：S0860525070003 | | | xupeixiang@orientsec.com.cn | | | 021-63326320 | | 指数接近前高，止盈压力再起：可转债市 | 2025-11-18 | | --- | -- ...

Group 1 - The public fund report for Q3 2025 shows over 300 bond funds have disclosed their performance, with 157 funds achieving net value growth [1] - The top-performing fund, Taixin Huiying Bond A, recorded a net value growth rate of 28.01%, while its C share only achieved 7.99%, indicating a significant performance disparity [1] - The bond market experienced notable adjustments in Q3 due to factors such as improved risk appetite among investors, stable macroeconomic conditions, and low bond yields reducing the attractiveness of fixed-income products [1] Group 2 - Several convertible bond funds achieved high net value growth rates, with five out of the top seven funds being convertible bond funds, including Rongtong Convertible Bond A and Jianxin Convertible Bond A [2] - The market's risk appetite has significantly increased, leading to a "see-saw effect" between stocks and bonds, with convertible bonds benefiting from the rising stock market, particularly in the technology sector [2] - Different fund managers have varied strategies; for instance, Rongtong Convertible Bond actively increased its positions in AI and innovative pharmaceutical sectors, while Changsheng Convertible Bond optimized its industry allocation based on market conditions [2] Group 3 - Wanji Convertible Bond has shifted to a "dual low convertible bond" strategy, maintaining a bond position between 85% and 90%, with plans to increase positions if the market corrects [3] - The bond market is seen as a low-risk option for investors, with recent trends indicating a recovery phase, particularly in the long-term bond segment [3] - Future bond market performance is expected to depend on monetary and fiscal policy combinations, with potential for downward adjustments in interest rates and opportunities in long-term bonds and green bonds [3]

Market Overview - The convertible bond and equity markets experienced notable adjustments during the week of October 13 to October 17, 2025, with the China Convertible Bond Index declining by 2.3% and the China All Share Index decreasing by 3.5% [6] - Year-to-date performance shows the China Convertible Bond Index up by 14.4% and the China All Share Index up by 19.0%, indicating that the convertible bond market has underperformed compared to the equity market [6] - By rating, high-rated bonds (AA+ and above) fell by 1.73%, medium-rated bonds (AA) decreased by 3.41%, and low-rated bonds (AA- and below) dropped by 3.51%, with high-rated bonds experiencing the least decline [6] - In terms of bond size, large-scale convertible bonds (over 5 billion) decreased by 1.01%, medium-scale bonds (between 500 million and 5 billion) fell by 2.80%, and small-scale bonds (under 500 million) dropped by 3.98%, again showing that larger bonds fared better [6] Price and Valuation Metrics - The average price of convertible bonds is 130.61 yuan, down from 132.67 yuan the previous week, with a price percentile of 98.0% [8] - The average parity price is 103.82 yuan, down from 105.35 yuan, with a percentile of 93.4% [8] - The average conversion premium stands at 27.7%, slightly up from 27.6% the previous week, with a percentile of 56.5% [8] - Notably, the conversion premium for medium parity convertible bonds (valued between 90 and 110 yuan) is 28.8%, which is higher than the median conversion premium of 20.4% since 2018 [8] Convertible Bond Performance and Strategy - The convertible bond market continues to show stronger demand than supply, suggesting that convertible bonds remain relatively high-quality assets in the long term [9] - However, the current valuation levels are considered high, indicating a need for strategic adjustments in the portfolio composition [9]

Core Viewpoint - China Mobile has converted 56.31 million shares of SPDB convertible bonds into 450 million ordinary shares at a price of 12.51 yuan per share, increasing its stake in SPDB from 17.00% to 18.18% [1][2] Group 1: Convertible Bond Details - The SPDB convertible bonds were issued in October 2019 with a total scale of 50 billion yuan, set to mature on October 27, 2025 [3][4] - As of October 14, 2023, the remaining unconverted balance of SPDB convertible bonds is 15.278 billion yuan, accounting for 30.56% of the total issuance [2][3] Group 2: Impact on Capital Adequacy - The conversion of convertible bonds is crucial for SPDB to enhance its core Tier 1 capital, which is essential for supporting the real economy [4][5] - If all convertible bonds are converted, the core Tier 1 capital adequacy ratio could increase from 8.91% to 9.39%, strengthening SPDB's capital position [5] Group 3: Market Dynamics and Investor Considerations - The current conversion premium for SPDB convertible bonds is 8.10%, indicating that converting may not be favorable for ordinary investors at this time [6][7] - Historical trends show that banks often face premium conversions as they approach maturity, primarily to bolster core Tier 1 capital [7][8] Group 4: Shareholder Influence - Existing shareholders, such as China Cinda and Oriental Asset, have already increased their stakes in SPDB, which may encourage further conversions of convertible bonds [5][8] - The high qualification requirements for major shareholders in commercial banks may provide an advantage for existing shareholders in promoting the conversion of SPDB convertible bonds [9]

Core Insights - The convertible bond market is expected to experience short-term volatility due to external risks, but medium-term growth is anticipated, particularly in structural opportunities within the market [3][4][19] - The current valuation of convertible bonds is considered reasonable, driven by underlying stocks, with a potential decrease in supply due to an increase in new issuances [3][4][57] - The market is shifting towards a more passive investment approach, with a notable increase in ETF holdings, which may amplify short-term market fluctuations [80][82] Group 1: Market Performance - In September, convertible bonds underperformed compared to underlying stocks, with high-priced and small-cap convertible bonds leading the market [3][6][13] - The technology sector continued to outperform, while bank and non-bank convertible bonds recorded the worst performance of the year [13][19] - The overall market for convertible bonds is characterized by a strong stock nature, with high-priced and small-cap bonds performing better during the recent volatility [14][19] Group 2: Valuation and Supply Dynamics - The current median price of convertible bonds is at a historical high of 132 yuan, with a significant number of high-priced bonds in the market [45][44] - The supply of convertible bonds is expected to increase, with a notable rise in issuance proposals since July, indicating a potential easing of the tight supply situation [60][64] - The market is witnessing a decline in the number of low-priced bonds, with only two bonds priced below their debt floor [45][57] Group 3: Institutional Behavior - In September, insurance institutions and securities asset management firms significantly reduced their holdings in convertible bonds, returning to historical low levels [21][24][70] - Public funds have increased their holdings in convertible bonds, now accounting for approximately 39% of the total market, reflecting a significant rise since the beginning of the year [71][77] - The overall market size of convertible bonds has decreased, but the market value to face value ratio has increased, influenced by concentrated conversions of specific bonds [66][70]

Group 1: Report Industry Investment Rating - No relevant information provided Group 2: Report Core Views - The convertible bond market has experienced several stages in the past 1 - 2 months, with structured sector and individual bond opportunities increasing. The new energy sector (wind, solar, and storage) is a key area, with a preference for storage over wind and solar. The photovoltaic industry chain prices are expected to bottom - out and rebound, and upstream may benefit first [2][39][40] - Currently, it is too early to switch between high - and low - priced bonds in the new energy direction. The risk - return ratio is still acceptable, and it is recommended to seize the right - hand side opportunities under linear extrapolation of expectations [40] - The top ten convertible bonds with the greatest potential for par premium rate repair next week are Pufa Convertible Bond, Hope Convertible Bond, Jinneng Convertible Bond, etc. [2][40] Group 3: Summary by Directory 1. Weekly Market Review 1.1 Equity Market - The equity market rose overall from September 22 - 26, 2025. The Shanghai Composite Index rose 0.21%, the Shenzhen Component Index rose 1.06%, the ChiNext Index rose 1.96%, and the CSI 300 rose 1.07%. However, most industries declined, with 7 out of 31 Shenwan primary industries rising, and 3 industries rising more than 2%. The power equipment, non - ferrous metals, and electronics industries led the gains [7][9][13] - The average daily trading volume of the two markets decreased by about 1997.73 billion yuan to 22950.61 billion yuan, a week - on - week decrease of 8.01% [9] 1.2 Convertible Bond Market - The convertible bond market rose 0.94% from September 22 - 26, 2025. 21 out of 29 Shenwan primary industries rose, with 2 industries rising more than 2%. The electronics, national defense and military industry, and power equipment industries led the gains [16] - The average daily trading volume of the convertible bond market was 845.82 billion yuan, a significant increase of 60.53 billion yuan, but a week - on - week decrease of 6.68%. The top ten convertible bonds in terms of trading volume had an average trading volume of 97.89 billion yuan, with the first - ranked bond reaching 134.73 billion yuan [16] - About 63.62% of individual convertible bonds rose, with about 28.40% rising in the 0 - 1% range and 20.66% rising more than 2% [16] - The overall market conversion premium rate continued to rise, with different trends in different price and parity intervals. 25 industries' conversion premium rates widened, and 6 industries' conversion parities increased [22][27][31] 1.3 Stock - Bond Market Sentiment Comparison - Overall, the convertible bond market had better trading sentiment this week. However, the trading sentiment varied by trading day. On Monday and Wednesday, the stock market had better trading sentiment, while on Tuesday, Thursday, and Friday, the convertible bond market had better trading sentiment [34][35] 2. Future Outlook and Investment Strategy - The convertible bond market has experienced several stages, and structured opportunities are more important. The new energy sector is a key area, with balanced and relatively low - priced targets in the power equipment sector having high win - rates and odds [2][37][39] - It is too early to switch between high - and low - priced bonds in the new energy direction. It is recommended to focus on the storage sector, followed by the wind and solar sectors. Pay attention to companies like Tong 22 and Jingneng in the photovoltaic industry [40] - The top ten convertible bonds with the greatest potential for par premium rate repair next week are Pufa Convertible Bond, Hope Convertible Bond, Jinneng Convertible Bond, Liqun Convertible Bond, Liuyao Convertible Bond, Hope Convertible Bond 2, Nenghua Convertible Bond, Qixiang Convertible Bond 2, Jiangong Convertible Bond, and Jiayue Convertible Bond [40]

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - The convertible bond market rose following the underlying stocks today, with valuations increasing month - on - month. The small - cap growth style was relatively dominant, and trading sentiment in the convertible bond market heated up [1]. - Convertible bond prices and their central values increased, and the proportion of high - priced bonds rose. Valuations also increased, with the proportion of high - priced bonds over 130 yuan reaching 50.59%, a 3.52 - percentage - point increase from the previous day [2]. - Most industries in the underlying stocks rose today, with the top three gainers being the power equipment, electronics, and media sectors. All convertible bond industries rose, with the top three gainers being non - ferrous metals, communications, and national defense and military industries [3]. 3. Summary by Directory Market Main Index Performance - The CSI Convertible Bond Index rose 1.30% month - on - month, the Shanghai Composite Index rose 0.83%, the Shenzhen Component Index rose 1.80%, the ChiNext Index rose 2.28%, the SSE 50 Index rose 0.68%, and the CSI 1000 Index rose 1.70%. The small - cap growth style was relatively dominant, with small - cap growth rising 2.67% [1]. - The convertible bond equal - weighted index rose 1.41%, the convertible bond index rose 1.65%, and the convertible bond pre - plan index rose 1.90% [6]. Market Fund Performance - The trading volume of the convertible bond market was 88.173 billion yuan, a 5.48% increase month - on - month. The total trading volume of the Wind All - A was 2.347154 trillion yuan, a 6.80% decrease month - on - month. The net outflow of main funds in the Shanghai and Shenzhen stock markets was 279 million yuan, and the yield of the 10 - year treasury bond rose 2.52bp to 1.90% [1]. Convertible Bond Valuation - The weighted average closing price of convertible bonds was 130.16 yuan, a 1.34% increase from the previous day. The closing price of equity - biased convertible bonds was 179.14 yuan, a 1.72% increase; the closing price of bond - biased convertible bonds was 117.32 yuan, a 0.69% increase; the closing price of balanced convertible bonds was 126.13 yuan, a 1.15% increase [2]. - The fitted conversion premium rate of 100 - yuan parity was 28.42%, a 0.87 - percentage - point increase from the previous day. The overall weighted parity was 100.70 yuan, a 1.31% increase from the previous day [2]. Industry Rotation - In the A - share market, the top three gainers were the power equipment (+2.88%), electronics (+2.76%), and media (+2.59%) sectors; the top three losers were the banking (-0.36%), coal (-0.29%), and communications (-0.01%) sectors [3]. - All convertible bond industries rose, with the top three gainers being non - ferrous metals (+4.39%), communications (+3.15%), and national defense and military industries (+2.64%) [3].

Report Industry Investment Rating No relevant content provided. Core Viewpoints - Today, convertible bonds declined following the underlying stocks, while the valuation increased on a month - on - month basis [1] - The large - cap value style was relatively dominant, and the trading sentiment in the convertible bond market heated up [1] Summary by Directory 1. Market Main Index Performance - The CSI Convertible Bond Index decreased by 0.18% month - on - month, the Shanghai Composite Index decreased by 0.18%, the Shenzhen Component Index decreased by 0.29%, the ChiNext Index increased by 0.21%, the SSE 50 Index decreased by 0.09%, and the CSI 1000 Index decreased by 1.09% [1] - In terms of market style, large - cap growth rose by 0.42%, large - cap value rose by 0.64%, mid - cap growth decreased by 0.36%, mid - cap value decreased by 0.59%, small - cap growth decreased by 0.04%, and small - cap value decreased by 0.35% [1] 2. Market Fund Performance - The trading volume of the convertible bond market was 83.594 billion yuan, a month - on - month increase of 16.18%; the total trading volume of the Wind All - A was 2.518471 trillion yuan, a month - on - month increase of 17.55% [1] - The net outflow of the main funds in the Shanghai and Shenzhen stock markets was 76.167 billion yuan, and the yield of the 10 - year treasury bond increased by 1.23bp to 1.88% on a month - on - month basis [1] 3. Convertible Bond Valuation - The weighted average closing price of convertible bonds was 128.51 yuan, a month - on - month decrease of 0.17%. The closing price of equity - biased convertible bonds was 176.30 yuan, a month - on - month decrease of 0.40%; the closing price of bond - biased convertible bonds was 116.52 yuan, a month - on - month increase of 0.01%; the closing price of balanced convertible bonds was 124.70 yuan, a month - on - month decrease of 0.21% [2] - The proportion of high - price bonds above 130 yuan was 47.07%, a month - on - month decrease of 0.59pct; the proportion of the 120 - 130 (including 130) range increased by 0.31pct. There were 0 bonds with a closing price below 100 yuan. The median price was 128.34 yuan, a month - on - month decrease of 0.30% [2] - The fitted conversion premium rate of 100 - yuan par value was 27.55%, a month - on - month increase of 0.28pct; the overall weighted par value was 99.40 yuan, a month - on - month decrease of 0.39%. The premium rate of equity - biased convertible bonds was 8.02%, a month - on - month decrease of 0.59pct; the premium rate of bond - biased convertible bonds was 86.45%, a month - on - month increase of 2.88pct; the premium rate of balanced convertible bonds was 22.58%, a month - on - month increase of 0.27pct [2] 4. Industry Performance - In the A - share market, the top three industries with the largest declines were social services (-3.11%), commerce and retail (-2.90%), and computers (-2.39%); the top three industries with the largest increases were banks (+1.52%), coal (+1.11%), and power equipment (+0.43%) [3] - In the convertible bond market, 19 industries declined. The top three industries with the largest declines were machinery and equipment (-4.15%), communications (-2.74%), and household appliances (-1.66%); the top three industries with the largest increases were environmental protection (+2.37%), automobiles (+1.06%), and petroleum and petrochemicals (+0.29%) [3] - In terms of closing price, large - cycle increased by 0.04%, manufacturing decreased by 0.90%, technology decreased by 1.14%, large - consumption decreased by 0.34%, and large - finance decreased by 0.13% [3] - In terms of conversion premium rate, large - cycle increased by 1.1pct, manufacturing increased by 0.98pct, technology increased by 0.66pct, large - consumption increased by 1.3pct, and large - finance increased by 0.7pct [3] - In terms of conversion value, large - cycle decreased by 0.76%, manufacturing decreased by 1.48%, technology decreased by 1.23%, large - consumption decreased by 1.45%, and large - finance decreased by 0.52% [3] - In terms of pure bond premium rate, large - cycle increased by 0.035pct, manufacturing decreased by 1.3pct, technology decreased by 1.8pct, large - consumption decreased by 0.44pct, and large - finance decreased by 0.14pct [4] 5. Industry Rotation - The banking, coal, and power equipment industries led the gains. For example, the daily increase of the banking industry's underlying stocks was 1.52%, and the daily increase of convertible bonds was 0.06%; the daily increase of the coal industry's underlying stocks was 1.11%, and the daily increase of convertible bonds was -0.66%; the daily increase of the power equipment industry's underlying stocks was 0.43%, and the daily increase of convertible bonds was 0.16% [55]

Quantitative Factors and Construction 1. Factor Name: Market Style Factor - **Construction Idea**: This factor tracks the relative performance and volatility of different market styles, such as large-cap vs. small-cap and value vs. growth styles, to understand market preferences and dynamics[10][12] - **Construction Process**: - **Style Performance**: Measure the relative returns of large-cap vs. small-cap stocks and value vs. growth stocks over the week - **Style Volatility**: Calculate the weekly changes in the volatility of these style returns - **Evaluation**: The factor effectively captures the market's preference for growth over value and the balanced performance between large-cap and small-cap stocks during the observed period[10][12] 2. Factor Name: Market Structure Factor - **Construction Idea**: This factor evaluates the dispersion of industry returns, the speed of industry rotation, and the concentration of trading activity to assess market structure and dynamics[10][12] - **Construction Process**: - **Industry Return Dispersion**: Compute the standard deviation of excess returns across industry indices - **Industry Rotation Speed**: Measure the rate of change in leading industries over the week - **Trading Concentration**: Calculate the proportion of total trading volume contributed by the top 100 stocks and the top 5 industries - **Evaluation**: The factor highlights an increase in industry return dispersion and trading concentration, indicating a more focused market structure[10][12] 3. Factor Name: Market Activity Factor - **Construction Idea**: This factor tracks market volatility and turnover rates to gauge overall market activity levels[11][12] - **Construction Process**: - **Volatility**: Measure the weekly changes in index-level volatility - **Turnover Rate**: Calculate the weekly changes in market turnover rates - **Evaluation**: The factor shows a rise in both market volatility and turnover, reflecting heightened market activity during the week[11][12] 4. Factor Name: Commodity Market Factor - **Construction Idea**: This factor monitors the strength of trends, basis momentum, volatility, and liquidity in commodity markets to understand their dynamics[19][25] - **Construction Process**: - **Trend Strength**: Assess the directional movement of commodity indices - **Basis Momentum**: Measure the changes in the basis (spot price vs. futures price) for energy and precious metals - **Volatility**: Calculate the weekly changes in commodity price volatility - **Liquidity**: Track the weekly changes in trading volume and bid-ask spreads - **Evaluation**: The factor indicates a decline in trend strength and volatility, while basis momentum for energy and precious metals increased, and liquidity showed a downward trend[19][25] 5. Factor Name: Option Market Factor - **Construction Idea**: This factor evaluates implied volatility, skewness, and discount rates in the options market to assess market sentiment and hedging activity[28] - **Construction Process**: - **Implied Volatility**: Track the implied volatility levels of the SSE 50 and CSI 1000 indices - **Skewness and Discount Rates**: Measure the skewness of put options and the implied discount rates for these indices - **Evaluation**: The factor reveals high implied volatility levels, with an increase in put skewness and discount rates for the CSI 1000 index, suggesting rising hedging activity and market divergence[28] 6. Factor Name: Convertible Bond Market Factor - **Construction Idea**: This factor examines the premium rates and trading activity in the convertible bond market to understand its dynamics[30] - **Construction Process**: - **Premium Rates**: Analyze the average premium rates for bonds with low conversion premiums - **Trading Activity**: Measure the weekly changes in trading volume - **Evaluation**: The factor shows an increase in the proportion of low-premium bonds and stable trading activity, indicating potential short-term adjustments in the market[30] --- Factor Backtesting Results 1. Market Style Factor - **Large-Cap vs. Small-Cap Performance**: Balanced[10][12] - **Value vs. Growth Performance**: Growth outperformed value[10][12] - **Style Volatility**: Large-cap/small-cap volatility decreased; value/growth volatility increased[10][12] 2. Market Structure Factor - **Industry Return Dispersion**: Increased[10][12] - **Industry Rotation Speed**: Peaked and then declined[10][12] - **Trading Concentration**: Increased for both top 100 stocks and top 5 industries[10][12] 3. Market Activity Factor - **Volatility**: Increased[11][12] - **Turnover Rate**: Increased[11][12] 4. Commodity Market Factor - **Trend Strength**: Declined[19][25] - **Basis Momentum**: Increased for energy and precious metals[19][25] - **Volatility**: Declined[19][25] - **Liquidity**: Declined[19][25] 5. Option Market Factor - **Implied Volatility**: High for SSE 50 and CSI 1000[28] - **Skewness and Discount Rates**: Increased for CSI 1000[28] 6. Convertible Bond Market Factor - **Premium Rates**: Low-premium bonds increased[30] - **Trading Activity**: Stable[30]

Core Viewpoint - "New bond subscription" is a low-threshold, high-yield investment method suitable for beginners, allowing investors to purchase newly issued convertible bonds from listed companies [2][5]. Group 1: Characteristics of New Bonds - Convertible bonds combine debt and equity features, providing a safety net through interest payments and principal repayment, while also offering potential upside through conversion to stock [3][4]. - The main profit model for new bonds is to sell on the first day of listing, with historical data showing profits ranging from tens to hundreds of yuan, and a significant price increase on the listing day [6]. - The entry threshold for participating in new bond subscriptions is low, typically requiring around 1,000 yuan, making it accessible to a wide range of investors [6][7]. Group 2: Subscription Process - Investors need to open a securities account and obtain permission to trade convertible bonds, which requires two years of trading experience and an average asset of 100,000 yuan over 20 days [8]. - The subscription process involves checking new bond issuance information, submitting a subscription request, and confirming the results after a lottery draw [10][12]. - It is advisable to sell on the first day of listing to secure profits, with specific trading timeframes and price limits in place for convertible bonds [15][16]. Group 3: Target Audience - New bonds are particularly suitable for novice investors looking to experience the capital market, low-risk investors seeking stable returns, and those with limited funds wanting to participate without affecting their main investment strategies [20].