丨证券研究报告丨 固收资产配置丨点评报告 [Table_Title] 从波动率把握转债的机会区间 ——可转债周报 20250628 报告要点 [Table_Summary] 当周（2025 年 6 月 23 日–2025 年 6 月 28 日），可转债市场回暖，指数整体走强，市场风格 转向高弹性博弈。估值端，低平价区间个券有所分化，中高平价区间个券估值普遍拉升，市场 风险偏好温和回升，隐含波动率小幅抬升，交易情绪有所改善。当前万得全 A 风险溢价处于高 分位，权益市场相对债市或具备一定性价比。我们认为，转债市场波动率相关指标均有所回升， 反映市场情绪温和回暖。整体来看，当前转债市场风格自防御向进攻切换，建议兼顾弹性与安 全边际，关注具备事件驱动与业绩兑现预期的结构性机会。 分析师及联系人 [Table_Author] 赵增辉 熊锋 SAC：S0490524080003 SAC：S0490524120004 SFC：BVN394 请阅读最后评级说明和重要声明 %% %% %% %% research.95579.com 1 [Table_Title 从波动率把握转债的机会区间 2] ——可转债周报 202506 ...

Group 1 - A total of 330 stocks reported their latest shareholder numbers as of June 30, with 125 stocks showing a decline compared to the previous period [1][3] - The stocks with the largest decrease in shareholder numbers include Zhongyi Technology, Zhongrui Co., and Phoenix Shipping, with declines exceeding 10% [3][4] - The stock with the highest decline in shareholder numbers is Zhongyi Technology, which saw a decrease of 13.51% to 20,848 shareholders, alongside a cumulative drop of 9.09% in its stock price [3][4] Group 2 - Among the concentrated stocks, 51% outperformed the Shanghai Composite Index, with an average increase of 2.68% since June 11, compared to the index's 2.07% rise [2] - The stock with the highest increase among those with declining shareholder numbers is Taotao Automotive, which rose by 41.88% since June 11 [2][4] - The latest concentrated stocks showed an average increase of 5.54% since June 21, with notable performers including Taotao Automotive, Xiouqiang Co., and Hongchuang Holdings, which increased by 31.56%, 25.52%, and 21.80% respectively [3][4] Group 3 - Only one stock among the concentrated stocks has released a half-year earnings forecast, with Taotao Automotive expecting a net profit increase of 84.08% [4] - The concentrated stocks are primarily found in the basic chemical, pharmaceutical, and machinery equipment sectors, with 14, 12, and 11 stocks respectively [3][4]

1. Index Trends - On July 01, the Shanghai Composite Index rose 0.39% to close at 3457.75 points, with a trading volume of 553.557 billion yuan; the Shenzhen Component Index rose 0.11% to close at 10476.29 points, with a trading volume of 912.459 billion yuan [1]. - The CSI 1000 Index rose 0.28%, with a trading volume of 334.302 billion yuan, opening at 6358.06, closing at 6373.77, with a daily high of 6373.77 and a low of 6308.06 [1]. - The CSI 500 Index rose 0.33%, with a trading volume of 213.596 billion yuan, opening at 5915.8, closing at 5934.67, with a daily high of 5936.92 and a low of 5890.11 [1]. - The SSE 50 Index rose 0.21%, with a trading volume of 66.144 billion yuan, opening at 2714.97, closing at 2717.71, with a daily high of 2721.4 and a low of 2708.19 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 17.59 points from the previous close. Sectors such as Medicine and Biology, Non - ferrous Metals, and Basic Chemicals significantly pulled the index up, while Non - Banking Finance and Computer sectors pulled it down [3]. - The CSI 500 rose 19.28 points from the previous close. Sectors like Medicine and Biology, Electronics, and Non - ferrous Metals significantly pulled the index up, while Power Equipment and Computer sectors pulled it down [3]. - The SSE 50 rose 5.72 points from the previous close. Sectors including Banking, Non - ferrous Metals, and Medicine and Biology significantly pulled the index up, while Power Equipment, Food and Beverage, and Electronics sectors pulled it down [3]. 3. Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of - 77.15, IM01 of - 151.38, IM02 of - 226.11, and IM03 of - 403.9 [13]. - IC00 had an average daily basis of - 57.04, IC01 of - 105.34, IC02 of - 158.75, and IC03 of - 282.0 [13]. - IF00 had an average daily basis of - 27.6, IF01 of - 43.21, IF02 of - 52.91, and IF03 of - 86.83 [13]. - IH00 had an average daily basis of - 20.26, IH01 of - 24.66, IH02 of - 26.31, and IH03 of - 27.13 [13]. 4. Futures Roll - over Point Differences and Annualized Costs - The report provides data on the roll - over point differences and their annualized costs for IM, IC, IF, and IH futures contracts at different 15 - minute intervals throughout the trading day [22][24][26].

Group 1 - The Hong Kong stock market has outperformed major indices in A-shares, H-shares, and US stocks in the first half of 2025, with the Hang Seng Index, Hang Seng Tech, and Hang Seng High Dividend Low Volatility Index yielding returns of 20%, 18.68%, and 13.61% respectively [1][4] - The Hong Kong stock market is positioned as a key battleground for global valuation recovery and is experiencing a structural bull market driven by AI, hard technology, innovative pharmaceuticals, and new consumption [2][5] - Recent capital inflows into Hong Kong stocks have favored sectors such as banking, non-bank financials, consumer discretionary, and pharmaceuticals, indicating a preference for a "high dividend and tech growth" investment strategy [5][10] Group 2 - The average volatility of the Hang Seng Tech Index from 2006 to 2024 was 8,129 points, which decreased to 7,713 points from 2015 to 2024. The index experienced a high-low volatility of approximately 6,100 points in the first five months of 2025, which is 79% of the ten-year average [6] - The Hang Seng Tech Index is limited to 30 constituent stocks, while the Hong Kong Tech Index, which covers 50 companies in AI, innovative pharmaceuticals, consumption, and new energy vehicles, is gaining attention due to its comprehensive coverage of major tech players [8] - The Hong Kong Tech 50 ETF (159750) has achieved a net value growth rate of 27.09% in the first half of the year, outperforming the Hang Seng Tech Index by 7 percentage points [8] Group 3 - The Hang Seng High Dividend Low Volatility Index has a current dividend yield of 7.93%, surpassing bank interest rates and 10-year government bonds, making it attractive to institutional investors [10] - The index's price-to-earnings ratio is currently at 7.11, which is lower than its dividend yield, indicating a significant valuation discrepancy that appeals to long-term capital [10] - The Hong Kong Dividend Low Volatility ETF (520550) has risen by 16.78% in the first half of the year, achieving 36 new historical highs and doubling its fund size [10][12]

Group 1 - Main capital outflow in the last two weeks totaled 138.204 billion, with net inflows in the home appliance and coal industries, while the top three industries for net outflows were computer, basic chemicals, and national defense [2] - Current margin trading balance is 1,838.493 billion, up 0.94% from the previous period, with financing balance at 1,826.553 billion and securities lending balance at 11.940 billion [2] - In the last two weeks, the number of rising stocks exceeded the number of falling stocks, with the top three industries in terms of growth being communication, computer, and electronics, while the top three industries with declines were beauty care, oil and petrochemicals, and pharmaceuticals [2] Group 2 - The overall A-share strength analysis score is 5.97, with the CSI 300 score at 5.83, the ChiNext score at 6.28, and the STAR Market score at 6.40, indicating a neutral range [2] - The Shanghai Composite Index has broken through the March high, but there is still a gap to a bull market initiation, with short-term indices possibly reaching higher levels but unlikely to achieve significant long-term increases [3] - Future focus on opportunities in robotics and national defense industries, with a recommendation to pay attention to Hong Kong stock opportunities [3]

Summary of Key Points from Conference Call Records Industry Overview - The conference call discusses the performance of the equity fund market, particularly focusing on public equity funds and their issuance trends amid geopolitical risks and market sentiment fluctuations [1][4]. Core Insights and Arguments - **Equity Fund Issuance**: The new issuance of equity public funds reached 296.6 billion, marking a 17% increase from the previous period. However, the overall issuance remains low compared to historical levels, with recent weeks showing significant fluctuations [3]. - **Market Sentiment**: The market is experiencing heightened risk aversion due to ongoing geopolitical tensions, particularly the Russia-Ukraine and Israel-Palestine conflicts, which have contributed to a low issuance environment for equity funds [4]. - **Northbound Capital Activity**: As of June 22, northbound capital accounted for 12% of total trading volume, showing a slight decline. The trading activity remains at a low level due to cautious attitudes from emerging foreign investors and a rebound in US stocks [5]. - **Two-way Financing Trends**: The balance of margin financing was reported at 1.79 trillion, with a net inflow of 50 billion, indicating a 30% decrease from the previous period. The inflow is primarily concentrated in downstream consumer and upstream raw material support sectors [5]. - **ETF and IPO Dynamics**: The net subscription for existing stock ETFs was negative 28 billion, a significant improvement from negative 85 billion previously. Upcoming IPOs are expected to total 26.5 billion, with a substantial increase in equity financing to 4.3 trillion, largely driven by major banks' capital increases [6][7]. Additional Important Insights - **Capital Reduction Trends**: The net reduction of industrial capital was 85.75 billion, with significant reductions in the machinery, electronics, and basic chemicals sectors. Conversely, slight increases were noted in food and beverage, petrochemicals, and steel sectors [2][8]. - **Southbound Capital Flow**: Southbound capital saw a net inflow of 290 billion, a decrease from the previous 394 billion. This trend indicates a gradual recovery in market sentiment, influenced by geopolitical developments and expectations of potential interest rate cuts by the Federal Reserve [9]. - **Lock-up Expiration Impact**: The market is facing a lock-up expiration value of 1.078 trillion, a 162.85% increase from the previous period, with significant pressure expected from the defense and military sectors [8].

Core Viewpoint - The report from Huatai Securities indicates that while the high dividend sector performed relatively poorly among major stock indices in June, there was significant internal structural differentiation, with banks and non-banks showing better performance within the high dividend category [1] Group 1 - In June, market risk appetite improved, but the overall performance of the high dividend sector was average among major stock indices [1] - There was notable internal differentiation within the high dividend sector, with banks and non-banks outperforming [1] - Following the adjustment in the banking sector at the end of June, investors are concerned about the future performance of the high dividend sector after this differentiation [1] Group 2 - Huatai Securities believes that the short-term relative returns of the high dividend sector may face pressure, but it still holds long-term allocation value [1]

Core Viewpoint - The Hong Kong stock market has seen a significant resurgence in 2025, with the Hang Seng Index rising by 21% and the Hang Seng Tech Index increasing by 19%, attracting international capital to invest in Chinese assets [1] Group 1: Equity Financing Market Overview - In the first half of 2025, the total amount of equity financing in the Hong Kong primary market reached HKD 250.4 billion, a substantial increase of 318% compared to HKD 59.8 billion in the same period last year [4] - The IPO financing scale was HKD 106.7 billion, up 688% year-on-year, with 43 companies successfully listing on the main board, a 43% increase from 30 companies last year [16][19] - The placement financing scale also saw significant growth, raising HKD 138.6 billion, an increase of 342.69% year-on-year [4] Group 2: Financing Method Distribution - In the first half of 2025, the distribution of financing methods showed that IPOs accounted for 42.62% of total fundraising, while placements made up the largest share at 55.35% [5][9] - Rights issues and consideration issues contributed 1.64% and 0.40% respectively to the total fundraising [5][9] Group 3: Industry Distribution of Financing - The top three industries in terms of fundraising amounts were hardware equipment (HKD 50.6 billion), automotive and parts (HKD 47.9 billion), and electrical equipment (HKD 44.6 billion) [10] - The software services industry led in the number of financing events with 22 occurrences, followed by non-bank financials with 21 and pharmaceuticals with 17 [13] Group 4: IPO Trends - The number of IPOs in the first half of 2025 was 43, a 43.33% increase from the previous year [16] - The highest fundraising from IPOs came from CATL, which raised HKD 41 billion, followed by Heng Rui Pharmaceutical and Hai Tian Wei Ye with HKD 11.37 billion and HKD 10.12 billion respectively [30] Group 5: Refinancing Trends - Total refinancing raised HKD 143.7 billion in the first half of 2025, a 210.45% increase from HKD 46.3 billion last year, with 224 refinancing projects [35] - The hardware equipment industry led refinancing with HKD 49.1 billion, primarily from Xiaomi's placement of HKD 42.6 billion [40] Group 6: Underwriting Rankings - CICC topped the IPO underwriting scale with HKD 18.02 billion, followed by Huatai Securities with HKD 10.83 billion and Merrill Lynch with HKD 9.26 billion [49] - In refinancing underwriting, Goldman Sachs led with HKD 26.24 billion, followed by CICC with HKD 18.09 billion [63]

Core Viewpoint - The article discusses the improvements in the quality of listed companies in China's A-share market during the "14th Five-Year Plan" period, highlighting advancements in ESG disclosures, investor relations management, and overall corporate governance [1][2][7]. ESG Disclosure - The ESG report disclosure rate for listed companies reached 45.7% in 2024, an increase of over 17 percentage points compared to the end of the "13th Five-Year Plan" period [2]. - State-owned enterprises (SOEs) have significantly improved their ESG report disclosure rates, reaching 95.1% in 2024, a 37 percentage point increase from 2020 [3]. - By June 30, 2025, 20.08% of A-share companies received ESG ratings of A or above, a rise of over 10 percentage points since the end of 2020 [3]. Investor Relations Management - Over 40% of listed companies have established investor relations management systems by June 30, 2025, a significant increase from 17.48% in 2020 [5]. - The average response time to investor inquiries has decreased to under 10 days during the "14th Five-Year Plan" period, a reduction of approximately 16 days compared to the previous period [4]. - The effective response rate to investor inquiries has approached 67%, an increase of over 10 percentage points from the "13th Five-Year Plan" period [4]. Company Quality Improvements - The proportion of listed companies rated A or B in information disclosure assessments reached 85.09% in 2023, a 1 percentage point increase from 2020 [7]. - The average asset-liability ratio for A-share companies has shown a downward trend, with a median of 39.95% during the "14th Five-Year Plan" period, nearly 1 percentage point lower than the previous period [7]. - The average revenue per employee for A-share companies exceeded 210,000 yuan, reflecting an increase of over 20% compared to the previous period [8]. Market Structure and Trends - Over 90% of new listings on the Sci-Tech Innovation Board, Growth Enterprise Market, and Beijing Stock Exchange are high-tech enterprises, indicating a shift towards technology-driven companies [8]. - The total market capitalization of strategic emerging industry companies has surpassed 40%, showcasing the capital market's support for technological and industrial innovation [8].

1. Report Industry Investment Ratings - **Bearish**: Alumina, Soda Ash, Glass, Polyolefins, Rubber, Crude Oil [1][2][8][10] - **Bullish**: Stocks Index, Copper, Aluminum, Cotton, Coking Coal, Coke [1][4] - **Range - bound**: Treasury Bonds, Precious Metals, Nickel, Lithium Carbonate, Industrial Silicon, Steel (Rebar, Hot - Rolled Coil, Iron Ore) [1][4][6] - **Neutral**: Methanol [8] 2. Core Views - The A - share market shows strong resilience with clear policy support, and the stock index is expected to move up gradually as market sentiment improves [1] - The bond market lacks directional drivers, and upward momentum is weak due to high market congestion and high valuations [1] - Precious metals prices are in high - level oscillations due to tariff policy uncertainties, but the long - term upward logic remains valid [1] - For various commodities, supply - demand relationships, cost factors, and policy uncertainties are the main factors affecting price trends 3. Summary by Relevant Catalogs 3.1 Stock Index - A - shares strengthened on Monday, with the science - innovation sector leading the rise. The trading volume of the two markets was about 1.52 trillion yuan. The defense industry and media sectors led the gains, while the banking and non - bank financial sectors declined [1] - The domestic PMI index rose by 0.2% in June, indicating an overall expansion of the economic climate. Overseas, tariff uncertainties increased as the US tariff suspension period neared its end [1] - The stock index is expected to have an upward - moving central range as market sentiment remains optimistic [1] 3.2 Treasury Bonds - The bond market weakened across the board yesterday, with the equity market performing strongly. The stock - bond seesaw effect is significant [1] - The central bank continued net injections in the open market. Although the capital cost increased due to the end - of - quarter factor, it remained relatively stable [1] - The bond market lacks directional drivers, and upward momentum is weak due to high market congestion and high valuations [1] 3.3 Precious Metals - With less than 9 days left until the end of the tariff suspension period, the uncertainty of tariff policies has increased. Trump may announce a new tariff framework on July 4th [1] - The short - term price of gold is in high - level oscillations, but the long - term upward logic remains valid. The gold - silver ratio is high, and there is a possibility of correction [4] - It is recommended to continue holding short positions in out - of - the - money put options on gold and silver 08 contracts [4] 3.4 Base Metals Copper - The copper price remained in high - level oscillations. The domestic PMI data was good, and the US dollar index continued to decline [4] - The mid - year smelting and processing fee for Antofagasta was set at 0 yuan/ton, the lowest in history, indicating a continued tight supply of ore [4] - The non - US inventory continued to decline, and the domestic spot premium was rising. The copper price has support at the bottom [4] Aluminum and Alumina - The alumina price oscillated in the morning and declined at night. The Shanghai aluminum price remained in high - level oscillations [4] - Although there are concerns about future ore supply, the import ore price is stable, and the inventory is high. The alumina surplus situation remains unchanged, and it is advisable to short at high prices [4] - The supply of Shanghai aluminum is limited by production capacity, and the demand is uncertain. The low inventory and supply constraints still support the price [4] Nickel - The supply of high - grade laterite nickel ore remains tight, and the price is firm. The supply of ferronickel is abundant, but downstream demand is weak [4] - The production of refined nickel is no longer growing rapidly, but the surplus situation is difficult to improve in the short term [4] - The nickel price lacks directional drivers and is in a range - bound state. Selling options is a relatively better strategy [4] 3.5 Chemical Commodities Soda Ash - The production of Soda Ash by Yuanxing Energy has recovered, and the daily output has exceeded 100,000 tons. The supply surplus situation remains unchanged, and the inventory is high [8] - It is recommended to hold short positions in the Soda Ash 09 contract and the long - glass 01 - short - soda ash 01 arbitrage strategy [8] Float Glass - The average sales rate of glass in the four major production areas dropped to 93%. The deep - processing orders decreased, and the production increased [8] - The supply surplus situation of glass remains unchanged, and it is advisable to short when the basis converges to a low level [8] Lithium Carbonate - The price of lithium ore has stabilized, but the supply of lithium carbonate exceeds demand. The production continues to increase, while the downstream demand is weak [4] - The lithium carbonate price will be under pressure [4] Methanol - The production in June was 8.62 million tons, and it is expected to be 8.67 million tons in July. The production will decrease significantly in August due to increased maintenance [8] - The apparent demand increased by 8.8% in the first half of the year, and the supply is expected to tighten from August to September and November to December, supporting the price [8] Polyolefins - In June, the PE production was 2.61 million tons, and the PP production was 3.34 million tons. In July, the production is expected to increase to 2.7 million tons for PE and 3.4 million tons for PP [10] - Due to the off - season and increased supply, the polyolefin futures are expected to decline further [10] 3.6 Steel and Minerals Rebar - The spot price of rebar increased slightly, and the trading volume was average. The inventory increased for the first time last week [6] - The construction PMI index rebounded significantly in June, and infrastructure construction may progress rapidly. The supply - demand contradiction is limited [6] - The steelmaking cost has a significant impact on the price. It is necessary to pay attention to the coal mine supply recovery in the next two weeks [6] Hot - Rolled Coil - The spot price of hot - rolled coil increased slightly, and the trading volume was weak. The manufacturing PMI index was better than expected, but the demand recovery was slow [6] - The supply - demand contradiction of hot - rolled coil is limited. It is necessary to pay attention to the coal mine supply recovery [6] Iron Ore - The daily output of molten iron is expected to remain above 2.4 million tons. The import of iron ore will decline in July [6] - The supply - demand structure of iron ore will be less loose in July, and the price will move in a range [6] 3.7 Coking Coal and Coke Coking Coal - The inventory of mines has reached an inflection point, and the replenishment of steel and coking enterprises exceeded expectations. The trading atmosphere has improved [8] - The coking coal price is expected to continue to rebound, and it is recommended to hold long positions [8] Coke - The coking profit is at the break - even point, and the initiative to increase production is insufficient. The demand for coke is supported by the high molten iron output [8] - The coke spot market may have a price increase trend, and the futures price is likely to be strong [8] 3.8 Energy Crude Oil - Geopolitical uncertainties in the Middle East remain. OPEC countries may increase production in August [8] - The market driver has shifted to the supply side, and it is necessary to pay attention to the OPEC+ production plan [8] 3.9 Agricultural Products Cotton - In China, high - temperature weather in Xinjiang may affect new cotton growth, and the commercial inventory is decreasing. In the US, the drought area is shrinking [10] - The demand is in the off - season, but the downstream opening rate has not decreased significantly, and the inventory is being depleted [10] - The cotton price is expected to be well - supported [10] Rubber - The demand for rubber is weak due to high inventory in the tire industry. The upstream rubber tapping is progressing smoothly, and the supply is increasing [10] - The port inventory is accumulating rapidly, and the rubber price is expected to decline in oscillations [10]