1. Report Industry Investment Rating No information regarding the industry investment rating was provided in the report. 2. Core Viewpoints of the Report - Convertible bond funds are mainly divided into two categories: convertible bond thematic funds and high - convertible - bond - position funds. The market scale of convertible bond thematic funds has never exceeded 10 billion, and its development has stagnated since 2022, with two convertible bond ETFs seizing a large share. Long - term, the excess return of convertible bond thematic funds is not significant, and the 15% - 20% stock position leads to poor drawdown control ability. In general, convertible bond thematic funds are gradually reducing their dependence on stocks and strengthening the "convertible bond thematic fund" label [3][25][96]. - The scale of high - convertible - bond - position funds changes greatly with market conditions, reaching a peak when the market turns from a decline to an increase. Single - fund scale is relatively large, and there are many "blockbuster" funds. The head concentration of high - convertible - bond - position funds is decreasing and is slightly lower than that of convertible bond thematic funds [39][42][45]. - Convertible bond assets have characteristics between stocks and bonds, with high long - term investment value. They are more inclined to the "small - and - micro - cap" style, and are highly correlated with the CSI 2000 Index [50][54][62]. 3. Summary by Relevant Catalogs 3.1 Convertible Bond Fund Definition and Classification - **Convertible Bond Thematic Funds**: Funds with "convertible bond" in their names are generally regarded as convertible bond funds. They are subject to the "double 80%" rule, with a convertible bond position of not less than 64%. There are differences in stock investment provisions in the fund contracts [13]. - **High - Convertible - Bond - Position Funds**: Funds with a convertible bond position of not less than 64% are also considered convertible bond funds. Before 2022, the convertible bond positions of "old - shell" first - and second - tier bond funds were very flexible. After 2022, newly established first - and second - tier bond funds generally do not operate with high convertible bond positions. Funds with an average convertible bond holding market value accounting for not less than 50% of the fund net value in the past four quarters are called broad - sense convertible bond funds [17]. 3.2 Convertible Bond Thematic Fund Performance Analysis - **Long - term Excess Return and Drawdown Control**: In the long - term, the excess return of convertible bond thematic funds is not significant, and the drawdown control ability is poor. In the rising market of convertible bonds from 2020 - 2021 and in 2025, there was some excess return. However, the maximum drawdown was greater than that of the CSI Convertible Bond Index. In 2022, the annualized return and maximum drawdown were far behind the CSI Convertible Bond Index. The 15% - 20% stock position led to more drawdowns than the CSI Convertible Bond Index [67][79]. - **Performance Differentiation**: In the rising stage of the equity market, it is easier for convertible bond thematic funds to outperform the performance benchmark and the CSI Convertible Bond Index. However, in the falling and volatile stages, it is difficult to outperform [94]. - **Development Trend**: Convertible bond thematic funds are gradually reducing their dependence on stocks. Since 2023, the proportion of convertible bond funds participating in stock investment has been decreasing, while the proportion of funds with a convertible bond position of over 80% has been increasing [84]. 3.3 "Blockbuster" Convertible Bond Thematic Fund Logic Switch - **Historical Scale Changes**: In the rising stage of the equity market, the scale of representative convertible bond thematic funds grows rapidly, but then experiences a large decline. After 2022, the market scale of convertible bond thematic funds has basically stagnated due to the impact of two convertible bond ETFs [102]. - **Characteristics of "Blockbuster" Funds**: Compared with the previous round of the rising equity market, the "blockbuster" convertible bond funds now have a higher convertible bond position and pay more attention to performance [104].

1. Report Industry Investment Rating No information provided in the report. 2. Core Viewpoint The convertible bond market currently meets the pre - condition of "long - term and significant valuation increase with the hundred - yuan premium rate at a historical high", but the recent upward trend of the equity market remains intact, and there has been no prior continuous shock adjustment to erode market confidence. Therefore, convertible bond valuations are expected to continue to fluctuate in the short - to - medium term. Future focus should be on equity trends and expected changes [3][25]. 3. Summary by Related Catalogs 3.1. Convertible Bond Sharp Valuation Compression Reappears, Conditions for Continuous Compression Not Met - On August 27, 2025, the CSI Convertible Bond Index dropped 2.82% in a single day, the hundred - yuan premium rate compressed by 3.48 pcts to 29.08%, and the trading volume exceeded 110 billion yuan. One reason for the sharp valuation compression was the vulnerability of convertible bond valuations at a historical high, and the other was the first significant net redemption of first - and second - tier bond funds since continuous net subscriptions in July, with securities firms, trusts/futures, and wealth management subsidiaries contributing the main net redemption volume [1][5]. - There were differences in the intraday performance of valuation compression. In terms of rhythm, the compression slope of the convertible bond hundred - yuan premium rate started to increase around 11:20, while the convertible bond underlying stock index lagged behind and began to decline rapidly around 13:25. After the lunch break, the equity market continued to decline, but the hundred - yuan premium rate bottomed out and fluctuated around 14:00. Structurally, the compression of the fitted premium rate of low - parity convertible bonds was more obvious, the valuations of financial and AA+/AAA convertible bonds were relatively resilient, and new bonds (listed for less than 1 year) had the largest valuation compression in the morning but also a strong rebound after the lunch break [1][8]. 3.2. Historical References for Rapid Valuation Compression - Since 2017, there have been 17 times when the single - day valuation compression of the hundred - yuan premium rate exceeded 2 pcts. Nine of these occurred during the period from 2017 - 2018 when the sample size was small and fluctuations were large, and the rest occurred on 2020 - 03 - 23, 2021 - 12 - 07, 2022 - 02 - 14, 2022 - 02 - 15, 2022 - 08 - 19, 2024 - 02 - 28, 2025 - 04 - 07, and 2025 - 08 - 27 [2][10]. - **2020 - 03 - 23**: Due to the unexpected spread of the pandemic globally, leading to deep adjustments in equity markets in many countries/regions. The Wind All - A Index dropped 3.81% and the Nasdaq Index dropped 9.49% on that day. Convertible bond valuations compressed by 2.55 pcts due to panic, but they stabilized and recovered as the global equity markets stabilized [10]. - **2021 - 12 - 07**: A typical period when convertible bond fluctuations increased after a rapid valuation increase to a high level. On that day, the conversion premium rate compression of high - priced convertible bonds and the decline in convertible bond prices were both prominent. However, from the end of 2021 to the beginning of 2022, fixed - income + funds and insurance funds entered the market significantly. With strong support from the capital side and the strength of convertible bond underlying stocks represented by small - cap stocks, convertible bond valuations continued to rise after a two - day correction, and the CSI Convertible Bond Index also fluctuated upward [14]. - **2022 - 02 - 14 and 2022 - 02 - 15**: The Wind All - A Index had been oscillating and declining for over 2 months, and convertible bond underlying stocks also had a sharp adjustment in mid - January. However, convertible bond valuations continued to oscillate upward, creating a divergence. After the equity market rebounded in early February but quickly declined again, the convertible bond market lost confidence and patience, resulting in a sharp valuation decline in mid - February. After the equity market stabilized in mid - to - late February, convertible bond valuations did not continue to decline, and only continued to compress when the equity market adjusted again in March [14]. - **2022 - 08 - 19**: Similar to the situation in February 2022, convertible bond valuations climbed to a high level. The Wind All - A Index had already adjusted significantly in advance, but convertible bond valuations remained high. After the small - and micro - cap stocks declined, the valuations were quickly adjusted to a relatively reasonable level of around 26%. However, the continued adjustment of the equity market caused convertible bond valuations to continue to decline [15]. - **2024 - 02 - 28**: During the repair process of the squeeze - out decline of small - and micro - cap stocks caused by quantitative funds, on the 28th, affected by market rumors about quantitative fund supervision, the equity market adjusted sharply again. The convertible bond underlying stock index mainly composed of small - and micro - cap stocks dropped 5.83%, and the hundred - yuan premium rate compressed by 2.29 pcts. After the rumor effect subsided, the equity market continued to repair, and convertible bond valuations stabilized, oscillated, and recovered the next day [18]. - **2025 - 04 - 07**: Mainly due to unexpected changes in peripheral tariff policies, the Wind All - A Index dropped 9.26% and the convertible bond underlying stock index dropped 12.19% on that day. Affected by the pessimistic sentiment in the equity market, convertible bond valuations compressed by 2.53 pcts. However, the subsequent equity market continued to repair, and the hundred - yuan premium rate rose 2.48 pcts on April 8, basically recovering all the losses [18]. - In the two sample periods of 2022 - 02 - 14 and 2022 - 08 - 19, there was still significant valuation decline in the 30 trading days after the rapid valuation compression. The commonalities were long - term and significant valuation increases before the compression, with the hundred - yuan premium rate at a historical high, and the equity market had started to oscillate and adjust, and continued to weaken in the future [2][19]. - In other sample periods, neither the decline of convertible bond valuations nor the CSI Convertible Bond Index lasted more than 3 days, and there was no obvious continuous compression of convertible bond valuations in the 30 trading days after the rapid valuation compression, regardless of whether the equity market rose, oscillated, or declined [3][23].