2025 年 11 月 20 日 转债去伪存真，宜稳中求进 固定收益研究团队 ——2026 年转债年度策略 | 陈曦（分析师） | 刘伟（分析师） | | --- | --- | | chenxi2@kysec.cn | liuwei1@kysec.cn | | 证书编号：S0790521100002 | 证书编号：S0790524070008 | 2025 年市场行情良好 2025 年市场行情或是国内经济、美元流动性、产业趋势和估值便宜等因素共同 推动形成的指数行情。 对比之下，2026 年利好或相对有限。如果说经济复苏和估值便宜是 2025 年行情 最重要的机会，那么这两点因素或在 2026 年反而不再是机会，除了美元流动性 的宽松趋势之外，2026 年的新增利好或相对有限。 2026 年转债市场估值存压 展望 2026 年转债市场，转债市场利好有限，且周期和估值压力下，转债或同样 呈现为波动率放大，预期回报率或回落。 第一，转债周期，2024 年四季度至今的周期，目前已经上涨 1 年左右，对比之 下，历史的上涨周期普遍为 1-1.5 年左右。 截至 2025 年 11 月 17 日，万得全 A 指数上涨 ...

1. Report Investment Rating No investment rating information is provided in the report. 2. Core Viewpoints - In 2025Q3, the market value of convertible bonds held by public - funds increased, with the bond - type funds being the main force of the increase, and they mainly added positions in power equipment convertible bonds. The position of convertible bonds held by public - funds also rose. Although the convertible bond market continued to shrink, the convertible bond assets still had considerable returns under the catalysis of equity enthusiasm [2][8][9]. - The performance of convertible bond funds outperformed the index in 2025Q3, showing net subscriptions and scale expansion. However, the overall position and leverage ratio of these funds declined. Both public - funds and convertible bond funds focused on adding positions in power equipment convertible bonds [5][8][9]. 3. Summary by Directory 3.1 Public - funds Increase Convertible Bond Positions and Add Positions in Power Equipment Convertible Bonds 3.1.1 Market Value of Convertible Bonds Held by Public - funds Increases Month - on - Month, and Positions Rise - In 2025Q3, the market value of convertible bonds held by public - funds was 316.618 billion yuan, a month - on - month increase of 16.09% and a year - on - year increase of 12.72%. The ratio of the market value of convertible bonds held by public - funds to the market value of bond investments was 1.57%, a 0.28 - percentage - point increase from 25Q2; the ratio to net worth was 0.87%, a 0.07 - percentage - point increase from 25Q2 [13]. - The market value changes of convertible bonds held by different types of funds varied month - on - month. Stock - type and secondary bond - type funds significantly increased their positions. From the perspective of absolute amount changes, the bond - type funds had the largest increase in market value, with a month - on - month increase of 48.61 billion yuan in 25Q3 [17][19]. - The overall position of public - funds in convertible bonds increased, but the position of convertible bond funds was diluted. According to the Wind fund primary classification, the convertible bond position of stock - type funds remained flat at 0.02% month - on - month, that of hybrid funds decreased by 0.26 percentage points to 0.59%, and that of bond - type funds increased by 0.49 percentage points to 2.73% [23][25]. 3.1.2 Public - funds Inversely Increase Positions, while Insurance Funds, Enterprise Annuities, and Securities Firms' Proprietary Trading Reduce Positions - As of the end of 2025Q3, the total face value of convertible bonds held by the Shanghai and Shenzhen Stock Exchanges was 599.489 billion yuan, a decrease of 55.679 billion yuan from the end of 25Q2, a month - on - month decrease of 8.50%. Insurance institutions, enterprise annuities, and securities firms' proprietary trading significantly reduced their positions, while public - funds significantly increased their positions inversely, with a month - on - month increase of 7.68% to 233.561 billion yuan [35]. 3.1.3 Public - funds Mainly Add Positions in Power Equipment, and Bank Convertible Bonds Further Shrink - In terms of industry layout in 25Q3, banks were still the primary layout sector, but the overall position market value shrank significantly under the early redemption of multiple bank convertible bonds, with only a 233 - million - yuan difference from the power equipment market value. From the perspective of the market value month - on - month change rate, 24 industries had positive month - on - month changes, with the petrochemical, power equipment, and beauty care industries leading in growth [42]. 3.1.4 Industrial Convertible Bonds Maintain the First - Positioned Heavy - Position Bond - Industrial convertible bonds were the first - positioned heavy - position bond of public - funds, and EVE and Industrial convertible bonds led in terms of incremental positions. Among the top ten convertible bonds in terms of total position market value, there were 3 bank convertible bonds, which was fewer than in Q2. The types of bottom - position bonds gradually diversified [50]. 3.2 Convertible Bond Funds' Performance Outperforms the Index, and Convertible Bond Positions and Leverage Ratios Decline 3.2.1 Net Asset Value after Reinvestment Increases, and Overall Net Subscriptions Occur - As of 2025Q3, there were 39 convertible bond funds in the market. The performance of convertible bond funds outperformed the convertible bond index, showing net subscriptions and scale expansion. The scale of convertible bond funds in 25Q3 was 63.284 billion yuan, a significant increase of 11.635 billion yuan from 25Q2, a month - on - month increase of 22.53% [55]. - By observing the asset allocation changes of high - performing convertible bond funds, most of the larger - scale funds had reduced convertible bond positions. The top five funds in terms of net value performance in 25Q3 all had a certain scale, and most of them reduced their positions in stocks and convertible bond assets [57][58]. 3.2.2 Convertible Bond Positions Slightly Decrease Month - on - Month, and Leverage Ratios Decline Month - on - Month - The overall position of 39 convertible bond funds slightly decreased, and the leverage ratio declined month - on - month. In the third quarter of 2025, the ratio of the market value of convertible bonds to the net value of convertible bond funds was 84.18%, a month - on - month decrease of 1.16 percentage points; the median position was 85.54%, a more obvious month - on - month decrease of 6.14 percentage points. The average leverage ratio of 39 convertible bond funds was 114.13%, a decrease of 2.79 percentage points month - on - month, continuing the downward trend [5][68]. 3.2.3 Convertible Bond Funds Focus on Adding Positions in Power Equipment - From the perspective of the quarterly change in the number of times funds held convertible bonds, more than half of the industries had an increase in the number of holdings in 25Q3, with power equipment, electronics, and machinery leading in the increase. From the perspective of the quarterly change in the proportion of the market value of fund positions, the proportion of power equipment increased by 4.46 percentage points, leading by a large margin [6]. - Among the 39 convertible bond funds, Industrial convertible bonds were still the main heavy - position bond and increased in position. The banking and power equipment industries remained at the forefront of heavy - position industries [6].

Group 1 - The report identifies three main factors influencing convertible bond performance: equity-debt price ratio, dollar liquidity, and large-small cap style [2][11][20] - The current economic environment is characterized by a recovery phase, but limited incremental benefits due to insufficient momentum from households and enterprises [2][12][39] - The dollar is expected to remain in a loose monetary environment, which historically supports equity markets [2][16][19] Group 2 - Convertible bonds are currently in a trading phase that follows the performance of underlying stocks, having experienced three cycles since 2018 [3][27][28] - The median price of convertible bonds as of November 3, 2025, is 132.72 yuan, placing it at the 99.3% historical percentile, indicating a high valuation level [4][34][35] - The median conversion premium is 27%, which is at the 55.3% historical percentile, suggesting a relatively high valuation in the current market [4][34][35] Group 3 - The report recommends a balanced investment strategy for convertible bonds, focusing on equity-like convertible bonds priced above 120 yuan, with specific recommendations for various sectors [5][39][41] - Recommended convertible bonds include those from financial consumption, public utilities, AI and robotics, as well as semiconductor and manufacturing sectors [5][39][41] Group 4 - The investor behavior analysis shows that the total outstanding convertible bond scale has decreased from 844.7 billion yuan in January 2025 to 759.5 billion yuan in October 2025, with funds increasing their holdings [29][31] - The report highlights a shift in investor composition, with funds increasing their share from 34.3% to 39.8% during the same period, while insurance institutions have reduced their holdings significantly [29][32]

Report Overview - The report analyzes the convertible bond holdings of public funds in Q3 2025, including scale, industry and style preferences, and factor performance [1][9] 1. Report Industry Investment Rating - Not provided in the report 2. Report's Core View - As of Q3 2025, public funds held convertible bonds worth 303.8 billion yuan, with the market value ratio increasing to 38.94%. Funds prefer convertible bonds with low BS pricing premium, high conversion value, large balance, and low conversion premium ratio. Factors such as maturity, implied volatility, and pure bond value have performed well this year [1][9] 3. Summary by Relevant Catalog 3.1 Publicly - Held Convertible Bond Scale - As of Q3 2025, 1581 public funds held convertible bonds, with a total scale of 303.8 billion yuan, accounting for 38.94% of the total convertible bond market value [9][13] 3.2 Convertible Bond Funds and Heavy - Held Convertible Bonds - Funds with large convertible bond holdings in Q3 2025 include Boshi CSI Convertible and Exchangeable Bond ETF, Haifutong Shanghai Stock Exchange Investment - Grade Convertible and Exchangeable Bond ETF, etc., all with holdings over 7 billion yuan. Funds with a high proportion of convertible bonds include Huashang Convertible Bond Selection A, Rongtong Convertible Bond A, etc., all with a proportion over 105% [15] 3.3 Convertible Bond Holding Industry Distribution - In terms of market value, the banking, power equipment and new energy, basic chemicals, and electronics industries have the largest holdings, all over 20 billion yuan. The banking industry accounts for 19%. Power equipment and new energy, banking, and basic chemicals are over - allocated, while power and utilities, non - banking, and construction are under - allocated [9][20] 3.4 Convertible Bond Holding Style Distribution - 21 style factors are constructed from four aspects: convertible bond valuation, underlying stock, trading, and terms. The market's funds prefer convertible bonds with low BS pricing premium, high conversion value, large scale, and low conversion premium ratio [22][27] 3.5 Convertible Bond Holding Factor Performance - From December 31, 2024, to October 29, 2025, factors such as maturity, implied volatility, implied volatility premium for 1 year, pure bond value, and peak factor have performed relatively well, with information ratios above 1.7 [29][30]

Core Insights - The public funds held convertible bonds accounted for 55.34% of the total market value of convertible bonds as of Q3 2025, with a quarter-on-quarter increase of 12.93 percentage points, indicating a slight rise in positions by 0.09 percentage points [1][7] - Despite a decrease in the total balance of convertible bonds to 572.07 billion yuan, the proportion of convertible bonds held by institutions continues to increase [1][7] Group 1: Public Fund Holdings - As of Q3 2025, public funds held convertible bonds worth 316.57 billion yuan, representing 55.34% of the total market value, an increase of 12.93 percentage points from Q2 [1][14] - The number of public funds holding convertible bonds exceeded 2,009, with 61 funds holding over 1 billion yuan in convertible bonds, accounting for 69.46% of the total value of convertible bonds held by public funds [14][17] Group 2: Convertible Bond Fund Holdings - Convertible bond funds, totaling 40, held convertible bonds worth 121.21 billion yuan, a quarter-on-quarter increase of 42.2% [3][17] - The average position of convertible bond funds rose from 84.99% in Q2 to 87.17% in Q3, while the leverage ratio decreased from 142.08% to 135.17% [19][22] Group 3: Sector Performance - The fastest growth in public fund holdings of convertible bonds was observed in the oil and petrochemical sector, which increased by 59.14% quarter-on-quarter, followed by the electric power equipment sector with a 40.93% increase [4][26] - Significant increases were also noted in the beauty care, computer, steel, and communication sectors, while reductions were seen in the media, non-ferrous metals, social services, and household appliances sectors [4][26] Group 4: Fund Performance - The average annualized return of convertible bond funds in Q3 2025 was 67.31%, outperforming the average annualized return of the Zhongzheng Convertible Bond Index, which was 41.57% [22][24] - Notable performers included the Southern Changyuan Convertible Bond Fund with a return of 172.4% and the Huaxia Convertible Bond Enhanced Fund with a return of 160.4% [22][24]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report In Q3 2025, despite the accelerating decline in the convertible bond market's outstanding balance, institutional holdings of convertible bonds continued to increase. Convertible bond funds and secondary bond funds increased their positions in convertible bonds, and convertible bond funds showed good performance in terms of returns and positions. Some industries such as petroleum and petrochemicals, and power equipment saw significant increases in positions, while others like media and non - ferrous metals saw reductions [1][2][4]. 3. Summary by Related Catalogs 3.1 Public Fund Convertible Bond Holdings - In Q3 2025, public funds' convertible bond holdings accounted for 55.34% of the total convertible bond market value, a 12.93 - percentage - point increase from Q2, and the position increased slightly by 0.09 percentage points. The outstanding balance of the convertible bond market was 572.072 billion yuan, a 10.96% decrease from Q2 [1][9]. - Convertible bond funds and secondary bond funds increased their positions in convertible bonds. Secondary bond funds' convertible bond market value increased by 20.596 billion yuan (+2.55%), and convertible bond funds' market value increased by 35.972 billion yuan (+7.67%). On the other hand, first - level bond funds, partial - debt hybrid funds, and flexible allocation funds reduced their positions [2][11]. - As of Q3 2025, there were 61 public funds with convertible bond holdings exceeding 1 billion yuan, accounting for 69.46% of the market value of public funds investing in convertible bonds, a 6.71 - percentage - point increase from Q2. There were 291 funds with holdings exceeding 100 million yuan, accounting for 93.31% of the market value, a 1.76 - percentage - point increase from Q2 [3][18]. 3.2 Convertible Bond Fund's Convertible Bond Holdings - As of Q3 2025, there were 40 convertible bond funds, with a total convertible bond market value of 121.205 billion yuan, a 35.972 - billion - yuan increase from Q2, a 42.2% increase. The convertible bond position rose from 84.99% in Q2 to 87.17%, and the leverage ratio decreased from 142.08% to 135.17% [3][21][22]. - In Q3 2025, the average return of convertible bond funds outperformed the CSI Convertible Bond Index. The average annualized return of the CSI Convertible Bond Index was 41.57%, the average annualized return of convertible bond funds was 67.31%, and 32 funds outperformed the CSI Convertible Bond Index, with a winning rate of 80% [4]. - Industries such as petroleum and petrochemicals, power equipment, beauty and personal care, computer, and steel saw significant increases in positions. The market value of public funds' holdings in the petroleum and petrochemical industry increased by 59.14% compared to Q2, and that in the power equipment industry increased by 40.93%. Industries like media, non - ferrous metals, social services, and household appliances saw significant decreases in holdings [5][31]. - The top five heavy - position convertible bonds of convertible bond funds were Industrial Bank Convertible Bond, Shanghai Bank Convertible Bond, Wens Convertible Bond, Jingneng Convertible Bond, and SDIC Convertible Bond. Among the top 20 convertible bonds held by convertible bond funds, 19 had a credit rating of AA or above, and most were pro - cyclical targets [5][31][33].

Core Insights - The report highlights the performance of three investment strategies: Low Price Enhancement, Improved Dual Low, and High Price High Elasticity, which recorded returns of 1.3%, 0.5%, and 0.7% respectively during the last period, outperforming the benchmark return of 0.3% [1] - Year-to-date, these strategies have achieved returns of 17.4%, 28.2%, and 52.2%, with cumulative excess returns of 0.3%, 11.2%, and 35.2% compared to the benchmark return of 17.0% [1] - The equity market experienced fluctuations, with the Wind All A and CSI Convertible Bonds rising by 1.5% and 0.3% respectively, indicating a resurgence of low volatility strategies [1] Low Price Enhancement Strategy - The latest holdings include new entries such as Jinggong Convertible Bond (Construction Decoration), Shangyin Convertible Bond (Bank), and Yangfeng Convertible Bond (Basic Chemicals) among others [2] - The adjustment rationale is based on the strong performance of the low price index (1.4%) and the resurgence of low volatility strategies, with a focus on stable or improving performance and reasonable premium rates [3] Improved Dual Low Strategy - The latest holdings feature new entries like Shangyin Convertible Bond (Bank) and Zhonghuan Convertible Bond (Environmental Protection) [4] - Adjustments were made due to the upward movement of the dual low index (0.4%), with a focus on stocks with improved performance or stable operations while avoiding those with high redemption progress [5] High Price High Elasticity Strategy - The latest holdings include new entries such as Wankai Convertible Bond (Basic Chemicals) and Shuiyang Convertible Bond (Beauty Care) [6] - The strategy's adjustments were influenced by the decline in high price index returns (-1.5%) and the need to manage redemption risks while maintaining a balanced industry allocation [7]

Core Points - The company reported a net profit of 18.075 billion RMB for the first three quarters of 2025, representing a year-on-year increase of 2.77% [9] - The total assets of the company reached 3,308.002 billion RMB, an increase of 2.52% compared to the end of the previous year [8] - The company’s capital adequacy ratio stood at 14.33%, with a non-performing loan ratio of 1.18%, remaining stable compared to the previous year [9][10] Financial Performance - The company achieved an operating income of 41.14 billion RMB for the first nine months of 2025, up 4.04% year-on-year [9] - The net cash flow from operating activities was -154.412 billion RMB, a decrease of 178.293 billion RMB year-on-year, primarily due to an increase in financial assets held for trading [5] - The company’s total deposits reached 1,804.245 billion RMB, reflecting a growth of 5.51% from the end of the previous year [8] Business Development - The company focused on supporting the real economy, with total loans and advances to customers amounting to 1,441.646 billion RMB, an increase of 2.55% year-on-year [8] - Technology loans amounted to 166.292 billion RMB, showing a significant year-on-year growth of 33.83% [11] - The company’s manufacturing loans reached 86.507 billion RMB, up 8.89% year-on-year [12] Shareholder Information - The top ten shareholders included Banco Santander, holding 929.137 million shares, accounting for 6.54% of the total share capital [6] - The company’s board of directors and senior management confirmed the accuracy and completeness of the quarterly report [2] Retail Financial Services - The company managed retail customer assets totaling 1,078.145 billion RMB, a growth of 5.50% from the previous year [16] - The number of retail customers reached 21.5033 million, with personal loans and advances totaling 395.642 billion RMB [16] Debt Issuance - In September 2025, the company issued 20 billion RMB of ordinary financial bonds with a fixed interest rate of 1.89% [20]

Core Viewpoint - The first "mega" convertible bond project in history, the SPDB convertible bond, is set to delist from the Shanghai Stock Exchange, with a conversion rate of 99.67%, significantly exceeding market expectations [2][4]. Summary by Sections Convertible Bond Performance - As of October 27, the SPDB convertible bond had an unconverted balance of 164 million yuan, representing only 0.33% of the total issuance of 50 billion yuan [4]. - The bond was issued on October 28, 2019, with a maturity date of October 28, 2025, and was intended to support the bank's future business development and core tier one capital [4]. Market Dynamics - Following the delisting of the SPDB convertible bond, only six bank convertible bonds will remain in the market, with five having a conversion rate of less than 0.01% [2][7]. - The disparity in performance among bank convertible bonds is attributed to the underlying stock performance [6][9]. Investor Activity - Multiple capital entities, including China Mobile, have increased their holdings in SPDB through the conversion of bonds, raising their stake to 18.18% [4][5]. - The management of SPDB has accelerated the conversion process this year, reflecting confidence in the bank's future operations and capital replenishment [5]. Future Outlook - The market for bank convertible bonds may continue to shrink in the short term due to a lack of large financial convertible bond issuance and ongoing low conversion rates [9]. - This situation may lead to a restructuring of the convertible bond market, with institutional investors seeking alternative assets to fill the gap left by the exiting bank convertible bonds [9].

Core Points - Shanghai Bank plans to redeem all of its 200 million preferred shares, with a total value of RMB 20 billion, on December 19, 2025 [1][5][6] Redemption Details - The redemption price will include the face value plus any declared but unpaid dividends [2] - The payment date for the redemption will coincide with the preferred share dividend date, December 19, 2025 [3] - The company will pay shareholders the face value and dividends accrued from December 19, 2024, to December 18, 2025, on the redemption date [4] Approval and Procedures - The redemption plan was approved by the company's board on July 22, 2025, and has received no objections from the regulatory authority [5]