Group 1: Report Industry Investment Rating - Not provided in the given content Group 2: Core Views of the Report - Overseas, the Fed's guidance on 2026 interest - rate cut expectations affects tech - stock valuations. Compared with the potential tightening of the ECB and BOJ, the Fed remains dovish, pressuring the US dollar. The Trump administration's 2025 "US National Security Strategy" may lead to a power vacuum in some regions, causing countries to increase defense spending and reshaping the geopolitical landscape. The report continues to be bullish on gold and US Treasuries [1][39] - Domestically, the equity market is oscillating, and risk appetite is generally low at the end of the year. The market has difficulty forming a consensus. Convertible bonds, with an additional option value, present a configuration window at the end of the year and beginning of the next year in sectors with large expectation gaps [1][40] - The top ten high - rated, medium - low - priced convertible bonds with the greatest potential for par premium rate repair next week are Hope Convertible Bond, Liqun Convertible Bond, Eagle 19 Convertible Bond, etc. [1][41] Group 3: Summary by Directory 1. Weekly Market Review 1.1 Equity Market Overall Rise - From December 8 to 12, 2025, the equity market generally rose. The average daily trading volume of the two markets increased from about 8105.49 billion yuan to 24948.34 billion yuan, a week - on - week increase of 48.12% [6][10] - The Shanghai Composite Index fell 0.34% to 3889.35 points, the Shenzhen Component Index rose 0.84% to 13258.33 points, the ChiNext Index rose 2.74% to 3194.36 points, and the CSI 300 fell 0.08% to 4580.95 points [6] - Among the 31 Shenwan primary industries, 8 industries closed up, with 3 industries rising more than 2%. Communication, national defense and military industry, electronics, machinery equipment, and power equipment led the gains, while coal, petroleum and petrochemicals, steel, textile and apparel, and basic chemicals led the losses [14] 1.2 Convertible Bond Market Overall Rise - From December 8 to 12, 2025, the CSI Convertible Bond Index rose 0.20%. Among the 29 Shenwan primary industries, 11 industries closed up, with 4 industries rising more than 2%. National defense and military industry, building materials, electronics, communication, and automobile led the gains, while coal, basic chemicals, social services, commercial and retail trade, and non - ferrous metals led the losses [16] - The average daily trading volume of the convertible bond market was 606.37 billion yuan, a significant increase of 68.36 billion yuan, a 12.71% week - on - week change. The top ten convertible bonds in terms of trading volume were Zai 22 Convertible Bond, Furong Convertible Bond, etc. [16] - Approximately 35.77% of individual convertible bonds rose, about 16.88% rose in the 0 - 1% range, and 14.61% rose more than 2% [16] - The overall market conversion premium rate rose, with an average daily conversion premium rate of 42.34%, a 1.49 - percentage - point increase from the previous week. Different price and parity intervals showed different trends [22] 1.3 Stock - Bond Market Sentiment Comparison - The trading sentiment of the convertible bond market was better this week. The weighted average and median of convertible bond price changes were positive and negative respectively, while those of the underlying stocks were both negative. The trading volume of both the underlying stocks and convertible bonds increased significantly, with the underlying stocks having a larger increase and a higher quantile level [36] - On different trading days, the trading sentiment of the stock and convertible bond markets alternated. For example, on December 8, the trading sentiment of the stock market was better, while on December 9, the trading sentiment of the convertible bond market was better [37] 2. Future Outlook and Investment Strategy - Overseas, continue to be bullish on gold and US Treasuries due to the Fed's stance and the US national security strategy [1][39] - Domestically, for convertible bonds, there are configuration opportunities at the end of the year and beginning of the next year in three sectors: AI edge - side, especially consumer electronics; upstream targets such as chip manufacturing and key substrates; and power transmission and distribution equipment [1][40]

证券研究报告·固定收益·固收周报 固收周报 20251206 转债建议关注科技主线扩散方向 2025 年 12 月 06 日 《二级资本债周度数据跟踪 （20251201-20251205）》 2025-12-06 证券分析师 李勇 执业证书：S0600519040001 010-66573671 liyong@dwzq.com.cn 证券分析师 陈伯铭 执业证书：S0600523020002 chenbm@dwzq.com.cn 相关研究 《绿色债券周度数据跟踪（20251201- 20251205）》 2025-12-06 东吴证券研究所 1 / 17 请务必阅读正文之后的免责声明部分 [Table_Tag] [Table_Summary] ◼ 本周（1201－1205）海外方面市场边际定价联储降息，风险资产回暖， 美三大股指接近恢复到 11 月博弈降息前的位置，产业面政策、产业面 催化边际重新夺回定价权。日央行会否在 12 月 19 日如期加息成为海外 流动性下一个关注节点，目前日本十年期国债收益率近三周累积上涨约 25bp，考虑到日元 carry trade 全球存量接近 20 万亿美元（根据 BIS ...

1. Report Industry Investment Rating No information provided in the report regarding the industry investment rating. 2. Core Viewpoints of the Report - Last week, the median convertible bond price dropped from 132 yuan to 129 yuan, with the average daily turnover in the entire convertible bond market remaining at a relatively low level of 65.2 billion yuan. The median conversion premium rate increased from 27.8% to 28.5%, and the implied volatility decreased from 37% to 35.5% (historical quantile of 73%). The trading sentiment of convertible bonds recovered, and the turnover rates of extremely low - balance and low - rated convertible bonds increased. After the market adjustment, the proportion of dual - low convertible bonds in industries such as commercial trade, banking, non - banking, and transportation increased [1]. - Last week, the risk appetite of funds continued to decline. The share of gold ETFs increased significantly by 22.7%, the share of dividend - concept ETFs increased by 5.2%, while the shares of stock - type and convertible bond ETFs decreased, with the decrease rate of convertible bond ETF fund shares (-3.5%) slightly larger than that of the overall stock - type ETFs (-2.6%) [2]. - After the TACO transaction was confirmed last weekend, the market risk appetite recovered. Structurally, overall attention should be paid to the performance realization of the underlying stocks. Combine performance and focus on Q3 performance - promising targets and sub - new convertible bonds [3][4]. 3. Summary by Relevant Catalogs Market Performance - The median convertible bond price decreased from 132 yuan to 129 yuan, the average daily turnover in the entire convertible bond market was 65.2 billion yuan, remaining at a low level. The median conversion premium rate rose from 27.8% to 28.5%, and the implied volatility dropped from 37% to 35.5% (historical quantile of 73%). The trading sentiment of convertible bonds improved, and the turnover rates of extremely low - balance and low - rated convertible bonds went up. Due to the protection of the bond floor in a falling market, the valuation of low - price convertible bonds increased significantly, outperforming other sectors. After the market adjustment, the proportion of dual - low convertible bonds in commercial trade, banking, non - banking, and transportation increased [1]. Funds Sentiment - Comparing the share fluctuations of various broad - based indexes, bond - type, and major commodity (gold) ETFs, last week, the risk appetite of funds continued to decline. The share of gold ETFs increased by 22.7%, the share of dividend - concept ETFs increased by 5.2%, while the shares of stock - type and convertible bond ETFs decreased. The decrease rate of convertible bond ETF fund shares (-3.5%) was slightly larger than that of the overall stock - type ETFs (-2.6%) [2]. - In September, bond investors such as insurance, social security, and securities asset management concentrated on reducing their holdings of convertible bonds, with the reduction amplitude significantly larger than the shrinkage amplitude of the convertible bond market scale. Retail investors maintained a selling trend in a relatively strong stock market. Convertible bond ETFs provided certain liquidity to the convertible bond market, and the public - offering convertible bond holdings remained stable [23]. Investment Strategy - After the TACO transaction was confirmed last weekend, the market risk appetite recovered. Focus on the performance realization of the underlying stocks and pay attention to the following directions: - Q3 performance - promising targets: 1) Technologically leading manufacturers in the domestic substitution field, such as Dinglong Co., Ltd. (Dinglong Convertible Bond) and Guoli Electronics (Guoli Convertible Bond). 2) Companies in high - growth sectors with continuous technological upgrades, like Daotong Technology (Daotong Convertible Bond) and Luxshare Precision (Luxshare Convertible Bond). 3) Industries benefiting from anti - involution price increases, such as power equipment and chemicals, including Zhuhai Guanyu (Guanyu Convertible Bond) and Limin Co., Ltd. (Limin Convertible Bond) [3]. - Sub - new convertible bonds: Due to the intensified supply - demand contradiction in the convertible bond market, the elasticity and valuation of sub - new convertible bonds have been pushed up, and many are popular themes with good performance. They are worth paying attention to during market pullbacks, such as Jinwei Convertible Bond, Weidao Convertible Bond, etc. [4]. - Considering the performance realization, convertible bonds such as Changyin Convertible Bond, Chongyin Convertible Bond, etc., are worthy of attention. The dumbbell strategy portfolio remained unchanged this period and outperformed the CSI Convertible Bond Index by 1.77 percentage points last week [28][29].

Group 1 - The China Convertible Bond Index fell by 0.44% in early trading on September 22, closing at 471.51 points [1] - Fuli Convertible Bond increased by 7.66%, Lixun Convertible Bond rose by 6.65%, and Jing 23 Convertible Bond gained 5.77% [1] - Haomei Convertible Bond decreased by 6.23%, Zhenhua Convertible Bond dropped by 4.66%, and Jingxing Convertible Bond fell by 4.21% [1]

Report Industry Investment Rating - No information provided Core Viewpoints - This week, the three strategies jointly held 22 convertible bonds, including Pufa Convertible Bond, Muyuan Convertible Bond, 23 Hope E1, etc. The option strategy maintained low turnover with few new targets, while the sub - low - price strategy had increased turnover recently, possibly due to the high enthusiasm in the equity market [1]. - The model recommends the technology sector at the industry level, driven mainly by the momentum factor, consistent with previous reports. The recommended industries include communication, electronics, computer, power equipment, and household appliances, with a marginal increase in the computer factor score and a decline in the household appliance factor score but still within the recommended range [1]. Summary by Related Catalogs Strategy Performance - The sub - low - price strategy rose 2.72% last week, with an excess return of 0.07% compared to the Wind Convertible Bond Low - Price Index. It has risen 18.32% this year, with an excess return of 1.01% compared to the benchmark [10]. - The option strategy rose 3.21% last week, with an excess return of 0.55% compared to the Wind Convertible Bond Low - Price Index. It has risen 20.66% this year, with an excess return of 2.93% compared to the benchmark [10]. - The double - low enhancement strategy rose 3.08% last week, with an excess return of 1.16% compared to the Wind Convertible Bond Double - Low Index. It has risen 24.14% this year, with an excess return of 9.67% compared to the benchmark [10]. - The industry rotation strategy rose 3.21% last week, with an excess return of 1.30% compared to the Wind Convertible Bond Double - Low Index. It has risen 18.37% this year [10]. Risk - Return Characteristics (Last Year) - The sub - low - price strategy has an annualized return of 33.58%, a Calmar ratio of 5.58, and a maximum drawdown of 6.02% [12]. - The option strategy has an annualized return of 33.20%, a Calmar ratio of 7.09, and a maximum drawdown of 4.68% [12]. - The double - low enhancement strategy has an annualized return of 45.33%, a Calmar ratio of 5.92, and a maximum drawdown of 7.65%, with an annualized excess return of 13.60% [12]. - The industry rotation strategy has an annualized return of 43.77%, a Calmar ratio of 6.61, and a maximum drawdown of 6.62%, with an annualized excess return of 12.22% [12]. Factor Back - test Results - For the sub - low - price strategy, the priceavg factor has a weight of 100%, an IC mean of - 3.44%, an IC standard deviation of 17.53%, an ICIR of - 19.63%, an IC>0 frequency of 35.25%, and a p - Value of 0.01% [20]. - For the option strategy, the amplitude_mean_6m factor has a weight of 100%, an IC mean of - 4.41%, an IC standard deviation of 19.36%, an ICIR of - 22.80%, an IC>0 frequency of 31.42%, and a p - Value of 0.00% [20]. - For the double - low enhancement strategy, multiple factors are used with different weights. For example, the impliedvol diff1 3m, MaxPricePremium, pricechangediff di ff1 1w, priceavg priceavg, stkratio diff1 1w, Amihud diff1 3m, and MaxPricePremium factors each have a 20% or 25% weight. The pricechangediff di ff1 1w factor has an IC mean of - 3.02%, an IC standard deviation of 9.17%, an ICIR of - 32.92%, an IC>0 frequency of 24.90%, and a p - Value of 0.00% [20]. - For the industry rotation strategy, factors like diff1 1m, pricechangediff_mean 2w, and stkratio diff1 1m are used with 25% weights. The diff1 1m factor has an IC mean of - 3.29%, an IC standard deviation of 23.44%, an ICIR of - 14.04%, an IC>0 frequency of 42.31%, and a p - Value of 0.45% [20].

Group 1 - The latest stock price of Luxshare Precision is 38.01 yuan, an increase of 1.57 yuan from the previous trading day, with a trading range of 36.49 to 38.20 yuan and a total transaction amount of 5.351 billion yuan [1] - The company operates in the consumer electronics sector, with its main business covering consumer electronics, communication interconnect products, precision components, and automotive interconnect products, where the consumer electronics business accounted for 83.37% of its revenue in 2024 [1] - On August 11, the company held a board meeting and approved the proposal not to adjust the conversion price of "Luxshare Convertible Bonds," despite the stock closing below 80% of the current conversion price for 15 trading days from July 22 to August 11 [1] Group 2 - On the same day, the net inflow of main funds was 350.1064 million yuan, with a cumulative net inflow of 602.1123 million yuan over the past five days [1]

Key Points - The company has decided not to adjust the conversion price of its convertible bonds despite triggering conditions for a downward adjustment [1][2] - The current conversion price is set at RMB 56.25 per share, with the adjustment period running from May 10, 2021, to November 2, 2026 [1] - The company issued a total of RMB 3 billion in convertible bonds, which began trading on December 2, 2020 [1] - The initial conversion price was RMB 58.62 per share, which was adjusted to RMB 56.45 and then to RMB 56.25 due to corporate actions [1][2] - The board's decision not to adjust the conversion price is based on confidence in the company's long-term development and intrinsic value [1][2]

Core Viewpoint - Lixun Precision (002475) announced that its stock price has been below 80% of the conversion price of its convertible bonds for 15 out of the last 30 trading days, triggering a downward adjustment clause for the bond's conversion price [1] Summary by Relevant Sections - Stock Performance - From July 22 to August 11, Lixun Precision's stock price has closed below the conversion price of 45 yuan per share for 15 trading days [1] - Corporate Decision - The company's board of directors has decided not to adjust the conversion price of the convertible bonds downwards despite triggering the clause [1]

Group 1 - The company, Luxshare Precision Industry Co., Ltd., announced that its convertible bond, "Luxshare Convertible Bond," is expected to trigger a downward adjustment of the conversion price due to the stock price being below 80% of the current conversion price for ten consecutive trading days from July 22, 2025, to August 4, 2025 [1] - The current conversion price of the "Luxshare Convertible Bond" is 56.25 CNY per share, and the threshold for triggering the adjustment is set at 45.00 CNY per share [1] - If the stock price continues to remain below the conversion price threshold for five additional trading days within the next twenty trading days, the company will convene a board meeting to decide whether to exercise the downward adjustment right [1] Group 2 - The company issued 30 million convertible bonds with a total value of 3 billion CNY, approved by the China Securities Regulatory Commission on November 3, 2020 [1] - The downward adjustment clause allows the board to propose a new conversion price if the stock price remains below 80% of the current conversion price for at least fifteen out of thirty consecutive trading days [1] - The adjusted conversion price must not be lower than the average trading price of the stock for the twenty trading days prior to the shareholders' meeting [1]

New Stock Listings - Huadian New Energy (600930) listed at an issue price of 3.18 on July 16, 2025[1] - Zhongcheng Tui (300208) has 2 trading days remaining until the last trading day[1] - Tui Shi Jin Gang (600190) also has 2 trading days remaining until the last trading day[1] Abnormal Fluctuations - Huayin Power (600744) reported severe abnormal fluctuations on July 15, 2025[1] - Changcheng Military Industry (601606) announced abnormal fluctuations on July 15, 2025[1] - ST Yanzhen (603389) reported abnormal fluctuations on July 16, 2025[1] Other Notable Announcements - ST Ya Zhen (000627) reported significant fluctuations with a value of 7189 on July 16, 2025[3] - Guosheng Technology (603778) reported fluctuations with a value of 3370 on July 15, 2025[3] - ST Xin Chao (600777) reported fluctuations with a value of 1008 on July 11, 2025[3]