证 券 研 究 报 告 【债券周报】 2026 年依然是强流动性支撑的年份 ——可转债周报 20251209 ❖ 权益市场有呵护政策也有储备增量资金，预期资金流动性充裕。自 2024 年下 半年以来，资本市场呵护政策频出，权益市场各大宽基指数稳健增长，市场信 心逐渐积累。对应的则是公募基金管理规模快速增长，截至 2025Q2 末已较去 年同期增长 10.65%。此外，相对稳健的保险资金在 2025H2 也开始显著增加对 股票市场的投资，其中财险和人身险对股票投资额由 2024 年末的 2.43 万亿元 增加至 3.62 万亿元。 债券研究 展望 2026 年，一方面，险资（财险+人身险）可运用资金余额中股票投资仅占 10%；两融余额虽然看似已增长较多，但从担保比例及成交额占比看依然在相 对中性的区间内。另一方面，12 月 5 日国家金融监督管理总局发布通知，下 调保险公司相关业务风险因子；12 月 6 日，证监会主席吴清表示监管层面将 强化分类监管，对优质机构优化评价指标、适度拓宽资本空间与杠杆上限。监 管机构持续释放宽松信号且市场剩余增量资金也充足，预期 2026 年权益市场 流动性将延续强支撑。 ❖ 股债 ...

Overview - The report highlights that the convertible bond market experienced significant growth in 2025, with the China Convertible Bond Index rising by 17.87%, driven primarily by price parity and valuation support [2][12] - The current environment presents challenges for convertible bonds, with overall cost-effectiveness declining and valuation at historical highs, leading to increased investment difficulty [2][12] Section 1: 2025 Convertible Bond Review - The convertible bond market saw a strong performance in early 2025 due to ample liquidity and moderate economic recovery, with price parity being the main driver [12] - The market faced a pullback in March-April due to negative CPI and external disturbances, but recovered from May to September as fundamental expectations improved [12] - The overall market for convertible bonds is now in a "deep water zone," with a significant decline in supply and an increase in the median price to 132 yuan, indicating a high premium environment [2][12][27] Section 2: 2026 Stock Market Outlook - The report anticipates a turning point in the stock market, with corporate earnings expected to recover and long-term capital inflows continuing to support the equity market [41][45] - The M1 money supply has shown a significant turning point since September 2024, indicating improved liquidity conditions that are expected to benefit the stock market [46][52] Section 3: 2026 Convertible Bond Outlook and Allocation Strategy - The report suggests a dynamic adjustment of positions in convertible bonds based on market cycles, emphasizing a focus on index-based allocations [2][56] - The strategy indicates that the best accumulation window for convertible bonds is during the latter half of a market downturn and the early half of an uptrend [2][56] - The report highlights the importance of sector rotation, suggesting that constructing an equal-weighted index can effectively capture rotation opportunities [2][67]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The report focuses on the "Fixed Income +" series, specifically the Stock - Bond Constant ETF. It aims to achieve a balanced risk - return solution through a fixed stock - bond ratio, automated rebalancing, and precise tracking of relevant indices [1][11]. - The product combines the growth potential of stocks and the stability of bonds, with a core goal of balancing risk and return, offering returns better than pure - bond products and lower volatility than pure - stock products [1][12]. - Domestic market conditions, including policy support, improved index supply, and overseas experience, provide a basis for the large - scale development of this product [34][35]. - The Stock - Bond Constant ETF will impact the bond market and the "Fixed Income +" fund industry, promoting a more diversified competition pattern [32][33]. 3. Summary by Directory 3.1 Definition and Objectives - The Stock - Bond Constant ETF is a passive "Fixed Income +" tool that maintains a preset asset allocation ratio through an automated rebalancing mechanism, aiming to achieve risk - return equilibrium and improve the Sharpe ratio [1][12]. 3.2 Asset Composition and Proportion Rules - The underlying assets consist of stock ETFs, bond ETFs, and a small amount of cash - like assets, covering multiple risk levels with preset fixed ratios [1][13]. - The stock - bond allocation ratio is determined by the target index, and currently, the indices are mainly issued by the China Securities Index Company and the Shanghai Stock Exchange [13]. 3.3 Rebalancing Trigger Mechanisms - Regular rebalancing is the most common mechanism, usually carried out quarterly or semi - annually, with a fixed frequency specified in the fund contract [14][15]. - Threshold rebalancing is a more flexible mechanism. When the actual weight of stocks or bonds deviates from the preset ratio by a certain threshold (e.g., ±5%), a temporary rebalancing operation is triggered [15]. 3.4 Reference Index and Market Foundation - The China Securities Index Company has launched 40 stock - bond constant indices since 2012, and the Shanghai Stock Exchange launched 3 such indices in 2024, providing a solid foundation for the development of Stock - Bond Constant ETFs [16]. - The index maintenance adopts a "regular + temporary" dual - track management model, with quarterly rebalancing and emergency adjustments for special events [18][20]. - The index calculation follows the "constant - ratio chained weighting" framework [20]. 3.5 Overseas Experience and Reference 3.5.1 Product System - BlackRock's iShares Core Allocation series, launched in 2008, offers four types of products based on risk levels: conservative, moderate, balanced, and aggressive, covering a full - spectrum of risk profiles [21][22]. 3.5.2 Operation Mode - The products use the ETF - FOF model, holding multiple core stock and bond ETFs under BlackRock, enabling global asset allocation [23]. 3.5.3 Performance - The return and volatility characteristics of the four ETFs are determined by their stock - bond ratios. The aggressive ETF with a high stock allocation has the highest long - term return but greater volatility, while the conservative ETF with a high bond allocation has a more stable performance [26]. 3.5.4 Scale Change - Market preferences have led to different trends in the scale of the four ETFs. Initially, the balanced and moderate ETFs had higher growth rates, but after 2023, the balanced and aggressive ETFs rebounded, while the moderate and conservative ETFs declined [27]. 3.6 Market Reshaping by Stock - Bond Constant ETFs 3.6.1 Core Driving Factors - Policy support from the CSRC and the upcoming new public - offering sales fee regulations provide policy and potential capital for the development of Stock - Bond Constant ETFs [31]. - The launch of stock - bond constant indices by the China Securities Index Company provides the underlying targets for product issuance [31]. - The low - level operation of the bond market has created a demand for products that can balance risk and enhance returns, making Stock - Bond Constant ETFs a suitable solution [31]. 3.6.2 Impact on the Bond Market - Stock - Bond Constant ETFs will create a regular allocation demand for specific bond varieties, and may provide temporary price support during the initial construction phase [32]. - The rebalancing mechanism can play a reverse - adjustment role, reducing irrational market fluctuations and acting as a market stabilizer [32]. 3.6.3 Impact on "Fixed Income +" Funds - The substitution effect will divert funds from investors seeking standardized and stable returns, as Stock - Bond Constant ETFs have clear risk - return characteristics and no style - drift risk [33]. - The industry - forcing effect will push active "Fixed Income +" funds to improve their timing, bond - selection, and stock - selection abilities and transform into a more differentiated competition model [33]. 3.7 Summary - Stock - Bond Constant ETFs offer a balanced risk - return solution with clear positioning, standardized operations, and low costs, meeting diverse investment needs [34]. - The domestic market has the basic conditions for large - scale development, and overseas experience provides important references [34][35]. - These ETFs will have a significant impact on the bond market and the "Fixed Income +" fund industry, and are expected to become core tools for asset allocation in the future [35].

Report Industry Investment Rating No information about the report industry investment rating is provided in the given content. Core Viewpoints - The debt - equity constant ETF is a passive "fixed - income +" tool that aims to achieve a risk - return balance, with a clear risk - return profile, standardized operation rules, and low costs, making it suitable for diverse investment needs [1][11]. - Driven by policies, index development, and market demand, the domestic market has the basic conditions for the large - scale development of such products, and overseas experience provides important references [31][35]. - The debt - equity constant ETF will have a dual impact on the bond market and will also cause substitution and forcing effects on "fixed - income +" funds [3][32][33]. Summary by Relevant Catalogs Concept Definition - **Definition and Goal**: The debt - equity constant ETF is a passive ETF product that maintains a preset asset allocation ratio through an automated rebalancing mechanism to track the "debt - equity constant ratio index", aiming to achieve a risk - return balance and improve the Sharpe ratio [12]. - **Asset Composition and Proportion Rules**: It belongs to "multi - asset ETF" or "ETF - FOF", with underlying assets including stock ETFs and bond ETFs in preset fixed ratios, covering multiple risk levels. The ratios are specified by the tracked index, and currently, the domestic indexes are mainly issued by China Securities Index Co., Ltd. and the Shanghai Stock Exchange [13]. - **Rebalancing Trigger Mechanism**: There are two main types: regular rebalancing, usually carried out quarterly or semi - annually; and threshold rebalancing, which is triggered when the actual weight of stocks or bonds deviates from the preset ratio by a certain threshold [14][15]. - **Reference Index and Market Foundation**: China Securities Index Co., Ltd. has launched 40 debt - equity constant indexes since 2012, and the Shanghai Stock Exchange launched 3 in 2024. The indexes are managed by a "regular + temporary" dual - track system and calculated using the "constant ratio chain - weighted" framework [16][18][20]. Overseas Experience and Reference - **Product System**: BlackRock's iShares Core Allocation series, launched in 2008, offers four types of products based on risk levels: conservative, moderate, balanced, and aggressive, covering a full risk spectrum [21][22]. - **Operation Mode**: The products adopt the ETF - FOF model, holding multiple core stock ETFs and bond ETFs under BlackRock, enabling global asset allocation [23]. - **Performance**: The return and volatility characteristics of the four ETFs are determined by the debt - equity ratio. The aggressive ETF with a high stock ratio has the highest long - term return but greater volatility, while the ETF with a high bond ratio has a more stable performance [26]. - **Scale Change**: Market preference has led to different trends in the scale of the four ETFs. Initially, the balanced and moderate ETFs had higher growth rates, but after 2023, the scale of the balanced and aggressive ETFs rebounded, while that of the moderate and conservative ETFs declined [27]. Debt - Equity Constant ETF Reshaping the Market Landscape - **Core Driving Factors**: Policy support from the CSRC and the upcoming new regulations on public fund sales fees provide policy and capital basis; the launch of debt - equity constant indexes by China Securities Index Co., Ltd. provides underlying targets; and the current low - running bond market creates a demand for debt - equity constant ETFs [31]. - **Impact on the Bond Market**: It creates a regular allocation demand for specific bond varieties, providing price support during the initial establishment phase. The rebalancing mechanism can play a reverse - adjustment role, reducing market irrational fluctuations [32]. - **Impact on "Fixed - Income +" Funds**: It has a substitution effect by diverting funds seeking standardized and stable returns and a forcing effect by pushing active "fixed - income +" funds to transform into differentiated competition [33]. - **Summary**: The debt - equity constant ETF has the potential to become a core tool in asset allocation, promoting the development of a differentiated competition pattern in the "fixed - income +" field [34][35].

Group 1 - The core viewpoint of the article emphasizes the potential launch of multi-asset ETFs in China, driven by the need for enhanced index investment and asset allocation functions in the capital market [1] - As of the end of Q3 2025, the domestic ETF market has grown to over 5.6 trillion yuan, marking an increase of nearly 1.9 trillion yuan (+51%) compared to the end of 2024, indicating its importance as a tool for institutional investors [1] - The article highlights the necessity for diversified asset allocation strategies in a low-interest-rate environment, leading asset management institutions to explore new investment boundaries [2] Group 2 - The shift in the structure of bond funds is noted, with a decrease of 844.8 billion yuan in actively managed pure bond funds and an increase of 757.7 billion yuan in mixed bond funds, reflecting a market demand for low-volatility and low-fee index products [2] - Historical experiences from overseas show that stock-bond mixed strategies have evolved into two main forms: constant proportion and dynamic adjustment, with the former maintaining a fixed ratio and the latter adjusting based on market signals [3] - The introduction of a series of multi-asset indices by China Securities since 2024 aims to meet the innovative demand for multi-asset ETFs, with a range of stock-bond combinations and varying weightings [4]

Report's Core Questions - The report aims to address the impact of the issuance of fixed stock-bond ETFs on the bond market [4][6][11] Group 1: Characteristics of Fixed Stock-Bond Index - **Index Composition**: The fixed stock-bond index combines stocks and bonds. It has various stock-bond ratios and is linked to different underlying indices. The stock side mainly includes large-cap dividend and low-volatility indices, while the bond side focuses on interest rate bonds, emphasizing low volatility and stability [6][11][12] - **Core Mechanism**: The index performs passive rebalancing regularly to maintain the preset stock-bond ratio. This mechanism helps prevent chasing up and selling down and acts as a stabilizer in extreme market fluctuations [6][15] Group 2: Impact on the Bond Market - **Incremental Funds**: Fixed stock-bond ETFs are expected to bring incremental allocation funds to interest rate bonds and high-grade credit bonds [6][17][19] - **Market Behavior**: Through rebalancing operations, these ETFs can smooth out large fluctuations in the bond market and reduce the extremity of the stock-bond seesaw effect. However, the concentrated rebalancing of the index may cause short-term pulse impacts [6][17][19] Group 3: Variables Affecting the Degree of Impact - **Actual Product Scale**: In the short term, the scale of fixed stock-bond ETFs may be limited, and their impact on the stock and bond markets may gradually emerge as market participation increases and a scale trend forms [6][19] - **Investor Redemption Behavior**: Concentrated redemptions during large market fluctuations may force funds to reduce their stock and bond holdings simultaneously, amplifying market volatility [6][19]

Report Industry Investment Rating No information provided in the content. Core Viewpoints of the Report - Policy support has significantly boosted the equity and convertible bond markets. The Shanghai Composite Index and the Wind Micro - cap Stock Index have reached new phased highs, but the style rotation is fast, with the technology and dividend sectors taking turns. Amid the intertwining of Sino - US tariff issues and domestic policy expectations, the equity market is highly volatile, but its downside risk is generally controllable. The convertible bond market is trending optimistically. In the short term, the impetus for the convertible bond market comes from the liability side, with the return of net inflows into convertible bond ETFs and the potential increased demand from the upcoming stock - bond constant ETFs. After a period of retracement and consolidation, a new round of market upswing is expected to start. [3][5] Section Summaries 1. Weekly Outlook - Policy support has strongly influenced the equity and convertible bond markets. The Shanghai Composite Index and the Wind Micro - cap Stock Index have hit new phased highs. The equity market is highly volatile due to Sino - US tariff and domestic policy expectations, but its downside risk is controllable. The convertible bond market is optimistic, and its short - term momentum comes from the liability side, such as the return of net inflows into convertible bond ETFs and potential demand from stock - bond constant ETFs. [3][5] 2. Convertible Bond Valuation - During the Fourth Plenary Session of the 20th CPC Central Committee, risk appetite was resilient, and the 100 - yuan valuation rose to around 36%. High - rated large - cap convertible bonds showed stronger valuation performance. The overall market's 100 - yuan premium rate was 35.7%, up 0.6% from the previous week, and its percentile since 2017 was 93.9%. High - rated convertible bonds had a larger increase in valuation than low - rated ones. - The conversion premium rate and the bottom - line premium rate increased across most parity ranges. The low - parity range below 80 yuan and the 110 - 120 yuan parity range showed relatively strong valuation performance, while the high - parity range above 140 yuan saw a slight decline. - The median price of convertible bonds was 131.80 yuan, up 2.07 yuan from the previous week, and the yield to maturity was - 6.47%, down 0.01%. Their percentile levels since 2017 were 99.20 and 0.60 respectively. [4][6][10] 3. Clause Statistics 3.1 Redemption - This week, Tongcheng Convertible Bond announced redemption, while Fuchun, Youfa, and Zhonghuan Zhuan 2 Convertible Bonds announced non - redemption, with a forced - redemption rate of 25%. There are currently 18 convertible bonds that have announced forced or maturity redemptions but have not yet delisted, with a potential conversion or maturity balance of 4.9 billion yuan. There are 34 convertible bonds currently in the redemption process, and 12 are expected to meet the redemption conditions next week. [4][13][16] 3.2 Downward Revision - This week, Lanfan Convertible Bond proposed a downward revision. As of now, 107 convertible bonds are in the non - downward - revision period, 23 cannot be downward - revised due to net - asset constraints, 2 have triggered the downward - revision condition but the stock price is still below the trigger price and no announcement has been made, 32 are accumulating days for downward revision, and 1 has issued a board - meeting proposal for downward revision but has not yet held a shareholders' meeting. [4][18] 3.3 Put Option - This week, Baocai Convertible Bond issued a conditional put - option announcement. As of now, 2 convertible bonds have issued put - option announcements, and 5 are accumulating days to trigger the put - option. Among them, 1 proposed a downward revision, 1 has triggered the downward - revision condition, 1 is accumulating days for downward revision, and 2 are in the non - downward - revision period. [4][22] 4. Primary Market Issuance - There were no new convertible bond issuances this week. Jin 25, Funeng, and Jinlang Zhuan 02 Convertible Bonds have been issued but not yet listed. Jin 25 Convertible Bond is scheduled to list on October 27, 2025. As of now, there are 7 convertible bonds awaiting registration, with a total issuance scale of 6.7 billion yuan, and 6 awaiting listing - committee approval, with a total issuance scale of 3.6 billion yuan. [4][26] 5. Appendix - The CSI Convertible Bond Index rose 1.47% this week. The technology and advanced manufacturing sectors showed significant recovery. Most industries saw gains, with the national defense and military industry, electronics, and computer sectors leading the way. [28][33]

1. Report Industry Investment Rating No relevant information provided. 2. Core Views of the Report - Policy support has significantly boosted the equity and convertible bond markets. The Shanghai Composite Index and the Wind Micro - cap Stock Index have reached new phased highs, but the style rotation is rapid, with technology and dividend sectors taking turns. Amid the intertwining of Sino - US tariff issues and domestic policy expectations, the equity market is highly volatile, yet its downside risk is controllable. The convertible bond market is expected to be optimistic, and in the short - term, its initiative comes from the liability side. With the return of net inflows into convertible bond ETFs and the potential launch of stock - bond constant ETFs, the convertible bond market may start a new round of rally after a retracement [3][6]. 3. Summary by Relevant Catalogs 3.1 Week's View and Outlook - Policy has significantly boosted the equity and convertible bond markets. The Shanghai Composite Index and the Wind Micro - cap Stock Index hit new phased highs, with a fast - paced style rotation between technology and dividend sectors. The equity market is volatile due to Sino - US tariffs and domestic policy expectations, but its downside risk is controllable. The convertible bond market is likely to be positive, and in the short - term, the liability side is driving it. Net inflows into convertible bond ETFs have resumed, and the upcoming stock - bond constant ETFs may increase demand for convertible bonds. Attention should be paid to the start of a new round of market after a retracement [3][6]. 3.2 Convertible Bond Valuation - During the week of the Fourth Plenary Session of the 20th CPC Central Committee, risk preference was resilient, and the 100 - yuan valuation rose to around 36%. High - grade large - cap convertible bonds showed stronger valuation performance. As of the latest data, the 100 - yuan premium rate of the whole - market convertible bonds was 35.7%, up 0.6% from the previous week, and the latest quantile was at the 93.9% percentile since 2017. High - grade convertible bonds had a larger increase in valuation than low - grade ones. Compared with last week, the conversion premium rate and the bottom - support premium rate in each parity range mainly increased. The valuation performance was relatively strong in the low - parity range below 80 yuan and the 110 - 120 yuan parity range, while it slightly declined in the high - parity range above 140 yuan. The median price and the yield to maturity of convertible bonds were reported at 131.80 yuan and - 6.47% respectively, up 2.07 yuan and down 0.01% from the previous week, and their quantile levels were at the 99.20 and 0.60 percentiles since 2017 [5][7][12]. 3.3 Clause Tracking 3.3.1 Redemption - During the week, Tongcheng Convertible Bond announced redemption, while Fuchun Convertible Bond, Youfa Convertible Bond, and Zhonghuan Convertible Bond 2 announced non - redemption, with a forced - redemption rate of 25%. There were 18 convertible bonds that had issued forced - redemption or maturity - redemption announcements but had not yet delisted. The potential conversion or maturity balance of the forced - redeemed and matured convertible bonds among the non - delisted ones was 4.9 billion yuan. Currently, there were 34 convertible bonds in the redemption process, and 12 were expected to meet the redemption conditions next week, which should be closely monitored [5][15][18]. 3.3.2 Downward Revision - During the week, Lanfan Convertible Bond proposed a downward revision. As of the latest data, 107 convertible bonds were in the non - downward - revision period, 23 could not be downward - revised due to net - asset constraints, 2 had triggered the condition and the stock price was still below the downward - revision trigger price but no announcement had been made, 32 were accumulating days for downward revision, and 1 had issued a board - meeting plan for downward revision but had not yet held a general meeting of shareholders [20]. 3.3.3 Put Option - During the week, Baolai Convertible Bond issued a conditional put - option announcement. As of the latest data, 2 convertible bonds had issued put - option announcements, and 5 were accumulating days to trigger the put - option. Among them, 1 proposed a downward revision, 1 had triggered the downward - revision condition, 1 was accumulating days for downward revision, and 2 were in the non - downward - revision period [24]. 3.4 Primary Issuance - There was no new issuance of convertible bonds during the week. Jin 25 Convertible Bond, Funeng Convertible Bond, and Jinlang Convertible Bond 02 had been issued but not yet listed. According to the latest announcement, Jin 25 Convertible Bond will be listed next week (October 27, 2025). As of the latest data, there were 7 convertible bonds awaiting registration approval, with a total issuance scale of 6.7 billion yuan, and 6 convertible bonds that had passed the listing committee review, with a total issuance scale of 3.6 billion yuan [27].