债 券 周 评 相关研究 证券分析师 黄伟平 A0230524110002 huangwp@swsresearch.com 王明路 A0230525060003 wangml@swsresearch.com 徐亚 A0230524060002 xuya@swsresearch.com 联系人 徐亚 A0230524060002 xuya@swsresearch.com 2026 年 02 月 28 日 如何理解高平价转债主动压估值？ ——转债周度跟踪 20260227 ⚫ 1. 周观点及展望 ⚫ 开年 A 股市场迎来开门红，但转债以微跌收场，转债表现远逊于对应正股，主要是由高 平价转债大幅压估值导致。140 元以上平价区间中，估值压缩幅度的较大主要有两类，一 是由强赎进度导致的估值压缩，比如汇成、睿创、恒帅、微导、中宠转 2、振华、永 02 等，压缩幅度也相对偏大，但即使全部归于强赎预期，扰动幅度也明显大于此前；二是新 券和次新券估值主动压缩，比如鼎龙、路维、华辰、甬矽等。此外其他 140 元以上平价 转债估值同样普遍压缩，仅个别超预期不强赎转债估值回升。因此本轮高平价转债估值压 缩具有普遍性，强赎进度转债、 ...

分析师 1: 各位投资者大家晚上好，欢迎大家参加华创固收团队的周观点交流会。那今天也是大年初 八，是我们在马年的第一次的汇报。首先也是给各位投资者拜个晚年，祝大家在马年马踏 星河，所愿皆得。那今天的话，我们主要还是开年，春节之后，给大家汇报一下我们对于 债券市场，利率、信用、转债三个板块的看法，也帮大家梳理一下，就是在这个节中，市 场到底有哪些值得关注的信息。那么开年我们需要关注哪些对债券市场有影响的因素。从 今天的这个盘面来看，债券市场还是表现出了一定的这个股债翘板的影响。 但是，这个在节前的最后一周吧，我觉得市场表现还是比较符合我们此前在 2 月份的推荐。 因为时间也比较久，所以简单给大家回顾一下我们在这个 1 月底的 2 月策略汇报里面，给 大家这个推荐的观点是，2 月份可以去相对积极的布局下半布局上半年的债券市场的一些 交易机会。倒不是说 2 月份我们就会看到比较大的行情的启动，而是从季节性的表现来看， 3~7 月份其实是债券市场全年胜率比较高的一个时间窗口。那么在没有明显的利空扰动， 2 月份收率上行风险可控的一个情况下，我们拿到一定的票息，并且去为三、四月份可能 带来的交易行情做准备，可能是一个比 ...

证券分析师 债 券 周 评 相关研究 黄伟平 A0230524110002 huangwp@swsresearch.com 王明路 A0230525060003 wangml@swsresearch.com 徐亚 A0230524060002 xuya@swsresearch.com 联系人 徐亚 A0230524060002 xuya@swsresearch.com 2026 年 02 月 23 日 关税再生波澜，以不变应万变 ——转债周度跟踪 20260213 ⚫ 1. 周观点及展望 ⚫ 节前最后一周转债市场情绪企稳，前期表现较弱的科技制造板块领涨，同时高价、小盘、 长久期转债依旧占优，但整体偏向弱修复，市场仍处宽幅震荡走势中。结构上重点关注两 点，一是百润等超低平价转债超预期下修，下修预期呈现扩散特征，60 元以下低平价转 债估值回升幅度较大，带动 120-130 元转债价格区间表现相对较强；二是权益"慢牛" 预期下，转债市场估值弹性主要由新券次新券和强赎转债决定，分别受科技股走势、强赎 率等因素影响，近期偏低的强赎率形成一定利好，边际上需密切关注上述因素变化。春节 假期期间港股市场整体表现一般，特朗普 ...

Group 1: Convertible Bonds Strategy - The report suggests that in the current environment of a slow bull market for equities and deepening supply-demand contradictions in convertible bonds, the demand for fixed income plus allocation is expected to continue driving up the prices and valuations of convertible bonds [3] - It recommends maintaining a non-typical barbell allocation strategy, focusing on technology growth sectors driven by policy support and industrial innovation, while also incorporating low-cycle chemical varieties to respond to potential upward movements or pullbacks in the equity market [3] - The report updates its portfolio by removing two convertible bonds, Bo 23 and Yuguang convertible bonds, and adding Alara and Hebang convertible bonds to enhance defensive positions while awaiting excess returns from industry recovery [3] Group 2: Company Analysis - Saint Bella - The report forecasts that Saint Bella (02508.HK) will achieve adjusted net profits of 118 million, 200 million, and 298 million yuan for 2025-2027, representing year-on-year growth of 180.2%, 69.1%, and 48.9% respectively [5] - The company is in a rapid expansion phase and has completed its transformation from "service + retail" to "service + retail + AI," positioning itself as a rare high-end care group and a provider of unique care scenarios for training AI and home robots [5] - The report initiates coverage with a "buy" rating due to the company's strong growth potential and unique market positioning [5] Group 3: Company Analysis - Tian Shun Wind Power - Tian Shun Wind Power (002531.SZ) announced a domestic marine engineering order worth 870 million yuan, indicating a potential turnaround in its fundamentals [6] - The company is expected to accelerate its overseas orders as its German base's core equipment is being deployed, with a strong domestic market share in offshore wind [6] - Profit forecasts estimate the company will achieve net profits of -200 million, 620 million, and 1.51 billion yuan from 2025 to 2027, with corresponding PE valuations of 28 and 11.5 times for 2026 and 2027, respectively, maintaining a "buy" rating [6]

Group 1: Domestic News - The Shanghai and Shenzhen Stock Exchanges have launched a package of measures to optimize refinancing, aimed at enhancing flexibility and better serving technological innovation and new productivity development. The measures emphasize support for high-quality listed companies and clarify the refinancing interval requirements for unprofitable innovative enterprises [2] - The Ministry of Finance and other departments announced tax incentives for cross-border e-commerce export return goods, exempting import duties and VAT for goods returned within six months due to unsold or returned reasons, effective from January 1, 2026, to December 31, 2027. This policy aims to reduce costs for cross-border e-commerce enterprises and support the development of new foreign trade formats [3] Group 2: International News - U.S. Treasury Secretary Basant indicated that the Federal Reserve may not quickly reduce its balance sheet, suggesting a cautious and observant approach to asset management. He mentioned that it could take up to a year for the Fed to decide on its balance sheet adjustments, alleviating concerns about rapid monetary tightening impacting market liquidity [4] Group 3: Bond Market Dynamics - On February 9, the bond market showed a warm trend, with the yield on the 10-year government bond falling to 1.8000%, down 0.20 basis points. The 10-year policy bank bond yield also decreased to 1.9210%, down 1.25 basis points [9][10] - The secondary market for credit bonds saw significant price deviations, with some bonds experiencing price changes exceeding 10%. For instance, "H9 Long Control 01" fell over 16%, while "H1 Vanke 04" rose over 13% [11] Group 4: Convertible Bonds - The convertible bond market followed the equity market's upward trend, with major indices rising. The China Convertible Bond Index, Shanghai Convertible Bond Index, and Shenzhen Convertible Bond Index increased by 1.25%, 1.16%, and 1.42%, respectively. The trading volume in the convertible bond market was 857.98 billion, down 29.57 billion from the previous trading day [21][22]

Group 1 - The overall equity market experienced adjustments, with the Shanghai Composite Index declining by 1.27% to 4065.58 points, and the Shenzhen Component Index falling by 2.11% to 13906.73 points [8][10] - The convertible bond market showed weak fluctuations, with the China Convertible Bond Index rising by 0.05% and the Shanghai Convertible Bond Index decreasing by 0.36% [15][16] - The bond market saw most yields rise, with the 1-year government bond yield increasing by 2.08 basis points, while the 3-year, 5-year, 7-year, and 10-year yields decreased [18][19] Group 2 - The commodity futures market weakened overall, with significant declines in silver prices, which dropped by 9.06%, while gold prices increased by 1.65% [9][28] - The market for agricultural products showed mixed results, with CBOT soybeans rising by 4.75% and corn increasing by 0.58% [9][10] - The overall commodity index experienced a decline of 4.49%, with precious metals leading the drop at 17.11% [27][30]

Group 1: Macro and Strategy - The macroeconomic report indicates a mixed economic performance in January, with emerging industries showing strength while manufacturing PMI declined, reflecting a structural optimization trend in the economy [9][10] - February has shown signs of improvement across various economic activities, with production and consumption rebounding, supported by increased logistics and consumer traffic [10] - The real estate market is stabilizing, with new home transactions recovering from lows and a decrease in second-hand home listings indicating changing market expectations [10] Group 2: Fixed Income and REITs - The convertible bond market experienced a rapid recovery after valuation compression, with over half of the convertible bonds rising in price [12][13] - The public REITs market saw a decline of 0.9% in the index, with commercial real estate REITs continuing to expand despite overall market downturns [15][16] - The average weekly return for different types of REITs varied, with transportation and ecological REITs showing smaller declines compared to others [16] Group 3: Industry Insights - The fluorochemical industry reported significant growth in January 2026, with prices for fluorinated polymers continuing to rise [3] - The oil and gas sector saw a substantial increase in prices due to geopolitical tensions, impacting overall market dynamics [3] - The lithium battery supply chain is advancing rapidly, with companies like CATL accelerating sodium battery applications in passenger vehicles [3] Group 4: Overseas Market Analysis - The U.S. stock market experienced a pullback, particularly in the software and semiconductor sectors, with significant capital outflows [29][32] - The Hong Kong market also faced a downturn, with consumer and industrial sectors performing relatively better amidst overall market declines [29][32] - The strategy indices in the Hong Kong market are becoming essential tools for asset allocation and risk management, particularly in volatile environments [29][30]

Core Viewpoint - The report from Huatai Fixed Income indicates that the bond market is likely to experience an upward trend before the Spring Festival due to a stable funding environment and a "hold bonds for coupon" mentality, while post-festival market performance is expected to be more differentiated [1] Group 1: Market Trends - The Spring Festival calendar effect suggests a higher probability of bond market gains before the festival, with limited increases in positions due to high institutional holdings [1] - The basic economic fundamentals are significantly influenced by base effects, with policy signals and technology narratives being key areas of focus [1] Group 2: Short-term Outlook - Short-term fluctuations in commodities and stock markets remain unsettled, with risk aversion combined with seasonal patterns of the Spring Festival leading to stable bond market performance before the festival [1] - Mid to short-duration coupon-bearing bonds are expected to outperform, although trading momentum is insufficient [1] Group 3: Post-Festival Expectations - The bond market's trajectory after the festival will depend on economic fundamentals, policy signals, and stock market performance, with a forecast of narrow fluctuations [1] - The attractiveness of the 10-year government bond at 1.8% is decreasing, but risks remain limited [1] Group 4: Investment Opportunities - There may be structural opportunities in ultra-long bonds, perpetual bonds, and mid to short-term varieties, while the experience of convertible bond investments is deteriorating, leading to smaller speculative opportunities [1]

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - Overseas asset fluctuations have been repaired. Although the fourth - quarter reports of tech giants show that cloud - computing revenue and 2026 capex expenditure guidance exceed expectations, market divergence is rising, and the previous structured market is undergoing "destructuring". At least in the first half of 2026, tech growth will maintain its momentum due to factors such as the decrease in the expectation of the Fed's marginal monetary policy easing and the potential IPO of OpenAI in the third or fourth quarter of 2026 [1][37]. - In the domestic equity market, defensive sectors like food and beverage performed well last week, followed by pro - cyclical sectors, while tech growth sectors generally showed high volatility. For convertible bonds, due to the priority of winning rate over odds, high - volatility targets with tech themes and mostly being new - issue targets make it difficult to control drawdowns and increase the difficulty of speculation. Before the holiday, it is recommended to balance risks. High - position funds should actively switch from high - to low - risk assets, and low - position funds should seize the opportunity to invest in targets with clear performance inflection points and high visibility of upward trends in 2026 [1][37][39]. 3. Summary by Relevant Catalogs 3.1. Weekly Market Review 3.1.1. Overall Decline in the Equity Market - From February 2nd to February 6th, the equity market declined overall. The Shanghai Composite Index fell 1.27% to 4065.58 points, the Shenzhen Component Index dropped 2.11% to 13906.73 points, the ChiNext Index decreased 3.28% to 3236.46 points, and the CSI 300 fell 1.33% to 4643.60 points. The average daily trading volume of the two markets decreased by 21.36% week - on - week to 23879.96 billion yuan [6][10]. - Among the 31 Shenwan primary industries, 16 industries closed up, with 3 industries rising more than 2%. Food and beverage, beauty care, power equipment, transportation, and banking led the gains, rising 4.31%, 3.69%, 2.20%, 1.90%, and 1.70% respectively. Non - ferrous metals, communication, electronics, steel, and computer led the losses, with declines of - 8.51%, - 6.95%, - 5.23%, - 3.35%, and - 3.27% respectively [16]. 3.1.2. Overall Rise in the Convertible Bond Market - From February 2nd to February 6th, the CSI Convertible Bond Index rose 0.05% to 520.79 points. Among the 29 Shenwan primary industries, 22 industries closed up, with 2 industries rising more than 2%. Social services, power equipment, transportation, national defense and military industry, and petroleum and petrochemicals led the gains, rising 4.95%, 2.95%, 1.85%, 1.76%, and 1.42% respectively. Computer, electronics, communication, non - bank finance, and non - ferrous metals led the losses, falling 4.85%, 3.06%, 2.22%, 2.13%, and 1.94% respectively [19]. - The average daily trading volume of the convertible bond market was 902.09 billion yuan, a significant decrease of 30.87 billion yuan, with a month - on - month change of - 3.31%. The top ten convertible bonds in terms of trading volume were Shangtai Convertible Bond, Naipu Convertible Bond 02, Dongshi Convertible Bond, Yanpai Convertible Bond, Shuangliang Convertible Bond, Jize Convertible Bond, Yongji Convertible Bond, Jiemei Convertible Bond, Tairui Convertible Bond, and Jialian Convertible Bond. The average trading volume of the top ten convertible bonds reached 116.84 billion yuan, and the trading volume of the top - ranked bond was 335.59 billion yuan [19]. - Approximately 54.71% of individual convertible bonds rose, about 21.73% of them had a gain in the range of 0 - 1%, and 17.54% of them had a gain of more than 2% [19]. - The overall market conversion premium rate increased, with the average daily conversion premium rate this week being 44.31%, a 1.56 - percentage - point increase from last week. By price range, except for the convertible bonds in the price range below 90 yuan, the average daily conversion premium rate quantiles of convertible bonds in other price ranges narrowed. The narrowing amplitude was the largest in the 110 - 120 yuan price range, reaching 30.31 percentage points. By parity range, except for the convertible bonds in the parity range below 90 yuan, the average daily conversion premium rates of convertible bonds in other parity ranges narrowed, with the largest narrowing amplitude of 15.41 percentage points in the 110 - 120 yuan parity range [24]. - In terms of the premium rate changes of each industry, the conversion premium rates of 12 industries widened, with 3 industries having a widening amplitude of more than 2 percentage points. Social services, household appliances, food and beverage, media, and textile and apparel led the widening, with amplitudes of 9.03, 3.54, 2.90, 1.59, and 1.27 percentage points respectively. Building materials, communication, agriculture, forestry, animal husbandry and fishery, non - bank finance, and electronics led the narrowing, with amplitudes of - 14.89, - 14.64, - 5.78, - 4.62, and - 3.81 percentage points respectively [28]. - In terms of conversion parity, the parity of 4 industries increased, with 1 industry having a widening amplitude of more than 2%. Communication, transportation, banking, and social services led the widening, with amplitudes of 16.51%, 1.19%, 0.61%, and 0.13% respectively. Non - bank finance, non - ferrous metals, building materials, automobiles, and electronics led the narrowing, with amplitudes of - 29.31%, - 15.94%, - 13.22%, - 11.74%, and - 10.64% respectively [30]. 3.1.3. Comparison of Stock and Bond Market Sentiments - From February 2nd to February 6th, the weekly weighted average change of the convertible bond market was negative, and the median was positive. The weekly weighted average change of the underlying stock market was positive, and the median was negative. In terms of trading volume, the trading volume of the convertible bond market decreased by 4.05% month - on - month and was at the 82.40% quantile level since 2022. The trading volume of the underlying stock market decreased by 22.67% month - on - month and was at the 88.20% quantile level since 2022. Both the underlying stocks and convertible bonds had a significant reduction in trading volume, and the underlying stock trading volume was at a higher quantile level. In terms of the proportion of rising and falling stocks and bonds, about 60.00% of convertible bonds closed up, and about 43.85% of underlying stocks closed up. About 64.62% of convertible bonds had a larger change than the underlying stocks. In general, the trading sentiment of the convertible bond market was better this week [34]. 3.2. Outlook and Investment Strategy - Overseas asset fluctuations have been repaired. Although the fourth - quarter reports of tech giants show that cloud - computing revenue and 2026 capex expenditure guidance exceed expectations, market divergence is rising, and the previous structured market is undergoing "destructuring". At least in the first half of 2026, tech growth will maintain its momentum due to factors such as the decrease in the expectation of the Fed's marginal monetary policy easing and the potential IPO of OpenAI in the third or fourth quarter of 2026 [1][37]. - In the domestic equity market, defensive sectors like food and beverage performed well last week, followed by pro - cyclical sectors, while tech growth sectors generally showed high volatility. For convertible bonds, due to the priority of winning rate over odds, high - volatility targets with tech themes and mostly being new - issue targets make it difficult to control drawdowns and increase the difficulty of speculation. Before the holiday, it is recommended to balance risks. High - position funds should actively switch from high - to low - risk assets, and low - position funds should seize the opportunity to invest in targets with clear performance inflection points and high visibility of upward trends in 2026 [1][37][39]. - Specific targets recommended for attention include Bo 25, Baolong, Saite, Huitian, Suli, Jianlong, Tairui, Yongjin, Zhongte, Yongxi, Dinglong, Li'ang, Shenglan Convertible Bond 02, Chaosheng, Lihe, Huachen, Tiannai Convertible Bond, etc. [1][39]. - The top ten high - rated, medium - low - priced convertible bonds with the greatest potential for parity premium rate repair next week are Liqun Convertible Bond, Bengang Convertible Bond, Lutai Convertible Bond, Lianchuang Convertible Bond, Xingye Convertible Bond, Yingfeng Convertible Bond, Guotou Convertible Bond, Nenghua Convertible Bond, Qingnong Convertible Bond, and Ziyin Convertible Bond [1][39].

Group 1 - The current stock market is in a high volatility phase, while convertible bond valuations are at historically high levels. The proportion of convertible bond holdings by public funds has increased, indicating a shift in asset allocation towards convertible bonds and other equity assets due to high expectations in the stock market and a scarcity of assets in the bond market [1][12] - The medium to long-term outlook suggests that economic recovery and industrial structural upgrades will continue, with the stock market expected to maintain a trend of oscillating upward in 2026. Convertible bond valuations are supported by allocation demand, although the potential for further increases is limited [1][12] Group 2 - The investment strategy for convertible bonds should adopt a "winning probability" mindset, recognizing that different industries will experience varying degrees of prosperity. Public funds possess strong fundamental research capabilities, allowing them to actively price convertible bonds linked to improving fundamentals. High premium rates on some convertible bonds may still yield strong excess returns if the underlying stocks are in high-growth sectors [2][13] - Caution is advised regarding specific types of convertible bonds with excessively high premium rates, particularly those with less than six months remaining until maturity and those that may trigger early redemption clauses. These bonds face risks of rapid premium compression due to their contractual limitations [2][13] Group 3 - The weekly performance of the convertible bond index showed a slight increase of 0.05%, with certain sectors like food and beverage, beauty care, and electric equipment performing well. The median price of convertible bonds across various parity ranges has risen, indicating that valuations remain at relatively high historical levels [3][17] - The influx of incremental capital into the market is expected to continue, with a likely "spring excitement" rally at the beginning of the year, focusing on technology and high-end manufacturing investment opportunities. The chemical sector is anticipated to see improvements in demand, with well-structured supply and demand dynamics in certain sub-sectors expected to perform well [3][17] Group 4 - Suggested focus areas for convertible bonds include: (1) the rising demand for overseas computing power and the acceleration of AI industrialization driven by domestic model iterations, with recommendations for bonds from companies like Ruike and Qizhong; (2) high-end manufacturing is expected to remain strong, with recommendations for bonds from companies like Yake, Daimei, Huachen, Yubang, and Tairui; (3) the "anti-involution" trend may optimize supply and demand patterns in certain industries, with a recommendation for bonds from Youfa [4][18]