Summary of Conference Call Records Industry Overview - The fixed income strategy is facing challenges due to increased interest rate volatility, leading to the ineffectiveness of single-duration strategies and limited space for credit spreads. The fixed income plus strategy is gaining attention, but the traditional fixed income plus sector is limited in capacity and facing a contraction issue [1][3]. Key Insights and Arguments - **Mixed Investment Strategy**: A mixed investment strategy combining stocks and bonds can optimize risk and return. International experiences, such as the Morningstar Core Plus Bond fund, suggest that increasing equity assets can enhance returns. The long-term return of China's equity market is promising, but it is characterized by high volatility. The National Social Security Fund has achieved an average annual return of 7.39% through mixed investments [1][5]. - **Policy Guidance for Long-term Funds**: Policies guiding long-term funds into the market are encouraging institutions to increase equity allocations. Large insurance companies are expected to invest 30% of new premiums into A-shares annually. By the end of 2025, the proportion of stock and fund investments by life insurance companies is projected to reach about 15%, resulting in an estimated annual inflow of over 100 billion yuan into the A-share market [1][6]. - **Impact of Incremental Funds**: Incremental funds are expected to have a rapid corrective effect on undervalued assets. For instance, the banking sector is favored by insurance funds due to its low valuation and high dividends, with the price-to-book ratio expected to recover from 0.52 to 0.74, indicating a cumulative increase of nearly 64% from 2024 to 2025 [1][7]. - **Valuation Comparison**: As of November 2025, the PE TTM of the CSI 300 index is 13.92, significantly lower than the S&P 500 index at 28. This indicates that Chinese equity assets offer high cost-performance compared to global markets [1][8]. - **Concentration in Growth Sectors**: The ChiNext board focuses on high-end manufacturing, with the top seven constituent stocks being leading blue-chip companies. The dynamic PE for 2026 is expected to be around 25 times, reflecting an increase in concentration and a slow bull market similar to the Nasdaq 100 index [1][4][10]. Additional Important Insights - **Challenges for Traditional Fixed Income Strategies**: The traditional fixed income strategies are challenged by increased interest rate volatility and limited credit spread expansion, making it difficult for investors to find yield [2][3]. - **Emerging Tools in Fixed Income Plus Market**: New tools in the fixed income plus market include convertible bond ETFs and a focus on fixed proportion stock-bond ETFs, which are expected to attract long-term capital due to their low fees and high transparency [1][13][14]. - **Rebalancing Strategy Benefits**: Implementing a rebalancing strategy can significantly reduce the volatility of an asset portfolio, enhancing overall stability by adjusting asset proportions based on market movements [1][18]. - **Future of Multi-Asset Allocation**: The trend towards multi-asset allocation is characterized by high transparency and liquidity, which will lower the entry barriers for individual investors and promote innovation among institutions [1][25]. - **Performance of Dividend Low Volatility Index**: The dividend low volatility index has shown stable historical performance, with a 5-year annualized return of 4% and a volatility of only 1%, indicating its robustness compared to other indices [1][24]. This summary encapsulates the key points from the conference call records, highlighting the challenges and opportunities within the fixed income and equity markets, as well as the implications of policy changes and investment strategies.

节前转债有所回调，转债 ETF 出现积极变化 ——可转债周报（2025.12.29-2026.1.4） 核心观点 关注东方金诚公众号 获取更多研究报告 ·· 作者 东方金诚 研究发展部 分析师 翟恬甜 副总经理 曹源源 上周，《关于 2026 年实施大规模设备更新和消费品以旧换 新政策的通知》发布，明确 2026 年"两新"政策的支持范 围、补贴标准和工作要求；《关于促进电网高质量发展的指 导意见》发布，明确 2030 年新能源发电量占比达到 30%左右； 证监会修订发布《公开募集证券投资基金销售费用管理规 定》，对赎回费收取方式进行了分类优化。 时间 2026 年 1 月 5 日 二级市场方面：上周，节前权益市场量能放大，震荡分化， 转债跟随正股有所回调。结构上看，上周低评级转债表现占 优，中价转债也逆势收涨，而高价转债明显跑输。转债 ETF 上周出现积极变化，博时中证可转债 ETF 净赎回规模显著缩 减至 5.65 亿元，海富通上证可转债 ETF 上周净申购转债 4.98 亿元，显示配置型资金已开始陆续布局。 展望后市，近期市场量能有所放大，结合元旦假期期间港股 强势表现，短期内正股对转债的拉动作用预计较 ...

1. Report Industry Investment Rating - No information provided in the given content 2. Core Viewpoints of the Report - In 2026, the "fixed - income asset shortage" and "high equity market sentiment" that drove the convertible bond market in 2025 may continue. The convertible bond market is expected to have a return opportunity of over 10% next year [4]. - The supply - demand structure of the convertible bond market will continue to evolve in 2026, with the term structure becoming "dumbbell - shaped", the "aging" of convertible bonds slowing down slightly, the proportion of funds held in convertible bonds remaining high, and the influence of convertible bond ETFs becoming more prominent [4]. - In 2026, the valuation of convertible bonds is likely to remain high. The market risk appetite is not weak, the convertible bond positions of low - risk - preference investors are at a historical low, and the probability of extreme credit risk events in the short term is limited [4]. - In terms of strategy, attention should be paid to "higher - order" undervaluation. The contradiction between the high demand for undervalued convertible bonds from "fixed - income +" investors with a bond - biased approach and the "weak supply" of traditional low - priced convertible bonds needs to be resolved by constructing more complex undervaluation evaluation criteria [4]. - In the context of the "involution" of clause games, more attention should be paid to the odds. In the high - valuation environment, the valuation of convertible bonds is rapidly compressed before the call - back, and the game space for downward revisions has reached a historical low [4]. 3. Summary According to the Directory 3.1 Convertible Bond "Ecological Niche" Advantage Remains Unchanged, with a Decent Return Space in 2026 - The two factors that drove the convertible bond market in 2025, "fixed - income asset shortage" and "high equity market sentiment", may continue in 2026. As of November 20, 2025, the median parity of the convertible bond market exceeded 100 yuan, and the overall equity nature of convertible bonds was at a historical high. The strong equity market is expected to be the most important support for convertible bonds in 2026 [8]. - The demand for convertible bonds from "fixed - income +" investors, especially bond - biased accounts with stock position limits, is expected to remain high due to the low long - term interest rate environment, which will support the valuation of convertible bonds [8]. - The convertible bond index is expected to have a return space of over 10% in 2026. Based on the delta calculation, if the Shanghai Composite Index reaches 4500 - 5000 points in 2026, the overall return of convertible bonds may be around 8% - 17%, and the actual return space may be higher [8]. 3.2 The "Aging" Speed May Slow Down Slightly, and the Dumbbell Structure Gradually Appears - The contraction speed of the convertible bond market in 2026 is expected to be slightly lower than that in 2025, and the stock size may reach 450 - 500 billion yuan. As of November 21, 2025, the stock size of the convertible bond market was about 550 billion yuan, a decrease of nearly 180 billion yuan from the end of 2024. The net supply of convertible bonds in 2026 may be - 100 billion yuan [13]. - The "aging" of convertible bonds in 2026 may slow down slightly, and the median remaining term of convertible bonds at the end of next year may be about 2.2 years. The main reasons are the redemption of many short - term convertible bonds since 2025 and the recovery of convertible bond supply starting from mid - 2025 [15]. - In 2026, the number of medium - term convertible bonds will significantly decrease, and the term structure will evolve into a "dumbbell - shaped" structure. By the end of 2026, the number of 3 - 4 - year convertible bonds will decline from over 100 at the beginning of the year to about 30. The market may form a structure with medium - and large - sized convertible bonds within 3 years at one end and small - and medium - sized growth technology - related convertible bonds over 4 years at the other end [16]. - In terms of industries, the convertible bonds of non - bank finance, commercial retail, and consumer service industries will all mature by the end of 2026. The non - bank finance industry involves the largest scale and the most targets, with 4 convertible bonds worth 15 billion yuan maturing. The remaining industries' distributions may not change much, and the balance of convertible bonds in the banking, power equipment and new energy, and basic chemical industries significantly leads the others [18]. 3.3 The Proportion of Funds May Further Increase, Pay Attention to Convertible Bond ETFs - As of the end of October 2025, the proportion of convertible bonds held by funds is estimated to reach 47%, the highest level since the data was released. The increase in the proportion of convertible bonds held by public funds is mainly due to the decrease in the scale of convertible bonds held by insurance and annuity funds. By October 2025, the scale of convertible bonds held by insurance may be less than 50 billion yuan, a decrease of nearly 30% from August 2025, and the scale of convertible bonds held by annuities may be close to 130 billion yuan, a record low [20]. - In 2026, the proportion of convertible bonds held by funds is expected to remain high and may even reach a new high. Retail investors have a long - term trend of reducing their holdings of convertible bonds. Insurance and annuity funds may participate in the convertible bond market through FOFs in 2026 due to the low net supply of large - scale and high - rating convertible bonds and the high overall valuation of convertible bonds [22]. - The scale of convertible bond ETFs may continue to expand, and attention should be paid to the potential impact of the high proportion of ETFs on the convertible bond market. As of the end of October 2025, the market value of convertible bonds held by convertible bond ETFs reached 67.84 billion yuan, accounting for nearly 10% of the convertible bond market. The high valuation of newly issued convertible bonds may be related to convertible bond ETFs [27]. 3.4 Valuation is Supported, and There is Room for More Optimism - In 2025, the valuation of convertible bonds increased significantly, and the implied volatility returned to the central level of 2023. As of November 20, 2025, the premium rate per 100 yuan of convertible bonds continued to break through historical highs, and the median implied volatility of convertible bonds exceeded 40% [30]. - In 2026, the valuation of convertible bonds is likely to remain high. The current market risk appetite is not weak, the convertible bond positions of low - risk - preference investors are at a historical low, and the probability of extreme credit risk events in the short term is limited [30]. - The high point of convertible bond valuation may be around 35% - 40%, and considering the possible decline in long - term interest rates and the increase in the bond floor of convertible bonds in 2026, the high point of valuation may be even higher [33]. 3.5 In the High - Valuation Environment, It is Recommended to Focus on "Higher - Order" Undervaluation - In 2025, convertible bond investors clearly preferred undervalued targets. As of November 21, 2025, the return of the low - price strategy was 21.1%, with an excess return of 4.6% compared to the CSI Convertible Bond Index. The relatively "abnormal" excess return may be mainly due to institutional behavior [37]. - In 2026, it may be more difficult for the pure low - price strategy to obtain excess returns. The market is facing the contradiction between the high demand for undervalued convertible bonds from "fixed - income +" investors with a bond - biased approach and the "weak supply" of traditional low - priced convertible bonds. It is recommended to focus on "higher - order" undervaluation [41]. - The convexity strategy may be a good entry point for "higher - order undervaluation". Since 2025, the series of convexity strategies have achieved excellent results, with a Calmar ratio of over 3 and a return of over 20% [42]. 3.6 The "Involution" of Clause Games, and More Attention Should Be Paid to the Odds - In the fourth quarter of 2025, the experience of convertible bond clause games was not good. In the high - level volatile environment of the equity market, listed companies became more cautious in considering convertible bond clauses. As of November 21, 2025, only 1 convertible bond proposed a downward revision in that month, and the ratio of downward - revision announcements to possible downward - revision announcements was 0.04:1, both the lowest levels since March 2023. The ratio of call - back announcements to non - call - back announcements in November was 1.57:1, the highest level in 2025 [45]. - In the high - valuation environment, the convertible bond call - back game has become "involution". The difference in the average conversion premium rate of convertible bonds with a call - back progress of 80% - 100% and those with a progress of 0 - 20% has rapidly expanded since September 2025, and the conversion premium rate of convertible bonds with a high call - back progress has fallen to a historical low [47]. - The game space for convertible bond downward revisions is narrowing. Under the dual influence of high valuation and institutional preference for undervalued convertible bonds, the average difference between the prices of all convertible bonds eligible for downward revision and the expected price after a full downward revision has narrowed to a relatively low level since 2021 [48]. - The report also lists the convertible bonds whose cooling - off periods for downward revisions and call - backs will end in 2026 [52][53][54].

Report Industry Investment Rating There is no information provided in the report regarding the industry investment rating. Core Viewpoints - The convertible bond market is expected to follow the equity market and strengthen in an oscillatory manner, but due to increased market volatility and the continuation of the high - price characteristic of convertible bonds, attention should be paid to the defensive attributes of the portfolio and tail risks should be avoided. Layout can be made along the performance clues. The cost - effectiveness of new convertible bond subscriptions or indirect allocation through convertible bond ETFs remains relatively high [3][9]. Summary by Directory Policy Tracking - On October 22, the China Society of Automotive Engineers released the "Energy - Saving and New - Energy Vehicle Technology Roadmap 3.0", which clarifies that global automotive technology will evolve towards low - carbon, electrification, and intelligence. China's automotive industry carbon emissions will peak around 2028 and decline by over 60% by 2040 compared to the peak. By 2040, the market penetration rate of new - energy vehicles needs to exceed 80%, and the intelligent connected infrastructure system integrating vehicles, roads, and clouds will be fully mature [4]. Secondary Market - **Equity Market**: Last week, major equity market indices collectively strengthened. The Shanghai Composite Index, Shenzhen Component Index, and ChiNext Index rose 2.88%, 4.73%, and 8.05% respectively. After the release of the Fourth Plenary Session communique, market sentiment was significantly boosted, and the trading volume on Friday quickly recovered to nearly 2 trillion yuan [5][6]. - **Convertible Bond Market**: The main convertible bond market indices collectively rose, with the CSI Convertible Bond Index, Shanghai Stock Exchange Convertible Bond Index, and Shenzhen Stock Exchange Convertible Bond Index rising 1.47%, 1.56%, and 1.40% respectively. The average daily trading volume was 600.23 billion yuan, a further reduction of 109.27 billion yuan from the previous week. Convertible bond ETFs ended the net redemption trend and had a net subscription of 30.82 billion yuan, supporting the strength of convertible bonds. The small - cap and high - price style in the convertible bond market strengthened again, and most convertible bonds in various industries rose. The valuation of most industries decreased, but the valuation of the light - manufacturing industry rose [7][8][9]. Primary Market - **Issuance and Listing**: Last week, there was no new convertible bond issuance, and Yingliu Convertible Bond was listed. Six convertible bonds were redeemed early and delisted. As of last Friday, the convertible bond market's outstanding scale was 580.96 billion yuan, a decrease of 152.933 billion yuan from the beginning of the year. Five convertible bonds were approved by the CSRC to be issued, totaling 4 billion yuan, and six convertible bonds passed the review committee, totaling 3.581 billion yuan [3]. - **Conversion and Redemption**: Eight convertible bonds had a conversion ratio of over 5%. Some convertible bonds announced early redemption, and some announced that they were about to trigger early redemption conditions or the conditions for conversion price downward adjustment [30][31][33].

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].

1. Report Industry Investment Rating The provided content does not mention the industry investment rating. 2. Core Viewpoints of the Report - The overall convertible bond downward - revision gaming space has gradually narrowed this year. With the upward trend of the equity market, the number of low - parity convertible bonds has decreased, and the number of convertible bonds triggering downward - revision, proposing downward - revision, and actually undergoing downward - revision has shown a downward trend. However, as the number of convertible bonds entering the put - back period and approaching maturity increases, the gaming opportunities for downward - revision may relatively increase, and the focus should be on the individual bond's downward - revision willingness [1][10]. - Against the background of the narrowing overall downward - revision gaming space, attention should be paid to the opportunities of underlying assets related to the fundamental expectations of the underlying stocks of convertible bonds and relatively low valuations. For equities, grasp the structural opportunities in the technology - growth direction and focus on the underlying assets with strong performance certainty in pro - cyclical and anti - involution beneficiary industries. Also, pay attention to low - price and low - premium varieties among high - rating and large - cap convertible bonds [2][20]. - The A - share market is expected to have a good allocation cost - performance ratio in terms of risk premium. The convertible bond supply is shrinking, and there is certain support on the demand side. Attention should be paid to the downward - revision gaming space, be vigilant against the forced - redemption risk, and appropriately focus on the short - term gaming opportunities of near - maturity convertible bonds. Industries worthy of attention include popular themes, domestic demand - oriented sectors, and high - dividend sectors under the Chinese - characteristic valuation system [23]. 3. Summary According to Relevant Catalogs 3.1. Convertible Bond Weekly Special Topic and Outlook 3.1.1. How to View the Narrowing Downward - Revision Space? - This week, three convertible bonds (Jingke Convertible Bond, Lanfan Convertible Bond, and Yong 22 Convertible Bond) underwent downward - revision. Since September, the total number of actually downward - revised convertible bonds has slightly increased compared to August. The number of convertible bonds proposed for downward - revision in September is the same as that in August, and the willingness for downward - revision may have marginally increased [10]. - In general this year, the downward - revision gaming space has gradually narrowed. The proportion of convertible bonds with a parity in the (0, 80] range has decreased from 40.7% at the beginning of the year to 22.2%. The number of convertible bonds triggering downward - revision, proposing downward - revision, and actually undergoing downward - revision has shown a downward trend. The willingness for downward - revision has not significantly increased since the peak in February [10]. - In the future, with the shrinking number of convertible bonds meeting the downward - revision conditions, the focus should be on the individual bond's downward - revision willingness. Although the equity market may have short - term adjustments, the overall upward expectation is still strong. The number of convertible bonds meeting the downward - revision conditions may remain relatively low, but the gaming opportunities for downward - revision may increase due to the increasing number of convertible bonds entering the put - back period and approaching maturity. It is recommended to screen potential downward - revision targets and pay attention to factors affecting the gaming returns of downward - revision [18]. - Against the background of the narrowing overall downward - revision gaming space, attention should be paid to the opportunities of underlying assets related to the fundamental expectations of the underlying stocks of convertible bonds and relatively low valuations. Focus on the structural opportunities in the technology - growth direction, such as AI computing power, semiconductors, and humanoid robots. Also, pay attention to pro - cyclical and anti - involution beneficiary industries [20]. - Attention should be paid to low - price and low - premium varieties among high - rating and large - cap convertible bonds. Since the end of August, some "fixed - income +" funds have redeemed, causing short - term pressure on high - rating and large - cap convertible bonds. As market sentiment stabilizes, funds may flow back, and attention should be paid to signs of the shift in capital allocation preferences [21]. 3.1.2. Weekly Review and Market Outlook - This week, the A - share market fluctuated upward. Different sectors showed different performances on each trading day [22]. - In terms of the stock market outlook, the A - share market still shows good allocation cost - performance in terms of risk premium. The domestic economic fundamentals are expected to gradually recover, and the weak resonance between economic fundamentals and capital flows is expected to start. - In the convertible bond market, considering the impact of refinancing policies, there is certain support on the demand side under the background of shrinking supply. The opportunity cost of convertible bonds is relatively low, but the current overall valuation is at a relatively high level, so attention should be paid to the callback risk. In terms of terms and conditions, attention should be paid to the downward - revision gaming space, be vigilant against the forced - redemption risk, and appropriately focus on the short - term gaming opportunities of near - maturity convertible bonds. Industries worthy of attention include popular themes, domestic demand - oriented sectors, and high - dividend sectors under the Chinese - characteristic valuation system [23]. 3.2. Weekly Tracking of the Convertible Bond Market 3.2.1. The Equity Market Closed Higher - This week, the main equity market indices closed higher. The Wind All - A Index rose 0.25%, the Shanghai Composite Index rose 0.21%, the Shenzhen Component Index rose 1.06%, and the ChiNext Index rose 1.96%. The market style was more inclined to large - cap growth. Among the small - cap indices, the CSI 1000 Index fell 0.55%, and the STAR 50 Index rose 6.47% [27]. - Seven Shenwan industry indices rose, and 24 industries fell. The power equipment, non - ferrous metals, and electronics industries led the market with increases of 3.86%, 3.52%, and 3.51% respectively. The social services, comprehensive, and commercial retail industries ranked among the top three in terms of decline, with declines of 5.92%, 4.61%, and 4.32% respectively [31]. 3.2.2. The Convertible Bond Market Closed Higher, and the Whole - Market Conversion Premium Rate Rose - This week, the convertible bond market closed higher. The CSI Convertible Bond Index rose 0.94%, the Shanghai Convertible Bond Index rose 1.01%, the Shenzhen Convertible Bond Index rose 0.85%, the Wind Convertible Bond Equal - Weighted Index rose 0.63%, and the Wind Convertible Bond Weighted Index rose 0.93% [33]. - The average daily trading volume of the convertible bond market decreased this week. The average daily trading volume was 78.919 billion yuan, a decrease of 2.882 billion yuan compared with last week, and the total trading volume for the week was 394.597 billion yuan [33]. - At the industry level of convertible bonds, 21 industries closed higher, and 8 industries closed lower. The electronics, national defense and military industry, and power equipment industries ranked among the top three in terms of increase, with increases of 3.14%, 3.13%, and 1.66% respectively. The communication, coal, and social services industries led the decline. At the corresponding underlying stock level, 12 industries closed higher, and 17 industries closed lower. The electronics, non - ferrous metals, and steel industries ranked among the top three in terms of increase, with increases of 7.97%, 4.26%, and 3.45% respectively. The pharmaceutical biology, light industry manufacturing, and communication industries led the decline [36]. - Most individual convertible bonds rose this week (270 out of 426). After excluding the closing data of newly listed convertible bonds this week, the top five convertible bonds in terms of weekly increase were Jize Convertible Bond (public utilities, 25.83%), Huicheng Convertible Bond (electronics, 19.41%), Jingda Convertible Bond (power equipment, 18.90%), Anji Convertible Bond (electronics, 13.97%), and Hangyu Convertible Bond (national defense and military industry, 11.00%). The top five convertible bonds in terms of weekly decline were Borei Convertible Bond (pharmaceutical biology, - 33.90%), Jingxing Convertible Bond (light industry manufacturing, - 15.89%), Jingzhuang Convertible Bond (construction and decoration, - 14.04%), Tongguang Convertible Bond (power equipment, - 13.54%), and Tianlu Convertible Bond (building materials, - 13.27%). The top five convertible bonds in terms of weekly trading volume were Liyang Convertible Bond (electronics, 13.473 billion yuan), Huicheng Convertible Bond (electronics, 12.193 billion yuan), Jize Convertible Bond (public utilities, 10.531 billion yuan), Jingxing Convertible Bond (light industry manufacturing, 10.042 billion yuan), and Zhongqi Convertible Bond (building materials, 9.787 billion yuan) [39]. - In terms of price, the median price of convertible bonds increased. The number of absolute low - price convertible bonds (with an absolute price less than 110 yuan) increased by 1 compared with last week, the number of convertible bonds in the price range of 110 - 130 yuan decreased by 17, the number of convertible bonds in the price range of 130 - 150 yuan increased by 12, the number of convertible bonds in the price range of 150 - 200 yuan decreased by 1, and the number of convertible bonds with a price greater than 200 yuan remained unchanged. As of this Friday, the median price of the whole - market convertible bonds was reported at 130.32 yuan, an increase of 0.62 yuan compared with last weekend [42]. - The weighted conversion value of the whole market decreased, and the premium rate increased. The weighted average conversion value of the whole market based on the outstanding bond balance was 100.36 yuan, a decrease of 0.12 yuan compared with last weekend. The whole - market weighted conversion premium rate was 38.89%, an increase of 1.27 percentage points compared with last weekend. The weighted average conversion premium rate for convertible bonds with a parity in the range of 90 - 110 yuan was 25.58%, an increase of 1.90 percentage points compared with last weekend. The median conversion premium rate was 29.05%, an increase of 1.30 percentage points compared with last weekend. In the long - term perspective, the current conversion premium rate for convertible bonds with a parity of 100 yuan is above the 50th percentile level since 2017. The median implied volatility of the whole market was 36.89%, an increase of 2.51 percentage points compared with last weekend. The pure - bond premium rate of debt - biased convertible bonds was 10.00%, an increase of 0.57 percentage points compared with last weekend [45]. 3.2.3. High - Frequency Tracking of Different Types of Convertible Bonds 3.2.3.1. Classification Valuation Changes - This week, there was valuation differentiation in the convertible bond structure. The valuations of convertible bonds with a parity of 80 - 90 yuan and 90 - 100 yuan decreased, while the valuations of most other convertible bonds increased. The valuations of convertible bonds with a rating of A and below decreased, while the valuations of other rated convertible bonds increased. The valuations of convertible bonds in each scale category increased [55]. - Since the beginning of 2024, the conversion premium rates of equity - biased and balanced convertible bonds have both rebounded from the bottom. As of this Friday, the conversion premium rate of equity - biased convertible bonds is above the 35th percentile level since 2017, and the conversion premium rate of balanced convertible bonds is above the 50th percentile level since 2017 [55]. 3.2.3.2. Market Index Performance - All rated convertible bonds rose this week. The AAA - rated convertible bonds rose 0.52%, the AA + - rated convertible bonds rose 1.54%, the AA - rated convertible bonds rose 0.99%, the AA - - rated convertible bonds rose 1.16%, the A + - rated convertible bonds rose 0.69%, and the convertible bonds with a rating of A and below rose 0.06%. Since 2023, the AAA - rated convertible bonds have recorded a return of 17.49%, the AA + - rated convertible bonds have recorded a return of 14.80%, the AA - rated convertible bonds have recorded a return of 20.11%, the AA - - rated convertible bonds have recorded a return of 28.01%, the A + - rated convertible bonds have recorded a return of 28.30%, and the convertible bonds with a rating of A and below have recorded a return of 29.58%. Historically, high - rated AAA convertible bonds have shown stable performance, while low - rated convertible bonds have shown weaker anti - decline properties and greater rebound strength [65]. - All convertible bonds of different scales rose this week. The small - cap convertible bonds rose 0.10%, the small - and medium - cap convertible bonds rose 0.84%, the medium - cap convertible bonds rose 1.16%, and the large - cap convertible bonds rose 0.89%. Since 2023, the small - cap convertible bonds have recorded a return of 29.52%, the small - and medium - cap convertible bonds have recorded a return of 26.75%, the medium - cap convertible bonds have recorded a return of 23.90%, and the large - cap convertible bonds have recorded a return of 17.10% [67]. 3.3. Tracking of Convertible Bond Supply and Terms 3.3.1. This Week's Primary - Market Issuance Plans - Two convertible bonds (Jin 25 Convertible Bond and Yingliu Convertible Bond) have been issued but not yet listed this week. - The number of primary - market approvals this week was five (from September 22 to September 26, 2025). Jinlang Technology's 1.677 - billion - yuan convertible bond issuance plan has been approved by the CSRC [71]. - Since the beginning of 2023 to September 26, 2025, the total number of planned convertible bonds is 103, with a total scale of 161.397 billion yuan. Among them, the number of convertible bonds with the board of directors' resolution passed is 18, with a total scale of 20.669 billion yuan; the number of convertible bonds passed by the general meeting of shareholders is 46, with a total scale of 76.366 billion yuan; the number of convertible bonds accepted by the exchange is 25, with a total scale of 45.629 billion yuan; the number of convertible bonds passed by the listing committee is 8, with a total scale of 5.305 billion yuan; and the number of convertible bonds approved for registration by the CSRC is 6, with a total scale of 13.429 billion yuan [72]. 3.3.2. Downward - Revision and Redemption Clauses - As of September 26, 2025, the tracking of downward - revision and redemption clauses this week is as follows: - Six convertible bonds announced that they are expected to trigger downward - revision. - Six convertible bonds announced that they will not undergo downward - revision, among which Kangyi Convertible Bond, Xinneng Convertible Bond, Guangli Convertible Bond, and Gongtong Convertible Bond announced that they will not undergo downward - revision within six months. - Jingke Convertible Bond, Lanfan Convertible Bond, and Yong 22 Convertible Bond announced the results of downward - revision [75]. - Nine convertible bonds announced that they are expected to trigger redemption. - Two convertible bonds announced that they will not be redeemed in advance. - Two convertible bonds announced early redemption [77][78]. - As of the end of this week, there is still one convertible bond in the put - back declaration period and 20 convertible bonds in the company's capital - reduction settlement declaration period. Attention should be paid to the price changes of convertible bonds and the marginal changes in the company's downward - revision tendency [80].

Group 1: Report Industry Investment Rating - Not provided in the content Group 2: Core Viewpoints of the Report - The recent performance of the convertible bond market has been significantly weaker than that of the underlying stocks, with the core contradiction being high valuations and a lack of cost - effectiveness. The valuation compression was triggered by the equity market entering a consolidation phase, and the slowdown of incremental funds' allocation. The high valuations also led to a lack of cost - effectiveness in convertible bonds, with high premium rates for different types of convertible bonds [1][2][7]. - The expansion of convertible bond ETFs has made them a timing tool for absolute - return funds. The current stock size of convertible bond ETFs exceeds 70 billion yuan, accounting for over 10% of the convertible bond market. The investment institutions behind these ETFs are mainly absolute - return funds, and the trading flexibility of ETFs provides a good tool for them [2]. - The frequent up - and - down market movements have created opportunities for mispriced bonds. When the market shows adjustment signals, ETF funds often redeem en masse, and then quickly increase positions during the initial rebound of the underlying stocks, leading to market volatility and opportunities for active management institutions to obtain alpha [2][8]. - The optimal strategy in a volatile market is to manage positions in a hierarchical manner. In the long - term, the stock market's positive trend remains unchanged, and convertible bonds have long - term allocation value. In the short - term, the equity market is in a wide - range oscillation. It is recommended to layout industries that benefit from the shift from high - to low - priced stocks at low levels, and make different arrangements for high - priced bonds according to their characteristics. In September, it is suggested to pay attention to bonds such as Shangyin Convertible Bond, Shouhua Convertible Bond, etc. [2][8] Group 3: Summary According to the Table of Contents 1. Convertible Bond Weekly Thinking - The convertible bond market has underperformed the underlying stocks recently, mainly due to high valuations and a lack of cost - effectiveness. The valuation compression was triggered by changes in the equity market and the behavior of incremental funds. High valuations have also made convertible bonds less attractive. The expansion of convertible bond ETFs has changed their role, and the up - and - down market movements have created mispricing opportunities. A hierarchical position management strategy is recommended [7][8] 2. Convertible Bond Market Tracking 2.1 Convertible Bond Market Conditions - Provided the performance data of various convertible bond indices in different time periods, including the past week, two weeks, September to date, one month, two months, half - year, and one year. For example, the Wind Convertible Bond Energy Index had a - 1.05% change in the past week, - 1.33% in the past two weeks, etc. [13] 2.2 Convertible Bond Individual Securities - Presented the top ten and bottom ten individual convertible bonds in terms of price changes in the past week, but specific bond names were not provided [17] 2.3 Convertible Bond Valuations - Included the valuation trends of bond - type, balanced, and equity - type convertible bonds, as well as the valuation trends of convertible bonds with different parities [19][25] 2.4 Convertible Bond Prices - Showed the proportion trend of high - priced bonds and the median price trend of convertible bonds [27]

Report Industry Investment Rating No investment rating information is provided in the report. Core Viewpoints - Long - term, major inflection points of convertible bonds are basically synchronous with equities, and capital behavior determines the actual performance of convertible bonds in trending markets. Short - term, capital attitude and behavior determine the performance of convertible bonds around phased inflection points. The convertible bond index may enter a volatile phase in the short term, following changes in the equity market with potentially increased market volatility [1][3][12] - After the adjustment, the average price of convertible bonds has declined, the conversion premium rate has decreased, and the problem of over - valued convertible bonds has been alleviated [19] Summary by Directory 1. Convertible Bond Weekly Thinking - Past week, both the equity and convertible bond markets adjusted, stabilized, and rebounded, with convertible bonds performing slightly better than underlying stocks. The Shanghai Composite Index fluctuated above 3800 points, being weak in the first four trading days and significantly rebounding on Friday. The Wind Convertible Bond Equal - Weighted Index rose 0.51% last week, while the Convertible Bond Underlying Stock Equal - Weighted Index fell 0.75%, and the overall market premium rate increased [10] - Since August 27, the amplitude of the convertible bond market has increased, with different driving factors. On August 27 and September 1, the adjustment was mainly due to capital outflows from the convertible bond market, and convertible bonds underperformed underlying stocks. On September 2, the decline and on September 5, the increase were mainly due to changes in the equity market, with parity driving the performance of convertible bonds. On September 5, the high follow - up performance of convertible bonds was due to capital represented by convertible bond ETFs turning to net inflows [2][11] - Absolute return funds have shifted from direct to indirect holding of convertible bonds. In August, institutions other than public funds basically reduced their holdings of convertible bonds due to the shrinking market size, while public funds continued the growth trend from July. From July to August, absolute return funds such as wealth management subsidiaries and trusts continuously reduced their direct holdings of convertible bonds but indirectly held them by buying fixed - income + funds and convertible bond ETFs. The large - scale inflow of fixed - income + funds, likely synchronous with convertible bond ETFs, started in mid - to - early July, driving up the valuation of convertible bonds. Recently, the attitude of fixed - income + funds has changed due to market fluctuations. Convertible bond ETFs had net outflows on September 1 and 2 and large net inflows on September 5. The previous adjustment of convertible bonds was mainly due to the profit - taking sentiment of absolute return funds, and the weak recovery this time is because the price and valuation of the convertible bond market have reached absolute highs, resulting in the convertible bond trend leading that of the equity market slightly [4][15][16] 2. Convertible Bond Market Tracking 2.1 Convertible Bond Market Conditions - The report provides the performance data of various convertible bond indexes in different time periods, including the past week, two weeks, September to date, one month, two months, half - year, and one year. For example, the Wind Convertible Bond Energy Index rose 1.03% in the past week, - 2.75% in the past two weeks, etc. [22] 2.2 Convertible Bond Individual Securities - The report shows the top ten and bottom ten individual convertible bonds in terms of price changes in the past week, but specific bond names are not provided [24] 2.3 Convertible Bond Valuation - The report presents the valuation trends of different types of convertible bonds, such as debt - type, balanced, and equity - type convertible bonds, including the conversion premium rate trends of different parities of convertible bonds [31] 2.4 Convertible Bond Price - The report shows the price median trend of convertible bonds [35]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The recent correction in the convertible bond market is more due to the rush of funds after the trading volume increased, but the core driving force for the market to rise under the expectation of loose liquidity and economic recovery has not changed after the adjustment, and the expected return under the supply - demand mismatch of convertible bonds is still promising [1] - The strong performance of equity assets has led to the expansion of the scale of hybrid bond funds, and there is a phased profit - taking in the convertible bond market after reaching a new high [11][16] Summary by Directory 1. The Strong Performance of Equity Assets Drives the Expansion of Hybrid Bond Fund Scale - Since 2025, equity - related assets have significantly outperformed fixed - income assets. As of September 2, 2025, the Wind All - Fund Index, the common stock fund index, the partial - stock hybrid fund index, the flexible allocation fund index, the balanced hybrid fund index, and the convertible bond fund have recorded annual returns of 14.54%, 29.98%, 30.00%, 22.33%, 13.30%, and 17.49% respectively, far outperforming bond funds. The performance of equity funds in Q3 2025 is particularly prominent [2] - Due to the slowdown in new convertible bond issuance and the maturity of existing convertible bonds, the market's outstanding balance has been shrinking. From Q1 2024 to Q2 2025, it decreased from 79.5012 billion to 66.4474 billion, a decline of 16.42%. Against this backdrop, the scale of convertible bonds held by public funds has remained stable, and the proportion of holdings has increased significantly, from 34.2% to 41.1% [13] - As of the latest disclosed semi - annual reports of public funds, the scale of convertible bonds held by first - tier bond funds, second - tier bond funds, convertible bond funds, and convertible bond ETFs is 7.2656 billion, 8.5867 billion, 4.2658 billion, and 4.2575 billion respectively, with a scale increase of 9.3%, 8.7%, 5.3%, and 1.5% month - on - month, and a share increase of 8.0%, 3.4%, 8.4%, and 4.1% year - on - year. The overall demand in the convertible bond market remains stable [15] 2. There is Phased Profit - Taking in the Convertible Bond Market after Reaching a New High - The continuous entry of incremental funds may be the core factor driving the convertible bond index to reach a new high, and the rush of funds after the trading volume increased may be the main reason for the recent phased adjustment of the market. After the convertible bond index reached new highs for several consecutive weeks in August, the daily average trading volume remained above 50 million lots for a long time, reaching a recent high of 65.71 million lots on August 28. Subsequently, the market turned volatile, and the trading enthusiasm declined significantly [3] - The net outflow of convertible bond ETFs is obvious. As of September 1, 2025, the scale of convertible bond ETFs increased from 3.99 billion at the beginning of June to 7.36 billion, a growth of 84.1%. Since September 1, the redemption of passive funds has been obvious, with the single - day redemption scale reaching a recent peak of 1.052 billion [3] - In the future, although the willingness of funds to realize profits is strong after this round of rise, after the adjustment, the average price of convertible bonds has dropped significantly, and the premium rate has been significantly reduced. The convertible bond market is expected to enter a volatile phase in the short term after the phased adjustment. In the medium term, the core driving force for the market to rise under the expectation of loose liquidity and economic recovery has not changed, and the expected return under the supply - demand mismatch of convertible bonds is still promising [4][25]