20230718-华创证券-转债市场日度跟踪_8页_921kb

报告摘要

Market Overview

Index Performance: The CSI Convertible Bond Index increased by 0.09% on a monthly basis. In contrast, the SSE Composite Index declined by 0.37%, the SZSE Component Index dropped by 0.34%, the创业板指 (CYB Index) fell by 0.31%, the SSE 50 Index decreased by 0.36%, and the CSI 1000 Index reversed by 0.10%.
Market Style: Small-cap growth stocks outperformed, with a monthly increase of 0.30%. Other styles showed mixed results, such as small-cap value rising by 0.05%, while large-cap value and others declined.
Fund Flow: Trading activity surged, with convertible bonds trading at 578.05 billion yuan, up 128.1% monthly. A-share trading volume decreased, and main market funds and northbound funds both experienced net outflows.
Convertible Bond Prices: Average pricing rose to 118.58 yuan, up 0.10% compared to the previous day. High-priced certificates (above 130 yuan) accounted for 29.86% of the market, an increase of 0.02 percentage points. The distribution showed higher shares in certain price bands like 120–130 yuan range.
Valuation: Implied spread rose by 0.78 percentage points. Sector breakdowns in spreads included declines in large-cycle and manufacturing sectors.
Industry Performance: Key industries saw mixed results in both stocks and convertible bonds. Stocks in auto (+13.7%), basic chemicals (+0.88%), and real estate (+0.62%) led gains, while communication (-20.8%), computer (-16.5%), and media (-16.3%) were down. Convertible bonds in these sectors showed leading gains for auto (+15.3%) and lagging declines in communication (-17.8%).