6月可转债月报：下修博弈回归常态 超额收益更看择券

未经许可，禁止转载债券周报2025年06月04日证券分析师：周冠南电话：010-66500886邮箱：zhouguannan@hcyjs.com执业编号：S0360517090002证券分析师：张文星邮箱：zhangwenxing@hcyjs.com执业编号：S0360523110001联系人：李宗阳邮箱：lizongyang@hcyjs.com相关研究报告《【华创固收】存单周报（0526-0601）：跨半年压力可控，关注配置机会》2025-06-02《【华创固收】港口拥堵再现，内外分化扩大——每周高频跟踪20250602》2025-06-02《【华创固收】信用债ETF质押式回购即将落地——信用周报20250601》2025-06-01《【华创固收】政策双周报（0518-0530）：第七轮大行存款挂牌利率下调，规范资管产品业绩基准2025-05-30《【华创固收】市场盘整中，关注低价、中盘及TMT——可转债周报20250527》2025-05-27华创证券研究所 ——6月可转债月报 披露》 证监会审核华创证券投资咨询业务资格批文号：证监许可（2009）1210号目录一、下修博弈回归常态，超额收益更看择券.................................................................5二、估值展望：估值难上亦难下.....................................................................................8三、重点关注个券.............................................................................................................9四、市场回顾：转债与正股小幅上涨，估值有所压缩...............................................11（一）行情表现：转债过半行业上涨，DEEPSEEK概念降温..................................11（二）资金表现：转债及权益市场成交量双双回落...................................................12五、供需情况：新券供给环比减少，预案继续加速...................................................13（一）5月份1只转债发行，无转债新券上市............................................................131、1只新券发行，无转债新券上市..........................................................................132、待发规模尚可，10家新发预案融资....................................................................143、5只转债公告赎回，6只转债公告下修...............................................................15（二）5月沪深两所持有者表现谨慎，整体规模持续减少........................................17六、风险提示...................................................................................................................19 2 证监会审核华创证券投资咨询业务资格批文号：证监许可（2009）1210号图表目录图表1预计下修频次与同比.................................................................................................5图表2预计下修频率与低平价转债占比.............................................................................5图表3下修频次与同比.........................................................................................................5图表4下修转债的剩余期限结构（年）.............................................................................5图表5转债指数、估值及下修概率.....................................................................................6图表6转债指数及正股指数最大回撤与下修概率.............................................................6图表7预计触发下修公告前后10日的胜率及跑赢中证转债的概率...............................7图表8预计触发下修公告前后的转债组合净值曲线.........................................................7图表9下修结果的频次分布.................................................................................................7图表10下修提议后的胜率与跑赢中证转债的概率...........................................................7图表11提议下修公告前后的转债组合净值曲线...............................................................8图表12提议下修公告前后的转债组合超额净值曲线.......................................................8图表13转债市场价格5月震荡为主（元）.......................................................................8图表14 5月百元平价拟合转股溢价率持续压缩（%）.....................................................8图表15通信、钢铁、电子转债的转股溢价率抬升居前（%）........................................9图表16医药生物、食品饮料、传媒行业转股溢价率压缩居前（%）............................9图表17多数评级转债估值压缩（%）................................................................................9图表18各规模转债估值均有压缩（%）............................................................................9图表19重点关注转债组合历史回报.................................................................................10图表20个券区间回报率情况.............................................................................................10图表21 6月重点关注组合信息..........................................................................................10图表22主要指数累计涨跌幅（%）..................................................................................11图表23 5月份主要指数涨跌幅情况（%）.......................................................................11图表24各行业正股和转债涨跌幅.....................................................................................11图表25热门概念指数月度涨跌幅（%）..........................................................................11图表26 5月金融及医药轮番表现，TMT相对偏弱（%）..............................................12图表27转债及权益市场成交量继续回落（亿元）.........................................................12图表28 5月两融余额小幅修复（万亿元）......................................................................13图表29 5月两融资金多数买入（亿元）..........................................................................13图表30 5月新券发行规模环比减少（亿元）..................................................................13图表31 5月新券发行数量减少（支）..............................................................................13图表32网上有效申购金额（万亿）.................................................................................14图表33网上中签率均值(%)...............................................................................................14 3 证监会审核华创证券投资咨询业务资格批文号：证监许可（2009）1210号4图表34 10家上市公司公开发行A股可转债获证监会核准............................................14图表35上市公司发布可转债预案规模分布（亿元）.....................................................15图表36上市公司发布可转债预案的数量分布.................................................................15图表37 2025年5月将退市转债概览.......