CICC: The overall valuation of convertible bonds is still low, and there is still room for valuation improvement in the future

According to the data from Jins, although the convertible bond market has rebounded recently, the overall valuation of convertible bonds is still low. According to the research by CITIC Securities, the average implied volatility of convertible bonds has fallen from 20.45% at the beginning of September to 18.58% on September 23. Subsequently, with the market recovery, the valuation of convertible bonds rose to 22.18% at the end of September. CITIC Securities stated that currently, the valuation of equity convertible bonds has not increased significantly or even slightly compressed, while the valuation of debt convertible bonds has increased significantly. The main reason is the market's concern about the probability of strong redemption in the future and the low-priced convertible bonds that consider the allocation of credit risk by prioritizing volatility. Looking ahead to October, CITIC Securities believes that the sentiment in the equity market has greatly improved under strong policy support, which is expected to be the main driving force for the continued upward trend of the convertible bond market. At the same time, although the valuation of convertible bond assets has improved at the end of September, it is still at a historically low level, and there is still room for improvement in the future. The valuation of equity assets and convertible bonds in October is expected to resonate.