转债凸性与定价系列报告之四：渐行渐近：转债到期和时间价值衰减压力分析

Group 1 - The remaining maturity of convertible bonds has significantly shortened to around 2.53 years, with nearly 40% of the bonds having a remaining maturity of less than 2 years, indicating a serious aging phenomenon in the financial and consumer sectors [4][8][10] - If the issuance of new convertible bonds does not increase significantly in the short term, the weighted average remaining maturity is expected to decrease by approximately 0.6 years annually, potentially reaching around 2.0 years by the end of 2026, placing the market in an "ultra-short duration" state [4][10][18] - The valuation of convertible bonds generally follows the rule of decay with remaining maturity, where bonds with less than 2 years of maturity begin to show a declining valuation trend, particularly accelerating when the maturity falls below 1 year [11][17][26] Group 2 - The pressure of potential valuation decline is significant in the context of shortening durations, with a focus on trading opportunities within box ranges, as many convertible bonds are likely to face redemption or maturity [3][50][72] - As of November 21, 2025, approximately 29% of convertible bonds with a remaining maturity of less than 2 years have been redeemed through strong redemption, while 23% have matured, indicating substantial potential maturity pressure [50][53][66] - The current market environment shows that convertible bonds with a remaining maturity of less than 2 years are generally overvalued compared to historical data, suggesting a need for caution regarding potential valuation declines [18][23][44]