基于风险案例与退市新规视角：可转债风险重构与应对

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - 2024 was a turning - point for the convertible bond market, with the long - standing zero - default pattern broken. From 2024 - 2025, 5 convertible bonds defaulted, and many rating - downgrade events occurred. Credit risk became prominent, and the risk is rooted in the dual attributes of "bond nature" and "equity nature", resulting from the combination of issuer's short - board in qualification and market policy changes [2][4]. - The disposal of convertible bond risks presents a gradient path system of "regular resolution - extreme disposal". The choice of path is a comprehensive consideration of fundamentals, clause design, and external support. The market may face a peak of concentrated bond maturities in 2027, and the risk stratification will intensify [2][44]. 3. Summary by Relevant Catalog 3.1 Convertible Bond Risk Overview - Substantial Default: Since 2024, there have been 5 cases of substantial default in the convertible bond market. As of November 2025, 5 listed convertible bonds failed to repay the principal and interest on schedule, including bonds like "Soute Convertible Bond" and "Hongda Convertible Bond" [4][5][7]. - Rating Downgrade: Since 2019, 123 convertible bonds have experienced 270 rating downgrades. The number of downgrades increased significantly in 2024. The construction industry had the most downgrades (49 times), and industries such as chemical, textile and apparel also had over 20 downgrades [8][9]. - Delisting: As of now, 5 convertible bonds have delisted along with their underlying stocks. Among them, 3 have defaulted, and 2 are at high risk of default [13][15]. 3.2 Causes of Convertible Bond Risks 3.2.1 Operational Risk - From the Perspective of Bond Nature - The issuers of convertible bonds are mainly small and medium - sized private enterprises with weak qualifications. The proportion of high - grade credit ratings is low. As of October 2025, the proportion of AA+ and above high - grade subjects in the outstanding public convertible bonds was only 14.95% [14]. - External Environmental Changes: Convertible bond issuers are more sensitive to external environment changes. For example, local financial pressure affects municipal engineering - related bonds, the real - estate downturn impacts downstream industries, and emergencies and environmental protection policies also affect relevant bonds [16][17]. - Downturn in Cyclical Industries: In the downturn of cyclical industries such as agriculture, forestry, animal husbandry, and fishery, and the photovoltaic industry, the debt - paying ability of enterprises weakens, leading to high risks for convertible bonds. For instance, "Zhengbang Convertible Bond" and "Jingneng Convertible Bond" faced problems due to industry downturns [21][22]. - Goodwill Impairment Risk: High - premium mergers and acquisitions may lead to goodwill impairment, which can drag down the issuer's performance. In the 2024 annual reports of 522 non - directional convertible bond issuers, 110 had goodwill impairment, with a total impairment of 5.565 billion yuan [24][25]. - Corporate Governance Defects: Common governance defects in private enterprises, such as information disclosure violations, illegal activities by actual controllers or senior executives, and high - proportion equity pledges, are important incentives for convertible bond risks [29]. 3.2.2 Market Risk - From the Perspective of Equity Nature - Weakness in the Equity Market: It weakens the effectiveness of clause games. On one hand, the conversion value is compressed, and investors' willingness to convert decreases. On the other hand, the put - back pressure surges, which may trigger issuer's default [31][32]. - Deterioration of Market Liquidity: It can lead to a vicious cycle of "panic selling - price decline - liquidity exhaustion", especially affecting low - rated and low - liquidity convertible bonds [33]. - Tightening of Delisting Rules: The new delisting rules in 2024 have accelerated the clearance of weak - quality issuers, making the credit risk and delisting risk of convertible bonds closely related. Four types of convertible bond issuers need to be closely monitored [34][43]. 3.3 Analysis of Diversified Paths and Practical Characteristics of Convertible Bond Risk Disposal - Clause Game: Issuers can lower the conversion price to encourage investors to convert bonds, reducing their own debt - paying pressure. However, this method has certain requirements, such as obtaining shareholders' approval and reasonable adjustment range [45][48]. - Early Redemption: When the underlying stock price is too low to trigger the put - back clause, the issuer can redeem the convertible bonds in advance. But this requires sufficient cash flow [51]. - Introduction of Strategic Investors: When the issuer is in trouble, introducing strategic investors can help it get out of difficulties and improve its debt - paying ability [52]. - Extreme Disposal: When the issuer's operation deteriorates continuously, it may enter debt restructuring or bankruptcy liquidation procedures, usually causing significant losses to investors [55]. - Risk End - Game: With the implementation of new delisting rules, convertible bonds usually delist along with their underlying stocks. Delisted convertible bonds have a high risk of default [59]. 3.4 Future Outlook - Batch Maturity: The year 2027 may be a peak year for convertible bond maturities, which may lead to local liquidity pressure and credit risk [62]. - Risk Release: The decline in the conversion ratio weakens the "natural clearance" ability, the high proportion of low - rated convertible bonds amplifies credit risk, and the difference in exit methods reflects risk stratification [64][66][67]. - Key Industries: The chemical industry will face a peak of risk release in 2028, while the construction industry has a gentle maturity rhythm, but still needs to pay attention to the repayment ability of individual issuers [68][69][71].