转债周度跟踪：机构普遍欠配，转债韧性较强-20251213

Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - The convertible bond market showed unexpected resilience despite large fluctuations in the equity market towards the end of the year, which may be related to the significant under - allocation pressure of institutional investors such as insurance, annuity, and public funds. With a consistent expectation of the "Spring Rally" next year, there is still room for a bullish view on the convertible bond market [4][5]. 3. Summary by Catalog 3.1 Weekly Viewpoint and Outlook - The equity and convertible bond markets remained in a volatile trend this week. Micro - cap stocks in major stock indices declined significantly, but the convertible bond market was relatively insensitive. The negative impact of micro - cap stock declines on convertible bonds was less than that in late August and late November. - Convertible bond valuations fluctuated in tandem with the market. The 100 - yuan premium rate fluctuated around 30%. Structurally, the valuation of the equity - biased area was better than that of the bond - biased area. Under multiple negative factors such as high valuations, capital outflows, and adjustments in pure bonds, the valuation of the bond - biased area weakened compared with the previous period. In the context of weak performance of the underlying stocks, the valuation of the equity - biased area rose inversely, showing a certain degree of resilience [4][5]. 3.2 Convertible Bond Valuation - This week, the underlying stocks declined slightly, and the convertible bond market was roughly flat, with valuations showing volatility. After excluding abnormal points, the 100 - yuan premium rate of the entire market's convertible bonds was 29.8%, a weekly decline of 0.1%, and the latest quantile level was at the 99.1% percentile since 2017. - The valuation of the equity - biased area was still better than that of the bond - biased area. With weak performance of the underlying stocks, the high - parity area's valuation provided reverse support and showed resilience. The valuation of the bond - biased area remained weak, but there were structural differences. The valuation of the 80 - 100 yuan parity area, which had performed weakly previously, stabilized, while the valuation of the area below 80 yuan remained weak. - The median price and yield to maturity of convertible bonds were reported at 130.90 yuan and - 6.56% respectively, a change of - 0.71 yuan and + 0.00% compared with last week. The current quantile levels were at the 97.30 and 1.40 percentiles since 2017 [4][6][11]. 3.3 Clause Tracking - Redemption: This week, Hugong and Yingbo Convertible Bonds announced redemptions, while Bojun Convertible Bond announced no redemption, with a forced - redemption rate of 67%. Currently, there are 20 convertible bonds that have issued forced - redemption or maturity - redemption announcements but have not yet delisted. The potential conversion or maturity balance of forced - redemption and maturity convertible bonds among the non - delisted bonds is 4.9 billion yuan. There are currently 22 convertible bonds in the redemption process. Six are expected to meet the redemption conditions next week, and 10 are expected to issue announcements indicating that they are likely to trigger redemption. In addition, 9 convertible bonds are expected to enter the forced - redemption counting period within the next month [4][18][20]. - Downward Revision: This week, Bengang, Jinlangzhuan 02, and Hongchuan Convertible Bonds proposed downward revisions. As of now, 107 convertible bonds are in the non - downward - revision interval, 20 cannot be downward - revised due to net - asset constraints, 1 has triggered the condition and the stock price is still below the downward - revision trigger price but no announcement has been made, 29 are accumulating days for downward revision, and 5 have issued downward - revision board proposals but have not yet gone to the shareholders' meeting [4][24]. - Put Option: This week, Wanqing Convertible Bond issued a conditional put - option announcement, and Huahai Convertible Bond has triggered the put - option clause but has not yet issued an announcement. As of now, 4 convertible bonds are accumulating days to trigger the put option, among which 1 has proposed a downward revision and 3 are in the non - downward - revision interval [4][26]. 3.4 Primary Issuance - This week, Aohong, Shenyu, and Tianzhun Convertible Bonds were issued, and Dingjie Convertible Bond will be issued next week. As of now, Pulan, Aohong, Shenyu, and Tianzhun Convertible Bonds have been issued but are not yet listed. - As of now, there are 5 convertible bonds at the approval - for - registration stage, with a total issuance scale of 5.1 billion yuan; and 9 convertible bonds at the stage of passing the listing - committee review, with a total issuance scale of 10 billion yuan [4][28].