转债周度跟踪：临期非银转债明显下跌-20251220

1. Report Industry Investment Rating No information provided in the content. 2. Core Viewpoints of the Report - This week, micro - cap stocks recovered. Convertible bonds rose following the underlying stocks. High - priced convertible bonds performed weakly. Low - priced convertible bonds performed strongly due to factors such as an increase in downward revision cases and the rise of underlying stocks. The increase of convertible bonds was significantly lower than that of underlying stocks due to the drag of high - priced convertible bonds [2][3]. - There are two structural characteristics. Firstly, the valuation of near - maturity convertible bonds is under great valuation attenuation pressure, especially non - financial convertible bonds with high previous valuations. Secondly, the call risk remains at a high level. Convertible bonds that were not called before have successively re - entered the call period, and the change in call expectations also leads to price pressure [2][3]. - In the case of a positive expectation for the equity market, there are still beta opportunities in the convertible bond market, but the valuation attenuation of near - maturity convertible bonds and call risks need to be focused on [2][3]. 3. Summary of Each Section 3.1 Weekly Viewpoint and Outlook - Micro - cap stocks recovered this week. Convertible bonds followed the underlying stocks to rise. High - priced convertible bonds were weak, while low - priced convertible bonds were strong. The increase of convertible bonds was significantly lower than that of underlying stocks [2][3]. - The valuation of near - maturity convertible bonds, especially non - financial ones, faced great attenuation pressure. The call risk remained high, and the change in call expectations led to price pressure [2][3]. - There are beta opportunities in the convertible bond market, but near - maturity valuation attenuation and call risks need attention [2][3]. 3.2 Convertible Bond Valuation - This week, the underlying stocks and convertible bonds recovered. The 100 - yuan premium rate slightly increased by 0.4% and returned above 30%. After excluding outliers, the 100 - yuan premium rate of the whole market's convertible bonds was 30.2%, up 0.4% week - on - week, and the latest quantile was at the 99.5% percentile since 2017 [2][4][5]. - The valuation structure changed. The valuation of the bond - biased area was better than that of the stock - biased area. The bond - biased area's valuation improved due to more downward revision cases and rising parity. The stock - biased area's valuation was weak due to call risks, and the conversion premium rate of the 130 - 140 yuan parity range increased significantly [2][9]. - In terms of individual bonds, among balanced and bond - biased convertible bonds, those with a large decline in valuation were mainly near - maturity ones like Hua'an, Guotou, and Jianyou Convertible Bonds. Among stock - biased convertible bonds, those with a rapid convergence of valuation due to call expectations were Hengshuai, Borui, and Jingzhuang Convertible Bonds [2][14]. - The median price of convertible bonds was reported at 132.04 yuan, up 1.14 yuan from last week, and the yield to maturity was - 6.81%, down 0.25% from last week. Their current quantiles were at the 98.60 and 0.70 percentiles since 2017 respectively [2][18]. 3.3 Clause Tracking 3.3.1 Redemption - This week, Bo 23 and Furong Convertible Bonds announced redemption, and Huayi Convertible Bond announced non - redemption, with a call rate of 67%. There are currently 18 convertible bonds that have issued call or maturity redemption announcements but have not delisted, and the potential conversion or maturity balance of call and maturity convertible bonds is 5.2 billion yuan [2][21]. - There are 26 convertible bonds currently in the redemption progress. 9 are expected to meet the redemption conditions next week, and 7 are expected to issue announcements that they are likely to trigger redemption. In addition, 9 convertible bonds are expected to enter the call counting period within the next month [2][26]. 3.3.2 Downward Revision - This week, Yuxing Convertible Bond proposed a downward revision, and Lanfan and Tianneng Convertible Bonds announced the downward revision results, both of which did not revise to the bottom. As of now, 114 convertible bonds are in the non - downward - revision period, 20 cannot be downward - revised due to net asset constraints, 1 has triggered the condition but has not issued an announcement, 24 are accumulating downward - revision days, and 4 have issued board proposals for downward revision but have not gone to the general meeting of shareholders [2][29]. 3.3.3 Put Option - This week, Huahai Convertible Bond issued a conditional put option announcement. As of now, 4 convertible bonds are accumulating put - option trigger days, among which 1 is also accumulating downward - revision days, and 3 are in the non - downward - revision period [2][31]. 3.4 Primary Issuance - Dingjie Convertible Bond was issued this week, and there will be no convertible bond issuance next week. As of now, Aohong, Shenyu, and Tianzhun Convertible Bonds have been issued but not yet listed, and Puxun Convertible Bond will be listed on December 22, 2025 [33]. - There are currently 7 convertible bonds in the approved - registration progress, with a pending issuance scale of 8.6 billion yuan; 10 convertible bonds are in the listing - committee - approved progress, with a pending issuance scale of 8.5 billion yuan [33].