转债周度跟踪：高估值下转债抗回撤能力有限-20260131

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - This week, the high - level adjustment of precious metals led to significant pullbacks in the equity and convertible bond markets. The valuation of high - parity equity - biased convertible bonds decreased significantly on a month - on - month basis. At the high - valuation level, convertible bonds have poor risk - resistance capabilities. [1][5] - The positioning of the current convertible bond market shows four key characteristics: shifting from left - side thinking to right - side trading, from allocation value to trading value, from pursuing certain returns to weighing the risk - return ratio, and from bond - based or derivative pricing to being driven by institutional behavior and equity expectations. [1][5] - In the short term, one should actively defend and preserve profits to prepare for low - level layout after the holiday. In terms of structure, shift from focusing on high - price, newly - issued, and non - callable varieties to allocating convertible bonds with high ratings and similar dividend attributes to enhance portfolio stability. [1][5] 3. Summaries According to Relevant Catalogs 3.1 Weekly Views and Outlook - The high - level adjustment of precious metals this week led to significant pullbacks in the equity and convertible bond markets. The valuation of high - parity equity - biased convertible bonds decreased significantly on a month - on - month basis. The convertible bond market has poor risk - resistance capabilities at high - valuation levels. [1][5] - The convertible bond market positioning has four characteristics, and short - term active defense is recommended. Shift the focus of investment structure to enhance portfolio stability. [1][5] 3.2 Convertible Bond Valuation - The rapid decline of precious metals this week led to the decline of the equity and convertible bond markets. The 100 - yuan premium rate decreased by 0.7% to 32.8%, at the 99.5th percentile since 2017, and has fallen below the 2 - standard - deviation curve. [3][6] - Convertible bonds and their corresponding underlying stocks declined significantly this week. Valuations in each parity range generally decreased, with larger declines in the balanced and equity - biased regions and relatively stable valuations in the bond - biased region. The valuation in the 110 - 140 yuan parity range decreased significantly, mainly due to the significant decline of the underlying stocks. [3][11] - From the perspective of individual bonds, in the high - parity range above 100 yuan, the valuation of Hangyu was significantly compressed due to the increasing expectation of call, and the latest premium rate has been compressed to less than 10%. In the low - parity range below 100 yuan, the valuations of new and newly - issued bonds such as Anke, Zhengfan, and Shenyu tended to be compressed. [3][12] - As of now, the valuation quantile of the 130 - 140 yuan parity range has decreased significantly on a month - on - month basis, while the historical valuation quantiles of other parity ranges are still close to 100%. Although the valuations in each parity range have decreased on a month - on - month basis this week, the overall valuation quantiles are still high. [3][15] 3.3 Clause Tracking 3.3.1 Redemption - This week, Xingfa Convertible Bond announced redemption, and 2 convertible bonds announced non - redemption, with a call rate of 33%. Currently, there are 14 convertible bonds that have issued call or maturity redemption announcements and have not been delisted, and the potential conversion or maturity balance of call and maturity convertible bonds among the non - delisted bonds is 5.9 billion yuan. [3][19] - There are currently 60 convertible bonds in the redemption process. Next week, 21 are expected to meet the redemption conditions, and 12 are expected to issue announcements of potential call triggers. In addition, 20 convertible bonds are expected to enter the call counting period within the next month. [3][21] 3.3.2 Downward Revision - This week, Longda Convertible Bond proposed a downward revision, and Lanfan Convertible Bond announced the downward - revision result (not revised to the bottom). As of now, 99 convertible bonds are in the non - downward - revision range, 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, 14 are accumulating downward - revision days, and 3 have issued downward - revision board plans but have not gone to the general meeting of shareholders. [3][25] 3.3.3 Put Option - No convertible bonds issued conditional put - option announcements this week. 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 range. [3][28] 3.4 Primary Issuance - As of now, there are 10 convertible bonds in the approval - registration process, with a to - be - issued scale of 8.8 billion yuan; there is 1 convertible bond in the process of passing the listing committee, with a to - be - issued scale of 1.5 billion yuan. [30]