转债周度跟踪：新券和次新券估值连续2周压缩-20260307

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The conflict between the US and Iran has disturbed the domestic risk appetite, causing the equity and convertible bond markets to decline simultaneously. However, the market shows some resilience due to the policy expectations of the Two Sessions. The convertible bond market focuses on new bond valuations and call risks. After last week's active valuation compression of high - parity convertible bonds, the decline in the valuation of high - parity convertible bonds has significantly narrowed this week, and the difference in valuation changes in the term distribution is more obvious. The valuations of new and sub - new bonds with a remaining term of more than 5 years have decreased significantly. Looking forward, the policy is positive, and the domestic equity market is expected to rise, but attention should be paid to avoiding call and near - maturity convertible bond risks [3][6]. 3. Summary by Directory 3.1 Week's Viewpoint and Outlook - The conflict between the US and Iran has affected the domestic risk appetite, leading to a decline in the equity and convertible bond markets. But the market shows resilience due to the Two Sessions' policy expectations. The convertible bond market focuses on new bond valuations and call risks. After last week's valuation compression of high - parity convertible bonds, the decline in their valuation has narrowed this week. The valuations of new and sub - new bonds with a remaining term of more than 5 years have decreased significantly. One reason is the unexpected call of Anji Convertible Bond and the general entry of sub - new bonds into the second round of call progress, increasing the expected call probability. The other is the poor performance of the equity market and the large retracement of the technology sector, which has led to a convergence of optimistic sentiment about the underlying stocks, causing the valuations of new and sub - new bonds to decline in line with the underlying stocks. The decline of new and sub - new bonds is greater than that of the whole market this week. In the future, the policy is positive, and the domestic equity market is expected to rise, with a focus on avoiding call and near - maturity convertible bond risks [3][6]. 3.2 Convertible Bond Valuation - The domestic equity and convertible bond markets are greatly affected by news. The risk appetite is still impacted by the US - Iran conflict, but the market shows some resilience due to the Two Sessions' policy expectations. The convertible bond valuation shows a weak and volatile performance. After removing outliers, the 100 - yuan premium rate has decreased by 0.4% to 32.3%, which is significantly lower than the 2 - standard - deviation level. - This week, the convertible bond valuation continues to show a structural compression feature, with more obvious differences in the term distribution. The valuations of new and sub - new bonds with a term of more than 5 years are still significantly compressed. The conversion premium rates in each parity range have generally decreased month - on - month. The valuation in the parity range above 140 yuan has decreased by 2.7%, and the decline has narrowed compared with last week, but the valuation compression of new and sub - new bonds is still large, with the valuation of new bonds with a term of more than 5.5 years compressed by more than 5%. - From the perspective of individual bonds, the valuations of new and sub - new bonds with a remaining term of more than 5 years have generally decreased. The bonds with a large month - on - month decline in valuation, such as Tianzhun, Weidao, Kaizhong, Shangtai, and Jin 25, have a decline of more than 10%, which is mostly related to the significant decline of the underlying stocks. In addition to new and sub - new bonds, the convertible bonds with a large month - on - month decline in valuation in the parity range above 120 yuan are mostly affected by call expectations, such as Liyang, Zhenhua, Zhongchong Zhuan 2, and Yong 02, and their latest conversion premium rates have been compressed to less than 10%, implying a strong call expectation. - As of the latest, in terms of parity, the valuation of the 90 - 110 yuan parity range is resilient, and the quantile is still close to 100%. The quantiles of other parity ranges have loosened significantly. In terms of term, the valuation quantiles of the 1 - 2 - year and 3 - 4 - year term ranges are close to 100%, while those of the 2 - 3 - year and less - than - 1 - year term ranges are relatively low [5][7][11]. 3.3 Clause Tracking 3.3.1 Redemption - This week, 3 convertible bonds, including Anji, Hengyi, and Zhonghuan Zhuan 2, announced redemptions, and 0 announced non - redemptions, with a call rate of 100%. Currently, there are 26 convertible bonds that have issued call or maturity redemption announcements but have not been delisted. Among the non - delisted convertible bonds, the potential conversion or maturity balance of call and maturity convertible bonds is 10.9 billion yuan. - Currently, there are 52 convertible bonds in the redemption progress. 17 are expected to meet the redemption conditions next week, and 18 are expected to issue announcements of potential redemption triggers. In addition, 10 convertible bonds are expected to enter the call counting period within the next month [21][22][25]. 3.3.2 Downward Revision - This week, 3 convertible bonds, including Wentai and Qiaoyin, proposed downward revisions, and Bairun Convertible Bond announced the downward revision result, with the revision reaching the bottom. As of the latest, 81 convertible bonds are in the non - downward - revision interval, 19 cannot be downward - revised due to net asset constraints, 0 have triggered the downward - revision condition but the stock price is still lower than the trigger price and no announcement has been made, 21 are accumulating downward - revision days, and 5 have issued downward - revision board plans but have not held a general meeting of shareholders [26]. 3.3.3 Put Option - No convertible bond issued a conditional put option announcement this week. As of the latest, 1 convertible bond has issued a put option announcement, and 3 are accumulating put - option trigger days, among which 1 is also accumulating downward - revision days, and 2 are in the non - downward - revision interval [29]. 3.4 Primary Issuance - As of the latest, there are 4 convertible bonds in the approval - registration progress, with a to - be - issued scale of 3.6 billion yuan; there are 9 convertible bonds in the listing - committee - approval process, with a to - be - issued scale of 8.8 billion yuan [31].