转债周度跟踪：估值压缩明显扩散，转债“负凸”-20260314

1. Report Industry Investment Rating There is no information provided regarding the industry investment rating in the report. 2. Core Viewpoints - Recently, convertible bonds have shown a "negative convexity" characteristic, where they follow the decline but not the rise of the underlying stocks, with both returns and drawdowns significantly worse than those of the underlying stocks [6]. - The compression of convertible bond valuations started in the first week after the Spring Festival. Although the equity market performed well in that week, there was an obvious structural shift, with the technology sector performing weakly. Additionally, non - callable convertible bonds generally entered the second round of call - counting periods. Despite the decent performance of the underlying stocks, high - parity convertible bonds and new/secondary new bonds actively compressed their valuations due to poor expectations [6]. - Subsequently, the conflict between the US and Iran impacted global risk appetite, causing a surge in oil prices. The domestic equity market oscillated weakly, and the compression of convertible bond valuations spread comprehensively, with valuations in the debt - biased and balanced intervals also declining significantly [6]. - From a rolling perspective, the 100 - yuan premium rate has returned to around the +1 standard deviation level, and the central value has significantly declined from the previous high. In the short term, convertible bond valuations have compressed to a phased low. Given the medium - term expectation of a slow - bull equity market, the convertible bond market has shown a certain cost - effectiveness, and opportunities for individual bonds with certain cost - effectiveness in valuation can be actively explored [6]. 3. Summary by Relevant Catalogs 3.1 Week's Viewpoint and Outlook - Convertible bonds showed "negative convexity", with returns and drawdowns worse than underlying stocks. Valuation compression started after the Spring Festival, spread due to various factors, and now the 100 - yuan premium rate is near +1 standard deviation. There are opportunities in individual bonds [6]. 3.2 Convertible Bond Valuation - Amid the US - Iran conflict and the new round of China - US economic and trade consultations, the domestic equity market stabilized compared to last week, with small - and micro - cap stocks relatively weak. Convertible bonds continued to digest valuations this week. After removing outliers, the 100 - yuan premium rate decreased by 0.5% to 31.8%, roughly at the +1 standard deviation level [7]. - This week, convertible bond valuations continued to compress, spreading from high - parity and long - duration bonds to other intervals, showing a universal full - interval valuation compression feature. In the past two weeks, the compression was mainly concentrated in high - parity, new, and secondary new bonds, but this week it spread globally. The valuation compression amplitude of debt - biased and balanced convertible bonds was generally over 1%. From a term perspective, the valuation compression amplitude of new bonds over 5.5 years was close to 4%, and that of the 2 - 4 - year interval was also relatively large [11]. - From an individual bond perspective, in the high - parity interval above 140 yuan, bonds with large valuation compression are mostly those in the call progress or about to enter the call - counting period, with obvious pre - emptive characteristics, and the valuation compression due to call expectations is about 10%, such as Huamao and Chun 23. In other balanced and debt - biased intervals, bonds with large valuation compression are mostly new bonds that have not entered the conversion period, such as Jin 25, Zhuomei, etc. Bonds around 3 years like Yake and Daimei also had relatively large valuation compression due to the downward trend of the underlying stocks. In addition, valuations in the extremely low - parity area below 60 yuan were generally compressed [16]. - As of now, in terms of parity, the valuation quantiles of each interval are mostly in the 95 - 100 quantile range, significantly lower than the previous high. The valuation quantiles in the 110 - 140 - yuan parity interval are relatively low. In terms of term, the valuation quantiles in the less - than - 1 - year and 2 - 3 - year intervals are relatively low [18]. 3.3 Clause Tracking 3.3.1 Redemption - This week, 9 convertible bonds such as Fenggong and Liyang announced redemptions, and 4 announced non - redemptions, with a call rate of 69%. Currently, there are 31 convertible bonds that have issued call or maturity redemption announcements but have not delisted. Among the non - delisted bonds, the potential conversion or maturity balance of call and maturity bonds is 12.2 billion yuan [25]. - There are currently 47 convertible bonds in the redemption progress. Next week, 12 are expected to meet the redemption conditions, and 11 are expected to issue announcements of potential redemption triggers. In addition, 13 convertible bonds are expected to enter the call - counting period within the next month [29]. 3.3.2 Downward Revision - This week, Weining Convertible Bond proposed a downward revision, and no bond announced the downward - revision result. As of now, 79 convertible bonds are in the non - downward - revision interval, 18 cannot be downward - revised due to net - asset constraints, 0 have triggered the condition and the stock price is still below the downward - revision trigger price but no announcement has been made, 21 are accumulating downward - revision days, and 6 have issued downward - revision board proposals but have not gone to the shareholders' meeting [33]. 3.3.3 Put Option - This week, no 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 interval [35]. 3.4 Primary Issuance - As of now, there are 6 convertible bonds in the approval - registration progress, with a to - be - issued scale of 5.3 billion yuan; there are 9 convertible bonds in the listing - committee - approval process, with a to - be - issued scale of 8.2 billion yuan [37].