转债周度跟踪20260313：估值压缩明显扩散，转债“负凸”-20260314

1. Report Industry Investment Rating No information provided in the given content. 2. Core Viewpoints of the Report - Recently, convertible bonds have shown a certain "negative convexity" feature, 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 in this round started in the first week after the Spring Festival. Although the equity market performed well in the first week after the festival, 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, new bonds, and sub - 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 sharp rise in oil prices. The domestic equity market was volatile and weak, leading to a full - scale spread of the compression of convertible bond valuations, with significant declines in the valuations of debt - biased and balanced intervals [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 shifted down from the previous high. In the short term, convertible bond valuations have been compressed to a stage - low. With the expectation of a slow - bull equity market in the medium term, 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 According to Relevant Catalogs 3.1 Week's Viewpoint and Outlook - Convertible bonds have a "negative convexity" feature, and the valuation compression started after the Spring Festival. Due to factors such as structural shifts in the equity market and the entry of non - callable bonds into the call - counting period, the valuation compression has spread, and currently, the convertible bond market has certain cost - effectiveness [6]. 3.2 Convertible Bond Valuation - Affected by the US - Iran conflict and the new round of Sino - 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 their valuations this week. After removing outliers, the 100 - yuan premium rate decreased by 0.5% to 31.8%, and currently, it is roughly at the +1 standard deviation level [7]. - This week, the compression of convertible bond valuations spread from high - parity and long - duration bonds to other intervals, showing a universal full - interval valuation compression feature. The valuation compression of bonds with a remaining term of more than 5.5 years was close to 4%, and the compression in the 2 - 4 - year interval was also relatively large [11]. - From the perspective of individual bonds, in the high - parity interval above 140 yuan, bonds with a large valuation compression are mostly those in the call progress or about to enter the call - counting period, with an obvious pre - emptive feature, and the valuation compression due to call expectations is mostly around 10%. In other balanced and debt - biased intervals, bonds with a large valuation compression are mostly new bonds that have not entered the conversion period. In addition, the 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, and the valuation quantiles in the 110 - 140 - yuan parity interval are relatively low. In terms of term, the valuation quantiles in the intervals within 1 year and 2 - 3 years 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 announcements or maturity redemption announcements and have not yet delisted, and the potential conversion or maturity balance of call and maturity bonds among the non - delisted bonds is 12.2 billion yuan [25]. - Currently, there are 47 convertible bonds in the redemption progress. 12 are expected to meet the redemption conditions next week, and 11 are expected to issue announcements indicating that redemption may be triggered. In addition, 13 convertible bonds are expected to enter the call - counting period within the next month [29]. 3.3.2 Downgrade - This week, Weining Convertible Bond proposed a downgrade, and no convertible bond announced the downgrade result. As of now, 79 convertible bonds are in the non - downgrade interval, 18 cannot be downgraded due to net asset constraints, 0 have triggered the condition and the stock price is still lower than the downgrade trigger price but have not issued an announcement, 21 are accumulating downgrade days, and 6 have issued board plans for downgrade 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 downgrade days, and 3 are in the non - downgrade interval [35]. 3.4 Primary Issuance - As of now, there are 6 convertible bonds in the approval - registration progress, with an issuance scale of 5.3 billion yuan; and 9 convertible bonds in the listing - committee - approval process, with an issuance scale of 8.2 billion yuan [37].