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 about the industry investment rating is provided in the report. 2. Core Viewpoints - Recently, convertible bonds have shown a "negative convexity" characteristic, with returns and drawdowns significantly worse than the underlying stocks. The compression of convertible bond valuations started in the first week after the Spring Festival. Although the equity market performed well during this period, there was an obvious structural shift, and the technology sector was weak. 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. Subsequently, the conflict between the US and Iran impacted global risk appetite, causing a surge in oil prices and a weak and volatile domestic equity market. The compression of convertible bond valuations spread comprehensively, and the valuations in the debt - biased and balanced intervals also declined significantly. 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 compressed to a stage - low. With the expectation of a mid - term 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 [1][5]. 3. Summary by Directory 3.1 Weekly Viewpoint and Outlook - Convertible bonds have a "negative convexity" feature, performing worse than underlying stocks. The valuation compression started after the Spring Festival, affected by market structure shift, call - counting periods, and the US - Iran conflict. Currently, the 100 - yuan premium rate is around +1 standard deviation, and the convertible bond market has cost - effectiveness [1][5]. 3.2 Convertible Bond Valuation - Due to the surge in oil prices caused 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 valuations this week. After removing outliers, the 100 - yuan premium rate decreased by 0.5% to 31.8%, roughly equal to the +1 standard deviation level. This week, the valuation compression spread from high - parity and long - duration bonds to other intervals, showing a universal full - interval compression. The compression in the debt - biased and balanced convertible bonds was generally over 1%. From a term perspective, the valuation compression of new bonds over 5.5 years was close to 4%, and the compression in the 2 - 4 - year interval was also relatively large. In terms of individual bonds, high - parity bonds above 140 yuan with large valuation compression were 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 was about 10%. Other bonds with large valuation compression in the balanced and debt - biased intervals were mostly new bonds that had not entered the conversion period. Bonds around 3 years, such as Yake and Daimei, also had relatively large valuation compression due to the downward trend of the underlying stocks. In addition, the valuations in the extremely low - parity area below 60 yuan were generally compressed [4][6][9]. 3.3 Clause Tracking 3.3.1 Redemption - This week, 9 convertible bonds, including 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. There are currently 47 convertible bonds in the redemption progress. 12 are expected to meet the redemption conditions next week, 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 [23][27]. 3.3.2 Downward Revision - This week, Weining Convertible Bond proposed a downward revision, and no convertible bond announced the result of the downward revision. As of now, 79 convertible bonds are in the non - downward - revision interval, 18 cannot be revised downward due to net asset constraints, 0 have triggered the condition and the stock price is still below the downward - revision trigger price but have not issued an announcement, 21 are accumulating days for downward revision, and 6 have issued the board of directors' pre - plan for downward revision but have not gone to the shareholders' meeting [31]. 3.3.3 Put Option - This week, no convertible bond issued a conditional put option announcement. As of now, 4 convertible bonds are accumulating days to trigger the put option, among which 1 is also accumulating days for downward revision, and 3 are in the non - downward - revision interval [33]. 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 process of passing the listing committee, with a to - be - issued scale of 8.2 billion yuan [35].