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Skillsconvertible-bond-valuation

convertible-bond-valuation

Data & analytics

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Updated 10-16 04:59

About this skill

Convertible Bond Valuation and Game Quick Commentary

Skill Overview

This skill is intended for securities fixed income analysts, providing rapid valuation analysis and game opportunity discovery for convertible bonds. Core functions include conversion premium rate calculation, forced redemption risk assessment, downward revision game analysis, and arbitrage opportunity identification, outputting standardized Markdown-format quick commentary reports.

Data Acquisition Strategy

Core data source: gildata-aidata

All convertible bond quotes, underlying stock data, and announcement public opinion are preferentially obtained through the gildata-aidata service.

Data Requirement Recommended Tool Description
Convertible Bond Value Analysis CBBondValueAnalysis Obtain multi-dimensional value indicators for convertible bonds such as conversion premium rate, pure bond premium rate, conversion value, yield to maturity, forced redemption/downward revision trigger price, remaining size, rating, etc.
Convertible Bond Dragon-Tiger List CBDailyTopListDetails Obtain macro capital flow data such as reasons for convertible bond listing, capital flow, and abnormal movement interval performance
Underlying Stock Real-Time Quotes AShareLiveQuote Obtain real-time quotes such as the latest price, change percentage, trading volume, order ratio, and market value of the underlying stock
Underlying Stock Valuation Indicators StockValueAnalysis Obtain valuation indicators such as PE, PB, EV, and dividend yield of the underlying stock
Underlying Stock Interval Quotes StockRangeQuotation Obtain the underlying stock's price trend over the past 30 days, used to judge forced redemption/downward revision trigger trends
Convertible Bond Announcements BondAnnouncement Search bond market announcements, covering types such as forced redemption, downward revision, put option, and maturity
Convertible Bond Public Opinion SecurityNewslist Query bond-related public opinion, supporting filtering of risk information by sentiment type and securities code

Data Acquisition Priority

  1. Convertible Bond Core Value: Prioritize gildata-aidata of CBBondValueAnalysis, to obtain multi-dimensional convertible bond value indicators in one click.
  2. Underlying Stock Quotes and Valuation: Prioritize gildata-aidata of AShareLiveQuote and StockValueAnalysis。
  3. Announcements and Public Opinion: Prioritize gildata-aidata of BondAnnouncement and SecurityNewslist。
  4. Supplementary Information：web_search is only used to supplement breaking news details or cross-validate key data.

Workflow

Step 1: Obtain Convertible Bond Basic Data and Value Analysis

Use finx gildata-aidata CBBondValueAnalysis to query the core value indicators of the target convertible bond:

finx gildata-aidata CBBondValueAnalysis --body '{
  "query": "[转债名称/代码]"
}'

This tool returns multi-dimensional value indicators for convertible bonds such as return, conversion, pure bond, volatility, trigger price, and fund holdings, including:

  • Latest convertible bond price, change percentage
  • Conversion premium rate, pure bond premium rate
  • Conversion value, yield to maturity
  • Conversion price, forced redemption trigger price, downward revision trigger price
  • Remaining size, bond rating, maturity date
  • Volatility indicators

Step 2: Obtain Underlying Stock Real-Time Quotes and Valuation

Use finx gildata-aidata AShareLiveQuote to query the underlying stock's real-time quotes:

finx gildata-aidata AShareLiveQuote --body '{
  "query": "[正股名称/代码]"
}'

Use finx gildata-aidata StockValueAnalysis to query underlying stock valuation metrics:

finx gildata-aidata StockValueAnalysis --body '{
  "query": "[正股名称/代码]"
}'

Retrieve underlying stock data including:

  • Latest stock price, price change, volume
  • 20-day average price, 30-day average price
  • Price-to-Earnings ratio (PE), Price-to-Book ratio (PB)
  • Total market cap, circulating market cap

If you need the recent trend of the underlying stock, use finx gildata-aidata StockRangeQuotation to query interval market data:

finx gildata-aidata StockRangeQuotation --body '{
  "query": "[正股名称/代码] 近30个交易日行情"
}'

Step 3: Query convertible bond announcements and public sentiment

Use finx gildata-aidata BondAnnouncement to query convertible bond-related announcements:

finx gildata-aidata BondAnnouncement --body '{
  "query": "[转债名称/代码] 强赎 下修 回售 到期"
}'

Use finx gildata-aidata SecurityNewslist to query convertible bond public sentiment:

finx gildata-aidata SecurityNewslist --body '{
  "query": "[转债名称/代码]"
}'

Step 4: Core metric calculation

1. Conversion premium rate analysis

转股溢价率 = (转债价格 - 转股价值) / 转股价值 × 100%
转股价值 = 100 / 转股价 × 正股价格

Judgment criteria:

  • Premium rate < 0%: discount state, arbitrage opportunity exists
  • Premium rate 0%-20%: low premium, strong equity nature
  • Premium rate 20%-50%: medium premium, balanced type
  • Premium rate > 50%: high premium, strong bond nature

2. Redemption risk assessment

Redemption trigger conditions (common clauses):

  • The underlying stock price is not lower than 130% of the conversion price on at least 15 of 30 consecutive trading days
  • Or the convertible bond price remains above 130 yuan

Risk assessment points:

  • Current underlying stock price / conversion price ratio
  • Underlying stock price trend over the past 30 days
  • Whether the company has a history of forced redemption
  • The company's funding pressure and willingness to promote conversion

Forced redemption risk level:

  • 🔴 High risk: underlying stock price/conversion price > 1.3, and sustained for multiple days
  • 🟡 Medium risk: underlying stock price/conversion price 1.2-1.3, close to the trigger line
  • 🟢 Low risk: underlying stock price/conversion price < 1.2

3. Downward revision game analysis

Downward revision trigger conditions (common clauses):

  • The underlying stock price is lower than 85% (or 80%) of the conversion price on at least 15 of 30 consecutive trading days

Downward revision likelihood assessment:

  • Current underlying stock price / conversion price ratio
  • Remaining term (willingness to revise downward is stronger near maturity)
  • Whether the company has a history of downward revision
  • Major shareholder bondholding ratio (degree of interest alignment)
  • The company's debt repayment pressure

Downward revision space calculation:

下修后转股价 ≥ 股东大会召开日前20日均价 和 前1日均价 的较高者
理论下修后转债价值 = 100 / 新转股价 × 正股价格

4. Arbitrage opportunity discovery

Discount arbitrage:

  • Convertible bonds with conversion premium rate < 0%
  • Can buy convertible bonds → convert to shares → sell underlying stock (T+1 trading rules must be considered)

Low premium game:

  • Premium rate < 10% and underlying stock has upward expectations
  • Convertible bond price < 110 yuan and premium rate is relatively low

Downward revision game:

  • Meets downward revision conditions + company has willingness to revise downward
  • Small remaining scale and high major shareholder bondholding ratio

Putback game:

  • Near the putback period + underlying stock price below the putback trigger price
  • The company may avoid putback by driving up the stock price or revising the conversion price downward

Step 5: Generate a quick commentary report

Generate a Markdown-format report according to the following template:

# [转债名称]([转债代码]) 估值与博弈速评

**报告日期：** YYYY-MM-DD  
**转债价格：** XX.XX元 | **涨跌幅：** ±X.XX%  
**正股价格：** XX.XX元 | **涨跌幅：** ±X.XX%

---

## 一、核心估值指标

| 指标 | 数值 | 评价 |
|------|------|------|
| 转股溢价率 | X.XX% | 低/中/高 |
| 纯债溢价率 | X.XX% | - |
| 转股价值 | XX.XX元 | - |
| 到期收益率 | X.XX% | - |
| 剩余规模 | X.XX亿元 | 小/中/大 |
| 债券评级 | AA/AA+等 | - |
| 剩余期限 | X.XX年 | - |

## 二、强赎风险分析

**强赎触发价：** XX.XX元（转股价的130%）  
**当前正股价/转股价比值：** X.XX

**风险等级：** 🟢低风险 / 🟡中风险 / 🔴高风险

**分析：**
- 正股价格走势判断
- 距离触发条件的差距
- 公司强赎意愿评估

## 三、下修博弈分析

**下修触发价：** XX.XX元（转股价的85%/80%）  
**当前正股价/转股价比值：** X.XX

**下修可能性：** 低/中/高

**关键因素：**
- 剩余期限：X.XX年
- 公司下修历史：有/无
- 大股东持债比例：X.XX%
- 偿债压力：低/中/高

**理论下修空间：**
- 前20日均价：XX.XX元
- 前1日均价：XX.XX元
- 理论最低转股价：XX.XX元
- 下修后理论价值：XX.XX元

## 四、套利机会评估

### 折价套利
- 当前溢价率：X.XX%
- 套利空间：X.XX元/张
- 操作建议：可行/不可行（考虑T+1风险）

### 低溢价博弈
- 溢价率水平：X.XX%
- 正股上涨弹性：高/中/低
- 转债防御性：强/中/弱

### 下修博弈
- 满足下修条件：是/否
- 下修概率评估：X%
- 博弈盈亏比：高/中/低

## 五、综合评级与操作建议

**转债评级：** A/B/C/D（A最优）

**投资逻辑：**
1. 核心驱动因素
2. 主要风险点
3. 操作建议

**风险提示：**
- 正股下跌风险
- 强赎风险
- 信用风险
- 流动性风险

---
*本报告仅供参考，不构成投资建议。*

Tool usage specifications

  1. Data query: Prefer using gildata-aidata service to obtain authoritative financial data

    • CBBondValueAnalysis: Multi-dimensional value analysis of convertible bonds (core tool)
    • AShareLiveQuote: Real-time underlying stock quotes
    • StockValueAnalysis: Underlying stock valuation metrics (PE/PB, etc.)
    • StockRangeQuotation: Underlying stock range market data (used to judge trends)
    • BondAnnouncement: Convertible bond-related announcement inquiry
    • SecurityNewslist: Convertible bond public opinion information

  2. Multi-source verification: Key data can be cross-verified through web_search cross-verification

  3. Real-time nature: Mark the data acquisition time and remind users to pay attention to timeliness

  4. Accurate calculation: All indicators such as premium rates and ratios must be calculated accurately

Notes

  1. Clause differences: The forced redemption/downward revision clauses of different convertible bonds may differ and shall be subject to the prospectus
  2. Trading rules: Conversion arbitrage needs to take into account the T+1 rule and transaction costs
  3. Credit risk: Attention should be paid to default risk for low-rated convertible bonds
  4. Liquidity: Small-scale convertible bonds may have insufficient liquidity problems
  5. Disclaimer: The end of the report must include risk warnings and a disclaimer

Example invocation

User input: "Analyze Ningyin Convertible Bond"

Skill execution:

  1. Obtain convertible bond value: gildata-aidata CBBondValueAnalysis (query Ningyin Convertible Bond)
  2. Obtain underlying stock market data: gildata-aidata AShareLiveQuote (query Bank of Ningbo)
  3. Obtain underlying stock valuation: gildata-aidata StockValueAnalysis (query Bank of Ningbo PE/PB)
  4. Obtain convertible bond announcements: gildata-aidata BondAnnouncement (query Ningyin Convertible Bond forced redemption/downward revision announcements)
  5. Calculate core indicators: conversion premium rate, forced redemption risk level, downward revision possibility
  6. Generate report: generate a Markdown-format convertible bond valuation and game rapid assessment report according to the template
  7. Output report: directly display the complete report content in the conversation

Skill update log

2026-05-11 update：

  • Core data source change: Fully integrate gildata-aidata services, replacing the original eastmoney-mx service.
  • Clear tool mapping: Add a tool comparison table, covering convertible bond value analysis (CBBondValueAnalysis), underlying stock market data (AShareLiveQuote), underlying stock valuation (StockValueAnalysis), convertible bond announcements (BondAnnouncement), etc.
  • Process optimization: Clarify the execution order of first obtaining Gildata convertible bond value data, then obtaining underlying stock market data and valuation, and finally conducting game analysis in combination with announcements and public opinion.