convertible-bond

A-share Convertible Bond Analysis

Overview

A-share convertible bonds are hybrid instruments characterized by "bond floor protection + equity option". This skill covers three-dimensional valuation of convertible bonds, clause game analysis, the double-low strategy, and a rotation bond selection framework.

Basic Concepts of Convertible Bonds

Core Elements

Element	Description	Example
Face value	100 yuan	-
Coupon rate	Incremental, usually 0.3%-2.0%	Year 1 0.4%...Year 6 2.0%
Conversion price	Price at which bonds are converted into shares	Conversion price 15.00 yuan
Maturity term	Usually 6 years	2024-2030
Redemption price at maturity	Face value + final-year interest + compensation	110-115 yuan
Putback clause	Puttable if the share price remains below 70% of the conversion price	30 days out of 30 consecutive trading days <70%
Forced redemption clause	Forced redemption if the share price remains above 130% of the conversion price	15 days out of 30 consecutive trading days >130%
Downward revision clause	Conversion price can be revised downward	15 days out of 30 consecutive trading days <85%

Key Indicators

转股价值 = 面值 / 转股价 × 正股价格
         = 100 / 15.00 × 18.00 = 120.00元

转股溢价率 = (转债价格 - 转股价值) / 转股价值 × 100%
           = (125 - 120) / 120 × 100% = 4.17%

纯债价值 = Σ(票息 / (1+r)^t) + 到期赎回价 / (1+r)^n
         ≈ 85-95元（取决于剩余期限和利率）

纯债溢价率 = (转债价格 - 纯债价值) / 纯债价值 × 100%

Three-Dimensional Valuation System

1. Straight bond value (bond floor)

def bond_floor(coupon_rates: list, years_remaining: float,
               redemption_price: float = 110, yield_rate: float = 0.03) -> float:
    """
    Args:
        coupon_rates: 剩余各年票面利率列表，如 [0.8, 1.0, 1.5, 2.0]
        years_remaining: 剩余年限
        redemption_price: 到期赎回价
        yield_rate: 折现率（同期信用债收益率，约2.5-4%）
    Returns:
        纯债价值
    """
    pv = sum(c * 100 / (1 + yield_rate)**i for i, c in enumerate(coupon_rates, 1))
    pv += redemption_price / (1 + yield_rate)**len(coupon_rates)
    return pv

Meaning of Straight Bond Value：

Higher straight bond value → stronger bond floor protection → limited downside
Straight bond value usually ranges from 85-100
Convertible bond price falling near straight bond value = "bond-like convertible bond", safe but with low elasticity

2. Conversion value (equity-like)

转股价值 = 100 / 转股价 × 正股当前价

影响因子:
- 正股价格（正相关）
- 转股价（负相关）
- 下修转股价 → 转股价值上升

3. Option value

期权价值 = 转债价格 - max(纯债价值, 转股价值)

期权价值高 → 市场看好正股上涨潜力 或 看好下修概率
期权价值低/负 → 便宜（可能有机会）

Three-Dimensional Judgment Matrix

Conversion value	Straight bond value	Convertible bond type	Strategy
>120	Not important	Equity-like	Track the underlying stock, watch forced redemption risk
100-120	Not important	Balanced	Offensive and defensive, optimal range
<100	>90	Bond-like	Hold for interest, wait for downward revision/underlying stock rebound
<80	<85	Distressed	High risk, possible credit risk

Clause Game Analysis

Downward Revision Game

Trigger condition: For 15 days out of 30 consecutive trading days, the closing price of the underlying stock is below 85% of the current conversion price.

下修概率评估:
1. 触发条件已满足/接近满足 → 高概率
2. 大股东持有大量转债未转股 → 高概率（有动力下修）
3. 公司即将面临回售 → 高概率（下修避免回售）
4. 公司现金充裕、无还债压力 → 低概率（无动力下修）
5. 转股会大幅稀释股权 → 低概率（控制权顾虑）

下修后影响:
- 转股价值 = 100 / 新转股价 × 正股价，通常瞬间上升
- 转债价格通常上涨 5-15%
- 但正股可能因稀释预期下跌

Forced Redemption Game

Trigger condition: For 15 days out of 30 consecutive trading days, the closing price of the underlying stock is above 130% of the conversion price.

强赎应对:
1. 公告强赎 → 必须在赎回日前转股或卖出
2. 赎回价通常 100.XX 元 → 远低于转股价值
3. 不转股 = 巨亏（如转债价160元，赎回价100元）

强赎信号:
- 正股价持续>转股价130% → 数天数
- 公司公告"不提前赎回" → 暂时安全
- 转股进度已>90% → 可能不赎回

Putback Game

Trigger condition: The underlying stock price remains below 70% of the conversion price for 30 consecutive days (in the final 2 interest-bearing years).

回售 = 投资者有权以面值+利息卖回给公司

公司应对:
1. 下修转股价 → 避免回售
2. 拉升股价 → 避免触发条件
3. 接受回售 → 掏钱还债

投资者策略:
- 在回售期持有纯债价值附近的转债 → 下有回售保底
- 下修预期 → 赚下修收益

Double-Low Strategy

Strategy Logic

双低值 = 转债价格 + 转股溢价率 × 100

双低值越低 → 价格低 + 溢价率低 → 性价比高

筛选条件:
1. 双低值 < 130（严格）或 < 150（宽松）
2. 转债价格 < 115（安全）
3. 转股溢价率 < 30%（弹性）
4. 剩余期限 > 1年（避免到期压力）
5. 信用评级 ≥ AA-（避免信用风险）

Double-Low Bond Selection Example

### 双低排名 Top 10

| 排名 | 转债名 | 价格 | 溢价率 | 双低值 | 评级 | 剩余年限 |
|------|--------|------|--------|--------|------|---------|
| 1 | XX转债 | 105.2 | 12.3% | 117.5 | AA | 3.2年 |
| 2 | YY转债 | 108.5 | 15.6% | 124.1 | AA | 2.8年 |
| ... | ... | ... | ... | ... | ... | ... |

Double-Low Strategy Backtesting Framework

class ConvertibleBondEngine:
    """双低策略信号引擎"""
    def generate(self, data_map):
        # 每月末计算双低值
        # 选 Top N 等权配置
        # 下月初调仓
        pass

Historical Performance Reference(A-share convertible bonds):

Annualized return: 10-15%
Maximum drawdown: -8% ~ -15%
Sharpe：1.0-1.5
Key risk: credit risk (default of small-cap convertible bonds)