固定收益专题：可转债分析手册-240527-中泰证券-32页_1mb

Introduction to Convertible Bonds (CBs)

Convertible bonds (CBs) are hybrid securities with both debt and equity characteristics. Issued by companies, they allow bondholders to convert the bond into company stock under specified conditions within a certain period. CBs offer a balanced approach to risk and return, especially suitable for risk-averse investors who want to benefit from stock market upside.

Key Features

• Flexibility, Defensive Characteristic
  CBs have the unique ability to advance offensively (accruing interest and capital gains during stock price appreciation) and defensively (maintaining bond maturity value or a margin during stock price declines).

• Holding Period
  After at least 6 months from the issuance, if the stock price performs well and is higher than the conversion price, bondholders can convert the CBs into shares.

• Triggering Events
  In the event of financial difficulties, the bond may also be converted under specific market conditions.

Regulatory Evolution

• Convertible bond issuance regulations have undergone changes, especially with the establishment of the regulatory mechanism for convertible debt bond registration system.
• Initially, the CB market lacked a formal regulatory framework until the 1990s, after which the regulatory system continuously evolved.

Terms and Conditions

• Conversion Clause
  Allows bondholders to convert their bonds into company stock.

• Downward Adjustment Clause
  Allows the company to lower the conversion price if the stock price falls below a specific threshold for a supervised period.

• Redemption Clause
  Divided into mandatory redemption and anticipatory redemption (putting up the adoption of CBs early to lower the burden). Redemption price is tied to the issue price.

• Putback/Repurchase Clause
  Allows bondholders to return the bond early if specific conditions are met (e.g., changes in fund allocation).

Valuation Analysis

• Drivers
  CBs' market value is influenced by four factors: stock market expectations, bond market trends, supply-demand relations of CBs, and overall market liquidity conditions.

• Metrics
  Primary indicators include conversion premium rate (higher when bonds are more like shares or stocks), outstanding yield (higher in more bond-like situations), and put-back yield.

Market Observation

• From 2018 to 2024, the valuation premium for CBs has gradually increased.
• High YTM CBs tend to appeal to investors following market trends.

Risk Warning

• All the above information represents the understandings and observations based on data available at the time of analysis.
• The information may be subject to updates due to market changes.

This summary was compiled based on the professional analysis provided, keeping updates correct and objective within the current market context.