Securities Times reporter Sun Xiangfeng

　　The bull market in convertible bonds that has lasted for more than three years has recently encountered a lot of tests.

　　On February 15, the CSI Convertible Bond Index fell by 1.52%, and even fell by 3.01% in the previous trading day.

Negative factors such as the continuous compression of the valuation of the underlying stocks and the sharp drop in the celebrity bonds have made many investors who have experienced market adjustments feel discouraged.

　　"Since the beginning of the year, the underlying stock market has continued to adjust, and the overall price of convertible bonds is relatively high. The safety pad is limited; on the other hand, the valuation level of the convertible bond market has continued to rise since the second half of last year, which is an absolute high in recent years. Under the dual factors of the underlying stock and the valuation of convertible bonds, the liquidity of the superimposed convertible bond market is relatively lacking, and the rapid adjustment of some weighted targets has led to the recent sharp correction in the market." CITIC Securities Chief Economist Mingming In an interview with a reporter from Securities Times time indicated.

　　High valuation suppresses convertible bond market

　　On February 15, the CSI Convertible Bond Index closed down 1.52%, with a turnover of 55.725 billion yuan, and several bonds fell by more than 5%. The Jiangong Convertible Bond fell by nearly 8%, and the Zhongxin Convertible Bond fell by more than 7%. The "Dong Cai Zhuan 3", which fell sharply, fell slightly by 0.38%.

　　From a market perspective, the sharp drop in the star coupon "Dongcaizhuan 3" may be the trigger for the current round of market declines.

On February 14, "Dongcaizhuan 3" fell sharply, and as of the close of the day, the decline reached 13.46%.

　　"According to public information, as of the close on February 14, 'Dongcai Zhuan 3' still has a balance of 12 billion yuan, which ranks among the top ten bonds in the convertible bond market. Forcible redemption by investors will inevitably bring extreme Great selling pressure. The trading volume data on the day shows that the bond topped the list with 3.9 billion, which also magnified the overall downward momentum of convertible bonds." Zhang Yiye, fund manager of the convertible bond strategy of Chunda Fund, said.

　　However, the general decline in the market is not determined by the fluctuation of one or two bonds. Behind the adjustment of the market is more frustrated by the continuously rising valuation.

　　Wind data shows that as of February 14, the overall conversion premium rate of Shanghai and Shenzhen public convertible bonds was as high as 35.29%, which is an absolute high in history.

　　Zhang Yiye pointed out that both the stock market and the bond market have experienced a certain degree of correction recently.

The social financing exceeded expectations, which led to the rapid adjustment of the bond market, the stock market itself was also weak, and the risk appetite declined.

"Even after the decline in early December last year and January this year, the overall valuation of convertible bonds is still at a historically high level, so the response to the downward signal will be more intense." Zhang Yiye said.

　　Beginning in the second half of 2021, due to the popularity of some tracks in the equity market, a large amount of "fixed income +" funds poured into the convertible bond market, resulting in a rapid increase in the valuation of convertible bonds.

As of February 14, 2022, the conversion premium rate was 39.61%, which was at the quantile level of 91.16% since 2018.

High valuation makes convertible bonds less cost-effective for equity assets, and at the same time increases volatility. Marginal changes in the equity market and the pure bond market will affect high-valued bonds to a large extent.

　　When commenting on the recent market conditions, the Everbright Securities Zhang Xu team pointed out that high valuations and uncertainty about forced redemptions have increased the vulnerability of the convertible bond market.

Zhang Xu believes that an important reason for the increase in the number of high-priced and high-valued convertible bonds is that many listed companies will not immediately announce forced redemption after triggering the forced redemption conditions, but if the company subsequently issues a redemption announcement, it may cause the price of convertible bonds to drop Highs fell sharply.

At the same time, the foreclosure of convertible bonds will also lead to a decline in the positive stock, which in turn drives the decline of convertible bonds. The negative feedback causes the price of convertible bonds to drop sharply after the announcement of foreclosure.

　　In addition, there are many high-priced convertible bonds that have triggered foreclosure conditions and have exceeded the "protection period" of non-forcible redemption. In the case of a weak market, investors are unwilling to bear uncertainty, so they will also choose to obtain After the profit is settled, the convertible bonds are sold.

　　Significant withdrawal of institutional funds

　　It is worth noting that in this round of corrections, market liquidity has been frequently mentioned by analysts, which may be behind the withdrawal of funds from previously profitable "fixed income +" and other products.

　　Zhang Xu pointed out that from the comparison of the decline in the A-share market and the convertible bond market, the adjustment rate of the convertible bond market this time exceeded that of the A-share market.

Therefore, the reason for this adjustment is not caused by a downturn in the equity market, but by a large number of investors in the convertible bond market.

　　The latest statistics from Guotai Junan show that in January 2022, the net increase of "fixed income +" funds was 34.755 billion yuan, a sharp drop from the net increase of 220.721 billion yuan in December 2021.

In January 2021, this figure was 74.889 billion yuan, and the slowdown in the growth rate of "fixed income +" funds shows that investors lack confidence.

　　In fact, the continuous rise of the convertible bond market in the past two years is inseparable from the issuance of a large number of "fixed income +" and other products.

The holding structure of major securities investors in the Shanghai stock market disclosed by the SSE Bond Information Network shows that in January 2022, the fund held about 127.453 billion yuan of convertible bonds in the Shanghai stock market, an increase of 1.656 billion yuan from 109.342 billion yuan in December last year. %, and the year-on-year increase was as high as 81.72%.

　　"Although the CSI Convertible Bond Index still performed very well before February 14, it is doubtful whether the situation of weak underlying stocks and strong convertible bonds can continue, and it is reasonable to redeem 'fixed income +' products to lock in returns." Chief Fixed Officer of Kaiyuan Securities In an interview with a Securities Times reporter, income analyst Chen Xi said, "Since 2021, the convertible bond market has performed very well. Benefiting from the large-scale issuance of 'fixed income +' products, some asset management products cannot directly invest in stocks, so they have to convert The use of bonds as an alternative to stocks has led to a continuous upward trend in the premium rate of the convertible bond market."

　　The current redemption may bring more shocks to the market.

Chen Xi said frankly that in the period of stable stock market and "fixed income+" expansion, the high premium rate of convertible bonds is not a problem. Once the stock market continues to weaken and the funds flowing to "fixed income+" decrease, how can the high premium rate of convertible bonds be absorbed? It becomes a problem, and the convertible bonds will face challenges.

　　Chen Xi also said that "fixed income +" should be viewed rationally, not as a risk-free, high-yield asset, but should be seen through the phenomenon. At present, most of the thickening income of "fixed income +" comes from stocks. , Convertible bonds.

The popularity of "fixed income +" is reasonable, but blindly investing in "fixed income +" regardless of valuation ignores risks.

　　"There is no publicly available channel for short-term application and redemption data in the market. Considering the relatively lack of liquidity in the convertible bond market, the inflow and outflow of funds will indeed have an impact on the convertible bond market." Mingming said that the current increase in the volatility of the convertible bond market is also related to the underlying stock market. Similar to the market, the valuation level is also higher than in the past. Investors need to be psychologically prepared for high volatility, and it is particularly important to fully understand the characteristics of the convertible bond market before participating.

　　Regarding the market outlook, Chen Xi believes that after the decline on February 14 and February 15, it remains to be seen whether the convertible bonds will trigger the "redemption-fall" cycle.

In terms of valuation, there is still a lot of room for recovery, so the underlying stock is still better than the convertible bond.

　　"The current volatility in the convertible bond market is more about technical adjustments. Under the superposition of internal and external factors such as high valuations, greater downward pressure on the economy, and shrinking external liquidity, a certain degree of decline is normal and does not affect The convertible bond market is looking good for a long time. However, it should also be noted that the structural market in 2022 may be a high probability event.” Zhang Yiye said that it is expected that convertible bonds will gradually bottom out in the first quarter, and will follow the market rhythm after the policy is digested. Slowly rising; at the same time, affected by the supply and demand relationship of the entire market, the trend of the convertible bond market continuing to be hot is still there.