At the bottom of the conversion bond price, the value of the option is outstanding
Judging from the average price of full-market convertible bonds, the current convertible bond price is at the bottom of history. If the 110-yuan line is used as the standard, there are two similar grinding-end intervals in history, one is 2004Q3-2006Q2 and the other is 2011Q3-2014Q2. After the two sections of the bottom, they have ushered in a big bull market with equity and convertible bonds. At present, the convertible bond market has once again entered the grinding range from 2017Q4.
In the bottom section, the allocation value of convertible bonds is highlighted: on the one hand, if the future turns to wide credit, equity assets will rise, and convertible bonds will benefit from the increase in parity. On the other hand, the convertible bonds themselves have clause amendment options, which is intensively revised from this year’s convertible bond issuers.ConversionThe price move can be seen.
In addition, the risk of retracement of holding the convertible bonds in the bottom section is limited. According to statistics, in widthcurrencyIn the tight credit cycle, the average decline in convertible bonds was -0.3%, and the holding of convertible bonds assumed a limited downside.
At present, the market is concerned about the length of time spent grinding. The historical tight credit cycle lasts for an average of 18 months and a maximum of 30 months. The latest round of tight credit cycle began in October 2017 and is currently close to 14 months. Although it is impossible to accurately predict the remaining duration of the tight credit cycle, and the market believes that the current tight credit pattern is different from the past, it is reflected in the unprecedented control of real estate and local governments, but in terms of statistical significance and policy intentions. Perhaps the switching of the credit pattern is in the near future.
The valuation center of partial-share convertible bonds is at a lower level
From the perspective of valuation, the first focus is on partial-share convertible bonds. At present, the average conversion-to-share premium rate of the whole market partial stock-type convertible bonds (transforming shares worth more than 90 yuan) is about 5%. Compared with the historical two-stage grinding interval, the average conversion premium rate of partial-share convertible bonds during 2004Q3-2006Q2 is about 4%, while the average conversion premium rate of partial-share convertible bonds during 2011Q3-2014Q2 is about 8 %, it can be seen that the valuation center of the current partial-share convertible bonds is already at a low level.
In fact, the phenomenon of the negative premium rate of convertible bonds in the market has emerged this year. The phenomenon of negative arbitrage mechanism and market preference is not reasonable. The side reflects the relative pessimism of the current convertible bond market.
The YTM of partial debt-based convertible bonds is higher, but factors such as default premium and liquidity premium should be considered.
Second, pay attention to partial debt-based convertible bonds. At present, the average yield to maturity of the whole market partial debt-type convertible bonds (the conversion value is less than 70 yuan) is about 4%. Due to the sample, we only compare the average yield to maturity of the debt-to-debt convertible bonds in the interval of 2011Q3-2014Q2. The current valuation of partial debt-based convertible bonds has a large valuation. Attractive.
However, it is undeniable that there are factors such as default risk premium and liquidity premium behind high YTM convertible bonds. YTM significantly exceeds the Huifeng convertible bonds, the Haiyin convertible bonds, and Hongtao convertible bonds with the same rate of corporate bond yields. The market is more worried about its default risk. Therefore, the convertible bonds with high maturity yields should be screened, only credit risk. The convertible bonds are the real safe and valuable investment targets. In addition, the liquidity of exchangeable bonds is relatively poor. Therefore, the 16 phoenix EB and 17 Zhejiang EBs whose main body and debt are both AAA have a yield to maturity that exceeds the corporate bond yield of the same rating. The factor of liquidity premium.
There is no shortage of attention to convertible bonds, and equity is the key to attracting new demand.
From the perspective of demand, although the index of this year’s convertible bonds is general, public offeringsfundThe transfer of debt positions has improved. As can be seen from the latest data, level oneDebt baseThe net debt ratio of convertible bonds held by the second-tier debt base increased by about 7% and 8% respectively in 2018.Bond fundThere is still room for improvement in the debt-to-debt position, especially the second-tier debt base. Compared with the historical bottom-range interval, the average value of the secondary debt-based convertible bond-to-net ratio during the period of 2011Q3-2014Q2 is about 18%. It is higher than the current level of about 15%.
The turnover of other types of investment institutions has risen and fallen depending on the nature of their funds. Since the convertible bond market is soft and is still in the bottoming stage for some time to come, the market value of convertible bonds held by investment institutions concerned with short-term trading opportunities has declined this year, such as trust products andBrokerSelf-employed. Long-term allocation funds have significantly increased their holdings of convertible bonds in 2018, such as insurance, annuities,Social securityWait. The unpredictability of the bottoming time makes long-term funds (such as insurance, social security, annuities) have a better preference for convertible bonds than short-term funds (such as brokers' own operations and trusts).
(Article source: Guosen Securities)