Convertible Bond Valuation and Rotation Analysis

Problem It Solves

A-share convertible bonds combine bond-like downside protection with equity optionality, so pricing them by coupon alone or treating them as plain equities misses the core risks. Practical analysis requires tracking conversion prices, forced redemption, put rights, and clause-adjustment triggers while weighing conversion premium, pure bond value, underlying momentum, and liquidity. Engineers building dual-low screens, rotation portfolios, or backtests often lack a unified field framework and risk checklist, which can lead to misclassifying bonds, missing redemption windows, or underestimating default exposure.

How the Skill Works

The skill structures convertible bond analysis around three dimensions:
- Valuation: Compares market price, conversion value, and pure bond value; uses conversion premium for elasticity and pure bond value over price as a safety margin.
- Clause mechanics: Flags forced-redemption announcements, down-revision triggers, put conditions, and major-holder influence on revision probability to avoid missed conversion deadlines.
- Rotation framework: Filters low-priced, low-premium bonds using underlying momentum and liquidity, penalizing small caps with thin daily volume.
- Data inputs: Relies on tushare convertible bond endpoints for clause-specific fields and standard OHLCV APIs for price history.

Boundaries

This skill supports A-share convertible bond research, portfolio screening, and early-stage backtesting, but it is not a general derivative pricing or credit-default model. Convertible bond backtests are more complex than equity backtests because they need per-bond conversion prices, redemption/put terms, and down-revision rules. Lower-rated issues carry default risk, and holding overpriced bonds to maturity without conversion may recover only face value plus interest. Therefore, outputs must be cross-checked against live announcements and specific bond terms.