1, discount arbitrage
Only when the premium rate is negative can convertible bonds have arbitrage space, and when the premium rate is positive, there is no arbitrage space. The specific steps are as follows: during the conversion period, when the premium rate is negative, investors immediately convert the convertible bonds in their hands into shares, and then sell the converted shares in the secondary market; At the same time, investors can borrow money to sell shares, then buy convertible bonds, immediately convert them into stocks, and repay the previous borrowed money for arbitrage.
It should be noted that it generally takes T+ 1 day to sell debt-to-equity swaps. When the stock price fluctuates greatly during this period, investors may suffer losses, that is, arbitrage failure.
2. Arbitrage of the stock by the daily limit of the stock.
When the stock corresponding to the convertible bonds has a daily limit, the stock cannot be bought, and investors think that the stock will continue to have a daily limit in the later period, so investors can buy convertible bonds, convert them into individual stocks and sell them. In addition, investors can also sell convertible bonds in the market and earn the difference. Generally speaking, the rise of stocks will drive the rise of convertible bonds.