Structured Fund Downward Conversion / 分级基金下折
Structured fund downward conversion is the crash mechanism emphasized in vol.121.从昙花一现的分级基金到风头正劲的杠杆ETF：永远不要低估人性的疯狂. In Chinese [[ChineseStructuredFund|structured funds]], downward conversion reset net values and shrank shares when the B share’s NAV fell toward a preset threshold, protecting priority A-share claims and preventing the B share from going to zero.
The source’s key point is that a protection mechanism for the fund structure could become a wealth-destruction mechanism for late B-share buyers. When price limits kept the exchange price from falling as quickly as NAV, the B share’s premium could rise just before conversion; once conversion removed that premium and shrank shares, investors who bought at the inflated market price faced direct losses.
Key Claims
- B-share effective leverage rose as B-share NAV fell, so the product became more dangerous near the downward-conversion threshold.
- Price-limit rules could slow the visible secondary-market decline while NAV losses accumulated underneath.
- Downward conversion reset accounting values but could erase the market premium that buyers had paid.
- The 2015 crash showed that many investors did not understand the interaction among leverage, price limits, premium, and conversion.
Connections
- Chinese Structured Fund / 中国分级基金 and Structured Fund Pair Conversion / 分级基金配对转换 - related product mechanics.
- Leverage-Driven Bull Market and Retail Bull Market Psychology - market environment that made downward conversion socially consequential.
- China Securities Regulatory Commission, Shanghai Stock Exchange, and Shenzhen Stock Exchange / 深圳证券交易所 - regulatory and exchange response context.
- NVDL - overseas leveraged-product premium comparison drawn by the source.