转债择券+择时策略周度跟踪 (2026年03月17日期) 金融产品中心 证券研究报告 报告日期: 2026/3/17 本周,三个策略共同持仓的标的为紫银转债、长汽转债、本钢转债、福莱转债、天奈转债、建龙转债,华特转债、奥维转债 共8只可转债; 次低价策略维持低换手,增持标的价格中枢在125-145之间,期权策略维持低换手。 | | | | | 次低价转债策策略增持标的 | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 可转债代码 | 可转债简称 | 行业(申万- 级) | 最新一期得分 | 平价属价溢 一份库 | 转债收盘价 | 债项评级 | YTH (%) | 债券余额 | 过去一周涨 跌幅(%) | | 113700 | 海天转债 | 环保 | -0. 48 | -16. 36% | 142.34 | AA | -3.80 | 8.01 | 42. 34 | | 110085 | 通22转债 | 电力设备 | -0. 37 | -47.89% | 126. 81 | AAA | -6. 73 | 119. ...

证券代码：600109 证券简称：国金证券 公告编号：临2026-15 董事会 二〇二六年三月二十三日 国金证券股份有限公司 2026年3月20日，本公司兑付了该期短期融资券本息共计人民币 1,020,800,000.00元。 特此公告。 国金证券股份有限公司 关于2025年度第二期短期融资券兑付完成的公告 本公司董事会及全体董事保证本公告内容不存在任何虚假记载、误导性陈述或 者重大遗漏，并对其内容的真实性、准确性和完整性承担个别及连带责任。 国金证券股份有限公司（以下简称"本公司"）于2025年3月20日 发行了2025年度第二期短期融资券，发行金额为人民币10亿元，票面 利率为2.08%，发行期限为365天，兑付日为2026年3月20日。详见公司 于2025年3月21日在上海证券交易所网站（www.sse.com.cn）披露的《 关于2025年度第二期短期融资券发行结果公告》以及2026年3月13日登 载于中国货币网（www.chinamoney.com.cn）、上海清算所网站（www.shc learing.com）的《国金证券股份有限公司2025年度第二期短期融资券 兑付公告》。 ...

Core Viewpoint - The global capital market is currently influenced by the dual factors of geopolitical tensions and the transformative impact of AI, leading to increased risk premiums and disruptions in global supply chains [1] Group 1: Geopolitical Impact on A-shares - The recent escalation of the Middle East situation is expected to temporarily affect risk appetite in A-shares, but the medium-term positive trend remains intact [3] - The restructuring of international order and China's industrial innovation are seen as core drivers for the current A-share rally and the revaluation of Chinese assets [3] - Historical analysis indicates that military conflicts typically raise risk premiums and affect supply chains, but markets often stabilize and rebound within 1-2 weeks if conflicts do not escalate further [4] Group 2: AI Industry Evolution - The market's perception of AI technology is shifting from optimistic embrace to more rational scrutiny, leading to increased internal structural adjustments [5] - Investment logic is transitioning from chasing growth to focusing on certainty and scarcity, with an emphasis on sectors that provide stable cash flows and have low elimination rates [6] Group 3: Investment Strategies and Sector Focus - The focus for investment should be on sectors with pricing power and low valuations, particularly in Chinese manufacturing, chemicals, non-ferrous metals, and renewable energy [9] - The "HALO" investment strategy, which emphasizes heavy assets and low elimination rates, is gaining traction, with sectors like oil, petrochemicals, and utilities performing well [5][6] - The consensus among various brokerages suggests that "upstream resources, advanced manufacturing, and AI technology" are the three main investment lines, with non-ferrous metals and chemicals being widely recommended [8]

Core Viewpoint - The article discusses the recent developments regarding the market-making qualifications for securities firms at the Beijing Stock Exchange (BSE), highlighting the regulatory feedback from the China Securities Regulatory Commission (CSRC) and the ongoing efforts of various brokerages to expand their market-making capabilities [1][6]. Group 1: Regulatory Feedback - The CSRC provided feedback to Changjiang Securities, requesting updates on their authorization plan for market-making business at BSE, specifically regarding differentiated approval limits [2] - The CSRC also asked for clarification on what constitutes "major projects" in the decision-making process for market-making activities [2] - For Shanxi Securities, the CSRC requested details on staffing arrangements for market-making roles and the number of personnel in senior and assistant research positions [4] Group 2: Market-Making Business Expansion - Currently, there are 21 market makers at BSE, including major firms like CITIC Securities and smaller firms such as Guoyuan Securities [5] - The top five firms by the number of market-making activities are Guojin Securities (62), CITIC Securities (59), Galaxy Securities (53), Guotou Securities (53), and Industrial Securities (29) [5] - The CSRC has lowered the entry barriers for market-making qualifications at BSE to enhance market liquidity and attract more firms, with over 20 firms expected to qualify under the new criteria [6] Group 3: Future Plans of Securities Firms - Zhongtai Securities plans to use part of its funds from a private placement to support its market-making business, emphasizing its commitment to expanding in both the STAR Market and BSE [7] - Hongta Securities is actively applying for market-making qualifications at BSE and has passed initial assessments, indicating a strong intent to participate in this market [7] - Galaxy Securities is focusing on enhancing its market-making capabilities across various platforms, including BSE, to contribute to market liquidity and support technological innovation [7]

市场忽视了经济的自适应性，本轮经济周期的位置也不一样 市场当前似乎进入"滞胀交易" 本周（2026-03-09 至 2026-03-13）进入美伊冲突的第二周，市场开始逐步交易由于油价大幅上涨导致的经济滞胀预 期：绝大多数的商品期货、股票以及债券市场同时出现了不同程度的回撤，只有原油、农产品和美元上涨。与此同时， 与 2022 年俄乌冲突甚至是 1970s 美国典型的滞胀时期类似的是，当前这一轮原油相关的股票也开始跑不赢原油商品。 背后是原油仍具备地缘带来的风险溢价，但原油股票本身由于同时受制于需求的预期，因此大家担忧"有价无市"的 情形下远期原油股票的盈利也会往下，所以呈现出股票与商品的表现开始背离。我们认为当前市场可能还是基于此前 的肌肉记忆对股票进行定价，而实际上这一轮和 1970s 以及 2022 年俄乌冲突存在较大的差异，不能刻舟求剑。 我们认为这一轮市场投资者忽略了经济结构的变迁以及经济的自适应性，一方面原油在能源结构中的占比其实由于新 能源的发展而不断下降；另一方面，即使对能源结构进行调整后，和原油相关的领域要对经济产生类似 1970s 的冲击， 那么可能油价需要持续处于极端值。根据我们测算：经 ...

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - From March 8th to March 14th, in Guojin Securities' fixed - income fundamental monitoring system, 47 high - frequency indicators were updated. After calculations and qualitative judgments for the bond market, there were 18 "favorable" and 29 "unfavorable" indicators. "Favorable" factors were mainly in coal consumption, housing prices, industrial product demand, etc., while "unfavorable" factors were in steel production, industry operating rates, housing transaction areas, etc. [2][15] - The signals released by the ten interest - rate synchronous indicators were mainly "unfavorable", accounting for 6/10. Compared with last week, the copper - gold ratio sent an "unfavorable" signal. [3][17] 3. Summary by Relevant Catalogs 3.1 Fundamental Thermometer - 47 high - frequency indicators were updated. "Favorable" indicators were in aspects like coal consumption, housing prices, industrial product demand, consumption (container throughput, textile trading), long - distance travel, tourism consumption prices, and most agricultural product prices. "Unfavorable" indicators were in steel production, most industry operating rates, housing transaction areas and land transaction volume and prices, consumption (express delivery, unemployment benefit search index, box office), local and inter - city travel, exports, and industrial product prices. [2][15] 3.2 Interest - Rate Synchronous Indicators - The signals from the ten interest - rate synchronous indicators were mainly "unfavorable" (6/10). The copper - gold ratio sent an "unfavorable" signal compared to last week. Specific indicators: enterprise medium - and long - term loan balance growth rate was 7.4% (down from 7.9%, "favorable"); building materials composite index was 113.88 (down from 113.94, "favorable"); BCI: enterprise recruitment forward - looking index was 56.3% (up from 55.8%, "unfavorable"); unemployment benefit search index year - on - year (6MMA) was - 27.5% (down from - 17.6%, "unfavorable"); PMI new export order trend value was - 29.0% (down from - 26.3%, "favorable"); PMI supply - demand balance trend value was 18.3% (up from 15.0%, "unfavorable"); durable consumer goods price was 0.930 (up from 0.927, "unfavorable"); bill financing was 15.47 trillion (down from 15.51 trillion, "unfavorable"); US dollar index was 99.4 (up from 98.9, "favorable"); copper - gold ratio was 11.40 (up from 11.35, "unfavorable"). [3][16][17]

Core Viewpoint - The article discusses the relationship between real estate prices and consumer behavior, suggesting that as housing prices stabilize, there will be a higher elasticity of recovery in discretionary consumption, service consumption, and non-subsidized durable goods consumption [4][21][26]. Group 1: Real Estate Market Trends - By the end of 2025, residential prices in China are expected to have declined to levels seen in mid-2016, with real estate sales area down 51% and investment down 44% from previous peaks [4]. - The second-hand residential listing prices have dropped by 21% compared to previous highs, with prices in third-tier cities nearing their lowest since 2010 [4]. - The real estate market shows conditions for medium-term stabilization based on indicators like total demand, price-to-income ratio, and rental yield [4]. Group 2: Impact of Housing Prices on Consumer Behavior - Housing prices affect consumer behavior through wealth effect, mortgage effect, and crowding-out effect, with different impacts on homeowners and non-homeowners [7]. - Rising housing prices can increase consumption willingness for homeowners but may suppress consumption for non-homeowners due to higher purchasing costs [7]. - A study from South Korea indicates that a 1% decrease in housing prices leads to a 0.409 percentage point decrease in consumption growth for homeowners, while increasing it by 0.679 percentage points for renters [7]. Group 3: Economic Indicators and Consumption Patterns - The marginal effect of wealth diminishes as housing prices rise, while the crowding-out effect becomes more pronounced, indicating that high housing prices can suppress consumption rather than stimulate it [9]. - Research shows that when the housing price-to-income pressure coefficient exceeds 15.77, the positive impact of rising prices on consumption turns negative [9]. - The relationship between housing price changes and consumer spending is not linear, exhibiting a "U" shape, where initial price declines significantly reduce consumption but the impact lessens as prices continue to fall [9]. Group 4: Regional Leverage and Consumption Recovery - The impact of housing prices on consumption varies significantly across regions due to differences in leverage rates, with higher leverage areas experiencing greater declines in consumption during price downturns [14]. - By the end of 2025, leverage rates in provinces like Fujian, Zhejiang, Jiangsu, and Guangdong are expected to decrease significantly, indicating potential for consumption recovery in these regions [15]. - The article highlights that as leverage rates decline, there is a stronger likelihood of consumption recovery, particularly in discretionary and durable goods [15][26]. Group 5: Future Consumption Trends - The article suggests that if housing prices stabilize, there will be a rebound in discretionary consumption, service consumption, and non-subsidized durable goods consumption [21][26]. - Historical data indicates that during periods of housing price declines, durable goods consumption is more adversely affected than non-durable goods, with significant reductions in spending on items like automobiles and furniture [21]. - As housing price declines slow, previously pressured discretionary consumption categories are likely to see a rebound, with higher certainty in recovery for items like cosmetics and clothing [23][26].

国金证券发布研报称，维持远东宏信(03360)"买入"评级。公司金融业务经营稳健，宏信建发海外业务 贡献有望提升，预计2026-2028年公司归母净利润同比增速分别为4%/5%/5%，BPS为10.97/11.13/11.28 元。 国金证券主要观点如下： 业绩简评 2026年3月11日，远东宏信发布2025年年度业绩。2025年远东宏信实现收入总额357.85亿元，同比下降 5.2%，主要受产业运营收入下降影响;归母净利润38.89亿元，同比增长0.7%;加权平均净资产收益率为 7.71%，同比降低0.09pct，业绩符合预期。 公司利息收入同比增长3%至218.07亿元，占营收比重61% ①生息资产规模：生息资产平均余额同比小幅增长1.4%至2664亿元。其中，普惠金融业务稳健扩张， 生息资产规模同比增长55%至225亿元。②净利差：2025年净利息差同比增长0.39pct至4.39%，主要得益 于资产端收益率提升0.12pct至8.18%，成本端资金率受益于境内外降息同比下降0.27pct。③资产质量： 2025年末不良率为1.03%，同比下降0.04pct。"30+比例"同比下降0.08pct至0.8 ...

Quantitative Models and Construction Methods 1. Model Name: Global Asset Allocation Model Based on Artificial Intelligence - **Model Construction Idea**: This model applies machine learning techniques to global asset allocation, leveraging factor investment principles to rank assets and construct a monthly quantitative equal-weight allocation strategy[38] - **Model Construction Process**: - The model evaluates various global assets using machine learning algorithms to assign scores to each asset - Based on these scores, the model determines the optimal allocation weights for each asset class - For March, the recommended weights were: Government Bond Index 75.99%, SHFE Gold 23.50%, and Nasdaq 0.51%[38][42] - **Model Evaluation**: The model demonstrates superior performance in terms of return, risk-adjusted return, and drawdown control compared to the benchmark[40] 2. Model Name: Stock-Bond Allocation Model Based on Dynamic Macro Event Factors - **Model Construction Idea**: This model integrates a macro timing module and a risk budgeting framework to allocate between stocks and bonds for different risk preferences (Conservative, Balanced, and Aggressive)[45] - **Model Construction Process**: - The macro timing module evaluates signals from economic growth and monetary liquidity dimensions - The risk budgeting framework adjusts stock and bond weights based on the strength of these signals - For February, the stock weights were 30.00% (Aggressive), 13.81% (Balanced), and 0.00% (Conservative), with the remaining allocated to bonds[45][46] - **Model Evaluation**: The model has shown strong historical performance, with high annualized returns and Sharpe ratios across all risk profiles[46][51] 3. Model Name: Dividend Style Timing Model - **Model Construction Idea**: This model uses a dynamic macro event factor system based on economic growth and monetary liquidity indicators to time allocations to the CSI Dividend Index[52] - **Model Construction Process**: - The model evaluates 10 indicators across economic growth and monetary liquidity dimensions - For March, the final composite signal was 1, with economic growth indicators (e.g., power generation, PPI YoY, PPI-CPI spread) signaling bullish, while no monetary liquidity indicators signaled bullish[52][54] - **Model Evaluation**: The strategy outperforms the CSI Dividend Total Return Index in terms of annualized return, volatility, and drawdown, with a smoother net value curve[52][53] --- Model Backtesting Results 1. Global Asset Allocation Model Based on Artificial Intelligence - **Annualized Return**: 16.48% - **Annualized Volatility**: 6.78% - **Maximum Drawdown**: -6.66% - **Sharpe Ratio**: 1.15 - **Year-to-Date Return**: 5.72%[40][43] 2. Stock-Bond Allocation Model Based on Dynamic Macro Event Factors - **Aggressive Profile**: - Annualized Return: 20.07% - Annualized Volatility: 14.00% - Maximum Drawdown: -13.72% - Sharpe Ratio: 1.31 - Year-to-Date Return: 5.42% - **Balanced Profile**: - Annualized Return: 10.79% - Annualized Volatility: 8.09% - Maximum Drawdown: -6.77% - Sharpe Ratio: 1.19 - Year-to-Date Return: 1.81% - **Conservative Profile**: - Annualized Return: 5.85% - Annualized Volatility: 3.19% - Maximum Drawdown: -3.55% - Sharpe Ratio: 1.49 - Year-to-Date Return: 0.83%[46][51] 3. Dividend Style Timing Model - **Annualized Return**: 15.85% - **Annualized Volatility**: 16.17% - **Maximum Drawdown**: -21.22% - **Sharpe Ratio**: 0.93 - **Recent 1-Month Return**: 1.35%[52][53]

100美元被视为当前市场判断中东局势进一步恶化的重要心理阈值。 文：国金宏观宋雪涛/联系人厉梦颖 尽管霍尔木兹海峡目前尚未出现正式、持续性的军事封锁，各方关于是否"关闭海峡"的表态也存在明 显分歧，但从实际航运行为来看，该水道的通行效率已经出现显著下降。 根据MarineTraffic追踪数据，多艘油轮已在波斯湾及海峡两侧海域锚泊等待，等待局势进一步明朗后 再决定是否通过海峡。路透报道称，至少150艘船只在霍尔木兹海峡及周边海域停泊等待，部分航运公 司和能源贸易商已暂停经该海峡运输原油和液化天然气。 回顾历史，在地缘冲突中，即使石油运输通道受到干扰，实际供应冲击通常不会等同于全部过境原油的 即时消失。市场仍存在若干缓冲机制，可以在一定程度上缓解供应中断带来的影响。 一、对全球石油供应的潜在影响 霍尔木兹海峡是全球最关键的能源运输通道之一。2025年约有1500万桶/日的原油通过该海峡运输， 约占全球原油海运贸易量的34%。因此，一旦该航道出现封锁或运输严重受阻，将直接对全球石油供 应形成冲击。 从贸易流向看，通过霍尔木兹海峡运输的原油绝大部分流向亚洲市场。中国和印度是最大的接收方，两 国合计接收约44%的出口 ...