【债券日报】转债市场日度跟踪20260226-20260226

1. Report Industry Investment Rating No information about the industry investment rating is provided in the document. 2. Core View of the Report - The convertible bond market experienced a volume - shrinking correction today, with valuations compressing on a month - on - month basis. The CSI Convertible Bond Index decreased by 1.03% month - on - month, and the trading sentiment in the convertible bond market weakened. The convertible bond price center declined, and the proportion of high - price bonds decreased. The valuation of convertible bonds was compressed, and most of the industry indices of underlying stocks declined [1][2]. 3. Summary According to Relevant Catalogs Market Main Index Performance - The CSI Convertible Bond Index closed at 525.93, down 1.03% day - on - day, - 0.53% in the past week, - 1.60% in the past month, and up 6.92% since the beginning of the year. The Shanghai Composite Index closed at 4146.63, down 0.01% day - on - day, up 0.31% in the past week, up 0.25% in the past month, and up 4.48% since the beginning of the year. The Shenzhen Component Index closed at 14503.79, up 0.19% day - on - day, up 1.55% in the past week, up 0.44% in the past month, and up 7.24% since the beginning of the year. Other major indices also showed different trends [7]. Market Capital Performance - The trading volume of the convertible bond market was 69.188 billion yuan, a month - on - month decrease of 7.81%. The total trading volume of the Wind All - A Index was 2556.639 billion yuan, a month - on - month increase of 3.05%. The net outflow of the main funds in the Shanghai and Shenzhen stock markets was 30.045 billion yuan, and the yield of the 10 - year Treasury bond increased by 1.30bp month - on - month to 1.83% [1][8]. Convertible Bond Price and Valuation - The weighted average closing price of convertible bonds was 143.90 yuan, a month - on - month decrease of 0.56%. The closing price of equity - biased convertible bonds was 218.78 yuan, a month - on - month decrease of 0.81%; the closing price of debt - biased convertible bonds was 121.74 yuan, a month - on - month decrease of 1.04%; the closing price of balanced convertible bonds was 134.76 yuan, a month - on - month decrease of 0.17%. The proportion of high - price bonds above 130 yuan was 78.17%, a month - on - month decrease of 4.27pct. The median price was 141.45 yuan, a month - on - month decrease of 1.01%. The fitted conversion premium rate of 100 - yuan par value was 39.86%, a month - on - month decrease of 1.43pct; the overall weighted par value was 108.96 yuan, a month - on - month increase of 0.41% [2]. Industry Performance - In the A - share market, the top three industries with the largest declines were real estate (- 2.25%), media (- 1.45%), and non - bank finance (- 1.42%); the top three industries with the largest increases were communication (+ 2.84%), electronics (+ 1.98%), and national defense and military industry (+ 1.52%). In the convertible bond market, 26 industries declined, and the top three industries with the largest declines were commerce and retail (- 2.55%), non - ferrous metals (- 2.44%), and media (- 2.37%); only two industries rose against the trend, namely communication (+ 4.48%) and power equipment (+ 2.21%) [3]. - In terms of different sectors: - Closing price: The large - cycle sector decreased by 1.31% month - on - month, the manufacturing sector decreased by 0.39% month - on - month, the technology sector increased by 0.22% month - on - month, the large - consumption sector decreased by 1.55% month - on - month, and the large - finance sector decreased by 0.82% month - on - month [3]. - Conversion premium rate: The large - cycle sector decreased by 1.8pct month - on - month, the manufacturing sector decreased by 2.0pct month - on - month, the technology sector decreased by 2.6pct month - on - month, the large - consumption sector decreased by 0.56pct month - on - month, and the large - finance sector decreased by 1.5pct month - on - month [3]. - Conversion value: The large - cycle sector increased by 0.11% month - on - month, the manufacturing sector increased by 1.40% month - on - month, the technology sector increased by 2.86% month - on - month, the large - consumption sector decreased by 0.72% month - on - month, and the large - finance sector decreased by 0.80% month - on - month [3]. - Pure - debt premium rate: The large - cycle sector decreased by 2.0pct month - on - month, the manufacturing sector decreased by 0.51pct month - on - month, the technology sector increased by 0.35pct month - on - month, the large - consumption sector decreased by 2.0pct month - on - month, and the large - finance sector decreased by 0.94pct month - on - month [4]. Industry Rotation - The communication, electronics, and national defense and military industry led the rise. For example, the communication industry had a daily increase of 2.84% in the underlying stocks and 4.48% in convertible bonds; the electronics industry had a daily increase of 1.98% in the underlying stocks and - 0.56% in convertible bonds; the national defense and military industry had a daily increase of 1.52% in the underlying stocks and - 0.84% in convertible bonds. The report also provided the weekly, monthly, and year - to - date increases, as well as the valuation quantiles of the underlying stocks [55].