Guoxin Securities·2026-03-01 11:16Report Industry Investment Rating No information provided in the text Core Viewpoints - The divergence in the convertible bond market has intensified, and it is expected that the Sharpe ratio of assets will decline. The main sectors will "separate the wheat from the chaff", and attention should be paid to the sub - directions that have lagged behind in the early stage and have performance support [3][18] Summary by Relevant Catalogs Market Focus (2026/2/24 - 2026/2/27) Stock Market - After the Spring Festival, the market showed a warming trend, with major indices oscillating upwards and trading volume steadily increasing to about 2.5 trillion yuan. The market sentiment was generally positive. Upstream resource products became the main line of the market, with sectors such as non - ferrous metals, oil and gas, chemicals, and coal taking turns to perform, while the media sector adjusted significantly due to the adjustment of the film and entertainment and AI application sectors [1][8] - By industry, most Shenwan primary industries rose last week. Steel (12.27%), non - ferrous metals (9.77%), basic chemicals (7.15%), environmental protection (6.96%), and coal (5.92%) led the gains; media (-5.10%), commercial retail (-1.64%), food and beverage (-1.54%), and non - bank finance (-1.18%) performed poorly [9] Bond Market - At the beginning of the week, the bond market adjusted continuously under the suppression of factors such as the unexpected implementation of the Shanghai real - estate new policy and the strong linkage between stocks and commodities. On Friday, the capital market loosened, and the tone of the Politburo meeting was stable. Market sentiment gradually stabilized, and the yields of various maturities declined slightly. The whole week showed a pattern of gradually stabilizing during the adjustment. The 10 - year Treasury bond rate closed at 1.7877% on Friday, down 0.51bp from the last trading day before the Spring Festival [1][9] Convertible Bond Market - Last week, most convertible bond issues fell. The CSI Convertible Bond Index fell 0.23% for the whole week, the median price rose 1.22%, the calculated arithmetic average parity rose 3.46% for the whole week, and the market conversion premium rate decreased by 4.65% compared with the previous week. In terms of individual bonds, Youcai (polyester staple fiber), Shuangliang (space photovoltaic), Guanglian (commercial aerospace), Dazhong (lithium mine), and Guanzhong (environmental protection) convertible bonds led the gains; Huicheng (advanced packaging), Weidao (semiconductor equipment), Ruichuang (military industry), Xinfu (software), and Hengshuai (automotive motor) convertible bonds led the losses [2][9][13] - Most industries in the convertible bond market fell last week. Steel (4.73%), non - ferrous metals (1.99%), public utilities (1.90%), and building decoration (1.87%) performed well, while media (-4.45%), social services (-2.47%), commercial retail (-2.33%), and non - bank finance (-2.23%) performed poorly [12] - The total trading volume of the convertible bond market last week was 27.2551 billion yuan, with an average daily trading volume of 681.38 million yuan, a slight decrease from the previous week [15] Views and Strategies (2026/3/2 - 2026/3/6) Stock Market - After the new year, the introduction of structural monetary policies and the relaxation of real - estate control in Shanghai are better than the previous stable and moderate policy expectations, which is beneficial for maintaining a relatively high risk preference in the equity market. From the perspective of past seasonal effects, the winning rate of small - cap stocks is extremely high between the Spring Festival and the Two Sessions, and after the Two Sessions, the correlation between the stock market trend and performance gradually increases. During the spring rally, the price - increase chain in the technology + resource product sectors has obvious excess returns. As the economic data for January - February are gradually released, it is expected that March - April will be an important window for the market to further verify price increases and performance. The main sectors will face "separating the wheat from the chaff", and sectors that have lagged behind in the early stage and have current performance are more advantageous [3][18] Convertible Bond Market - After the Spring Festival, the divergence in the convertible bond market has increased. On the 25th and 26th, the premium rates of high - price and high - premium targets were significantly compressed. Some investors are worried that the spring market will gradually come to an end in terms of duration. According to the previous judgment (the sustainability of the polarized valuation of convertible bonds depends on the stock market expectations), it is expected that the volatility of convertible bonds in March (especially the volatility of the premium rate) will further increase. It should be recognized that there are obvious differences between selecting convertible bonds and selecting underlying stocks at this stage. Most of the core targets related to the main equity lines are expected to have a poor Sharpe ratio for convertible bonds at a conversion premium rate of over 30%, and they are not the best choice for the current portfolio allocation. Bond selection needs to sort out the upward logic one by one and screen by considering both the price and premium rate of the available convertible bond targets [3][18] - In the context of power shortages in North America, most convertible bonds related to main lines such as high - volume orders for gas turbines, price increases in the upstream and downstream of the electronic industry chain such as power semiconductors/silicon wafers/carrier tapes, and the increasing prosperity of liquid cooling are all high - price and high - premium, and many targets are close to triggering redemption. At present, when the divergence in the convertible bond market has emerged, the volatility of convertible bonds may be greater than that of the underlying stocks in the short term, and the odds are limited. Some targets are about to enter the conversion period. If the major shareholders reduce their holdings and the market corrects, and the convertible bond valuation is significantly compressed, then additional allocation can be considered [18] - For the AI main line, consider allocating to the divergent fields that have relatively lagged behind in the early stage and have performance support, such as computing power leasing, energy storage, embodied intelligence, and autonomous driving [18] - Against the background of the global increase in strategic reserves of resource products and the downward trend of the US dollar, pay attention to the polyester industry chain, engineering machinery, resource products and mining services. In addition, pay attention to the innovative drug industry chain, two - wheeled vehicles, and the post - cycle of the real - estate chain [18] - If the equity market turns down, funds will replenish the defensive sectors that have fallen significantly in the early stage. Referring to past experience, at the beginning of the equity market decline, the parity and valuation of the entire convertible bond market will fall together. Then, the low - price bottom - position varieties with high ratings will stabilize first. It is recommended to reduce positions as a response. After that, pay attention to the defensive sectors such as banks and power that have adjusted more in the early stage [18] Valuation Overview - As of last Friday (2026/02/27), for equity - biased convertible bonds, the average conversion premium rates of convertible bonds with parities in the ranges of 80 - 90 yuan, 90 - 100 yuan, 100 - 110 yuan, 110 - 120 yuan, 120 - 130 yuan, and above 130 yuan were 54.87%, 46.47%, 35.03%, 26.27%, 23.02%, and 15.61% respectively, which were at the 99%/99%, 98%/99%, 99%/99%, 98%/98%, 98%/100%, and 98%/97% percentile values since 2010/2021 [19] - For bond - biased convertible bonds, the average YTM of convertible bonds with parities below 70 yuan was -5.14%, which was at the 1%/3% percentile values since 2010/2021 [19] - The average implied volatility of all convertible bonds was 49.88%, which was at the 95%/98% percentile values since 2010/2021. The difference between the implied volatility of convertible bonds and the long - term actual volatility of the underlying stocks was 8.63%, which was at the 96%/98% percentile values since 2010/2021 [19] Primary Market Tracking - Last week (2026/2/24 - 2026/2/27), Xianghe and Tonglian convertible bonds announced their issuance, and Aiwei convertible bonds were listed [26] - As of the announcements on February 27, there are no convertible bonds announced for issuance and listing next week (2026/3/2 - 2026/3/6). Last week, the exchanges accepted applications from 2 companies (Zuoli Pharmaceutical and Zhenyu Technology), and the general meetings of shareholders passed the applications of 3 companies (Shenghui Integration, Aopute, and Shenling Environment). There are no new companies approved for registration by the exchanges, passed by the listing committees, or with board proposals. As of now, there are a total of 102 convertible bonds to be issued, with a total scale of 166.28 billion yuan, including 5 that have been approved for registration with a total scale of 4.39 billion yuan and 7 that have passed the listing committee with a total scale of 6.97 billion yuan [29]