转债：3月，转债波动中做结构

1. Report Industry Investment Rating No information provided in the given content. 2. Core Viewpoints of the Report - In February, the index showed high - level fluctuations. The CSI Convertible Bond Index rose by about 0.89% in February, significantly lower than the 5.82% increase in January. The convertible bond market was still in a range of systematic over - valuation and high volatility. After mid - February, the median full - scale conversion premium rate and implied volatility declined from local highs [3]. - In terms of style, the valuation of equity - biased convertible bonds compressed significantly by 5.91pct after the Spring Festival, more than that of debt - biased, balanced, and super debt - biased convertible bonds. This was due to profit - taking and the high concentration of positions after the pre - Spring Festival rally, as well as the pre - emptive risk - avoidance of potential callable bonds [3]. - In terms of industry allocation, there was a style switch in February. Sectors such as media, home appliances, national defense and military industry, steel, and consumer services showed strong elasticity, while some previously soaring technology sectors entered a phase of consolidation or high - level fluctuations [3]. - On the supply and demand side, under the new refinancing regulations, the supply side may gradually improve. In February, the convertible bond market had a net exit, but the monthly acceptance speed of new bonds was the highest since the "827" new policy in 2023 and the new "Nine - Point Plan" in 2024 [3]. - In March, the convertible bond market is expected to fluctuate at a high level. It is recommended to select bonds structurally in the fluctuations. Given the high valuation and geopolitical conflicts, the risk appetite may contract periodically. It is advisable to wait for the valuation to decline before going long [3]. - The top ten convertible bonds recommended for March are Libo, Huayi, Wankai, Hengyi, Haoyuan, Liyang, Huachen, Ruike, Jingce 2, and Zhongbei [3]. 3. Summary According to Relevant Catalogs 3.1 2 - month Convertible Bond Market Review - Index performance: In February, the CSI Convertible Bond Index rose by about 0.89% and closed at 525.2 points on February 27, significantly lower than the 5.82% increase in January. Before the Spring Festival (February 2 - 13), it rose to 526.44 points with a stage increase of about +3.61%. After the Spring Festival (February 24 - 27), it fell to 525.20 points, down about - 1.05% [7]. - Comparison with mainstream stock indexes: It underperformed small - cap stocks but was stronger than broad - based indexes. Its elasticity in February was between the CSI 300 and the CSI 1000, with a lower increase than the CSI 1000 (+3.71%) but higher than the CSI 300 (+0.09%) [7]. - Valuation: The convertible bond market was still systematically over - valued and highly volatile. As of February 27, 2026, the 100 - yuan premium rate was about 36.6%, corresponding to about the 97th percentile since 2018. After mid - February, the median full - scale conversion premium rate and implied volatility declined from local highs [10][11]. - Style valuation: The valuation of equity - biased convertible bonds compressed significantly by 5.91pct after the Spring Festival, mainly due to profit - taking and high - concentration risk, as well as the pre - emptive risk - avoidance of potential callable bonds [11]. - Industry allocation: There was a style switch in February. Media, home appliances, etc. showed strong elasticity, while some technology sectors entered a phase of consolidation. Financial and consumer sectors had mixed performance [12]. - Capital: In February, the holding face - value of Shanghai - listed convertible bonds and exchangeable bonds by insurance institutions (- 8.36%), QFII&RQFII (- 7.50%), etc. decreased significantly. The decline in the holdings of enterprise annuities and insurance may explain the valuation compression at the end of February [15]. - Supply: In February, the convertible bond market had a net exit of 66.53 billion yuan, with a month - end scale of 523.6 billion yuan. Three new convertible bonds were listed, and seven issuance plans were accepted, reaching the highest number since 2023. Under the new refinancing regulations, the supply may increase in the future [18]. 3.2 March: Structuring in Convertible Bond Fluctuations - Market outlook: In March, the convertible bond market is expected to fluctuate at a high level. Given the high valuation and geopolitical conflicts, the risk appetite may contract periodically. It is necessary to focus on defense and control drawdowns, and wait for the valuation to decline before going long [21]. - Market rhythm: The spring market has entered the "second half". The Two Sessions and the first - quarter reports will shift the market from "expectation - driven" to "performance - verified". In the medium term, the "broad fiscal + broad monetary" pattern remains unchanged, and convertible bonds still have allocation value [21]. - Market risks: Geopolitical conflicts may lead to oil price increases, which may impact the market through the oil - inflation - interest rate - stock market sentiment chain. The current high valuation makes the convertible bond market sensitive to equity market fluctuations and clause changes [22]. - Investment strategy: Adopt a "defense - first, balanced - structure" approach. Control positions to avoid excessive exposure at high valuations. Shift from high - elasticity to balanced and undervalued allocations. Pay attention to clause risks of medium - priced, near - maturity, and high - redemption - progress bonds [23]. 3.3 Individual Bonds: Top Ten Convertible Bonds in March - Defense - end bonds: Focus on medium - priced, large - cap, high - credit, low - premium, and liquid balanced or debt - biased convertible bonds, such as those related to banks, public utilities, high - dividend leaders, and some resource leaders [24]. - Offense - end bonds: Select individual bonds in high - growth sectors such as technology and resource sectors, avoiding those driven solely by valuation. The recommended ten convertible bonds are Libo, Huayi, Wankai, Hengyi, Haoyuan, Liyang, Huachen, Ruike, Jingce 2, and Zhongbei [24]. 3.4 Market One - Week Performance - Index performance: As of Friday's close, the Shanghai Composite Index rose 1.98% to 4162.88 points, and the CSI Convertible Bond Index fell 0.23% to 525.20 points. The top - three rising sectors in the stock market were steel (11.80%), non - ferrous metals (9.74%), and basic chemicals (6.21%); the top - three falling sectors were media (- 4.44%), consumer services (- 4.02%), and food and beverages (- 1.50%) [26]. - Convertible bond performance: 169 convertible bonds rose, accounting for 46%. The top - five gainers were Aiwei Convertible Bond (72.02%), Youcai Convertible Bond (21.16%), etc.; the bottom - five losers were Huicheng Convertible Bond (- 18.37%), Weidao Convertible Bond (- 16.84%), etc. 59 convertible bonds' conversion premium rates increased, accounting for 16%. The top - five in valuation change were Shuangliang Convertible Bond (21.69%), Youcai Convertible Bond (14.41%), etc.; the bottom - five were Honglu Convertible Bond (- 61.04%), Ruike Convertible Bond (- 25.73%), etc. [28] 3.5 Important Shareholders' Convertible Bond Reduction - This week, Diou Water issued a convertible bond reduction announcement. Many companies' major shareholders have reduced their holdings of convertible bonds [35][36]. 3.6 Convertible Bond Issuance Progress - This week, Opto - Technology Co., Ltd. (1.38 billion yuan) and Shenling Environment Co., Ltd. (1 billion yuan) passed the general meeting of shareholders; Zuoli Pharmaceutical Co., Ltd. (1.556 billion yuan) and Zhenyu Technology Co., Ltd. (1.88 billion yuan) were accepted by the exchange [37][38]. 3.7 Private EB Project Update - This week, there was no progress update on private EB projects [38]. 3.8 Style & Strategy: Small - scale, Low - rated, Debt - biased Bonds Prevail - This week, the small - scale, low - rated, debt - biased style of the convertible bond market was dominant. As of the last trading day of this week, the excess return of high - rated convertible bonds relative to low - rated ones was - 0.57pct, that of large - scale relative to small - scale was - 0.03pct, and that of equity - biased relative to debt - biased was - 0.04pct [39]. 3.9 One - Week Convertible Bond Valuation Performance: Fluctuation of 100 - yuan Premium Rate - The 100 - yuan premium rate of the convertible bond market fluctuated upward this week. As of the last trading day of this week, it reached 36.59%, up 0.69% from the last trading day before the holiday, at the 98.3% historical percentile in the past six months and 99.2% in the past year. The median full - scale conversion premium rate decreased by 4.86pct to 29.17%, and the market - value - weighted conversion premium rate (excluding banks) decreased by 3.28pct to 41.5% [46]. - Extreme pricing: As of the last trading day of this week, there was 1 convertible bond below par value, 1 below the bond floor, and 1 with a YTM greater than 3%, at the 11%, 20.7%, and 4% historical percentiles since 2016 respectively [51]. - YTM: The median YTM of bank convertible bonds was - 5.69%, 7.51pct lower than the 3 - year AAA corporate bond yield; the median YTM of AA - to AA + debt - biased convertible bonds was - 4.89%, 6.9pct lower than the 3 - year AA corporate bond yield [51].