【债券日报】：转债市场日度跟踪20260303-20260303

Report Industry Investment Rating No information provided in the report. Core Viewpoint The convertible bond market experienced an incremental correction today, with compressed valuations. The market style favored large-cap value stocks, and trading sentiment in the convertible bond market heated up. The prices and valuations of convertible bonds showed certain changes, and most industries in the stock and convertible bond markets declined [1]. Summary by Directory 1. Market Main Index Performance - The CSI Convertible Bond Index decreased by 1.81% compared to the previous day, the Shanghai Composite Index decreased by 1.43%, the Shenzhen Component Index decreased by 3.07%, the ChiNext Index decreased by 2.57%, the SSE 50 Index decreased by 1.06%, and the CSI 1000 Index decreased by 3.95% [1]. - In terms of market style, large-cap value stocks were relatively dominant. Large-cap growth decreased by 1.73%, large-cap value increased by 0.89%, mid-cap growth decreased by 3.38%, mid-cap value decreased by 2.33%, small-cap growth decreased by 4.30%, and small-cap value decreased by 2.50% [1]. 2. Market Fund Performance - The trading volume of the convertible bond market reached 75.94 billion yuan, a 14.19% increase compared to the previous day. The total trading volume of the Wind All A Index was 3.157558 trillion yuan, a 3.67% increase compared to the previous day. The net outflow of main funds from the Shanghai and Shenzhen stock markets was 130.445 billion yuan, and the yield of the 10-year Treasury bond increased by 0.46bp to 1.78% [1]. 3. Convertible Bond Price and Valuation - Convertible bond prices: The weighted average closing price of convertible bonds was 141.20 yuan, a 1.64% decrease compared to the previous day. Among them, the closing price of equity-biased convertible bonds was 220.86 yuan, a 0.30% increase; the closing price of bond-biased convertible bonds was 121.65 yuan, a 0.24% decrease; the closing price of balanced convertible bonds was 133.66 yuan, a 0.62% decrease. The proportion of high-priced bonds above 130 yuan was 75.20%, a 2.84 percentage point decrease compared to the previous day. The price median was 138.77 yuan, a 1.46% decrease compared to the previous day [2]. - Convertible bond valuation: The fitted conversion premium rate of 100-yuan par value was 38.12%, a 2.17 percentage point decrease compared to the previous day. The overall weighted par value was 106.02 yuan, a 2.07% decrease compared to the previous day. The premium rate of equity-biased convertible bonds was 20.36%, a 0.67 percentage point increase; the premium rate of bond-biased convertible bonds was 85.73%, a 1.29 percentage point increase; the premium rate of balanced convertible bonds was 27.07%, a 0.77 percentage point decrease [2]. 4. Industry Performance - In the A-share market, the top three industries with the largest declines were national defense and military industry (-6.74%), non-ferrous metals (-5.61%), and electronics (-5.30%); the top three industries with the largest increases were petroleum and petrochemicals (+6.75%), coal (+1.76%), and transportation (+1.14%). - In the convertible bond market, 27 industries declined. The top three industries with the largest declines were communications (-5.51%), electronics (-4.26%), and non-ferrous metals (-3.89%); the only industry that rose against the trend was banking (+0.07%) [3]. - Closing price: The large cycle decreased by 2.21%, manufacturing decreased by 3.08%, technology decreased by 3.40%, large consumption decreased by 1.45%, and large finance decreased by 0.51% [3]. - Conversion premium rate: The large cycle increased by 0.8 percentage points, manufacturing increased by 1.7 percentage points, technology increased by 3.0 percentage points, large consumption increased by 2.5 percentage points, and large finance increased by 2.1 percentage points [3]. - Conversion value: The large cycle decreased by 2.70%, manufacturing decreased by 4.16%, technology decreased by 5.31%, large consumption decreased by 2.25%, and large finance decreased by 0.17% [3]. - Pure bond premium rate: The large cycle decreased by 3.4 percentage points, manufacturing decreased by 5.2 percentage points, technology decreased by 6.1 percentage points, large consumption decreased by 1.9 percentage points, and large finance decreased by 0.59 percentage points [3]. 5. Industry Rotation - Industries leading the rise included petroleum and petrochemicals, coal, and transportation. The daily increase rates of petroleum and petrochemicals, coal, and transportation were 6.75%, 1.76%, and 1.14% respectively. In the convertible bond market, the daily increase rate of the banking industry was 0.07%, and it was the only industry that rose [52].