转债市场周报：高估值下抗跌性与跟涨性不佳-20260308

Report Industry Investment Rating - Not mentioned in the report Core Viewpoints - The high valuation of the convertible bond market exacerbates asset volatility, and it fails to show the "traditional attributes" of being offensive and defensive. It is recommended to screen individual bonds based on price and premium rate. Pay attention to investment opportunities in AI computing power chains, embodied intelligence, autonomous driving, innovative drugs, two - wheeled vehicles, and the real estate chain [2][18] Summary by Directory Market Trends (2026/3/2 - 2026/3/6) - Stock Market: Geopolitical conflicts led to a decline in the A - share market at the beginning of the week, and a rebound in the second half. The oil and gas sector was strong, while high - level technology and precious metal sectors were under pressure. The Shenwan primary industries showed that most industries closed down, with oil and petrochemicals, coal, and public utilities leading the gains, and media, non - ferrous metals, and computers performing poorly [7][8] - Bond Market: Affected by geopolitical conflicts and market risk - aversion, bond yields declined slightly at the beginning of the week. After the government work report was released, the bond market was stable. The 10 - year Treasury bond rate closed at 1.781% on Friday, down 0.67bp from the previous week [8] - Convertible Bond Market: Most convertible bond issues closed down. The CSI Convertible Bond Index fell 2.07% for the week, the median price dropped 1.22%, and the arithmetic average parity decreased 3.38%. The overall market conversion premium rate increased 1.82% compared with the previous week. The top - rising convertible bonds were Hongbai, Hangyu, Yitian, Shengxun, and Outong, while the top - falling ones were Liyang, Songlin, Tianzhun, Fuxin, and Weidao. The total trading volume of the convertible bond market last week was 29.2381 billion yuan, with an average daily trading volume of 7.3095 billion yuan, an increase from the previous week [8][12][16] Views and Strategies (2026/3/9 - 2026/3/13) - The fermentation of the US - Iran conflict has disturbed market risk preferences and liquidity expectations. The high - valuation characteristic of the convertible bond market exacerbates asset volatility. In the week, it did not show the "traditional attributes". Most institutions reduced their convertible bond holdings in February. Currently, the overall allocation value of convertible bond assets is poor, and it is recommended to screen individual bonds. Pay attention to investment opportunities in semiconductor equipment and materials, computing power leasing, power equipment for computing power support in the AI computing power chain, embodied intelligence, autonomous driving, as well as the catch - up opportunities in innovative drugs, two - wheeled vehicles, and the real estate chain [2][18] Valuation Overview - As of March 6, 2026, for equity - biased convertible bonds, the average conversion premium rates in different price ranges are at high percentile values since 2010 and 2021. For debt - biased convertible bonds, the average YTM of bonds with a parity below 70 yuan is at a low percentile value. The average implied volatility of all convertible bonds and the difference between the implied volatility and the long - term actual volatility of the underlying stocks are at high percentile values [19] Primary Market Tracking - Last week, Changgao Convertible Bond was announced for issuance, and no convertible bonds were listed. Changgao Convertible Bond has a scale of 759 million yuan, and the funds are to be used for production base projects. Next week, no convertible bonds are announced for issuance or listing. Currently, there are 100 convertible bonds to be issued, with a total scale of 163.96 billion yuan [26][27]