可转债市场周度跟踪：转债调整结束了吗？-20260316

Report Industry Investment Rating - Not provided Core View - The convertible bond valuation is still in the process of compression, and the adjustment range of high - priced varieties is relatively large. The "de - leveraging" market of convertible bonds may continue [2][4] Summary by Directory 1. Convertible Bond Valuation Compression, Larger Adjustment Range for High - Priced Varieties - In the past week (March 9 - 13), the performance of convertible bonds was worse than that of underlying stocks. The Wind Convertible Bond Underlying Stock Equal - Weighted Index rose slightly by 0.04%, while the CSI Convertible Bond Index and the Wind Convertible Bond Equal - Weighted Index fell by 1.10% and 1.86% respectively. As of March 13, compared with the high points at the end of February and early March, the adjustment range of convertible bonds was greater. The market price median and the 100 - yuan premium rate decreased by 2.28 yuan and 2.13 pct respectively in the past week, and decreased by 5.63 yuan and 5.68 pct respectively compared with the previous high points [3][11] - The Wind Convertible Bond High - Price Index, Medium - Price Index, and Low - Price Index fell by 2.07%, 0.90%, and 0.32% respectively in the past week, and fell by 9.83%, 2.98%, and 1.17% respectively compared with the previous phased high points. High - priced convertible bonds were subject to factors such as forced redemption shocks and high valuations, and the adjustment range was significantly larger than that of medium - and low - priced varieties [12] 2. The "De - leveraging" Market of Convertible Bonds May Continue - From the perspective of the overall market valuation level, the current premium rate may still have some room for adjustment. In the previous two valuation change cycles, the 100 - yuan premium rate of the whole market fell by about 60% of the previous increase during the contraction process, and the adjustment durations were 64 and 35 trading days respectively. In this round of valuation expansion, the 100 - yuan premium rate has risen by 51.9%. As of March 13, the decline in the valuation contraction stage was only 11.9%, less than 40% of the previous increase, and it only took 16 trading days. So, the current adjustment is not sufficient in terms of time and space [20] - For high - priced bonds, if the underlying stocks fail to continue the previous upward trend, the "de - leveraging" market of convertible bonds may continue. The current median premium rate of high - priced convertible bonds is still as high as 20%, which hardly matches the median parity of 140 yuan. The rise of high - priced varieties from January to February 2026 was mainly driven by the "leverage" of convertible bonds. If the upward trend of the underlying stocks is broken, convertible bond assets will inevitably undergo "de - leveraging". If the underlying stocks continue to fall, the price of high - priced bonds may face double pressure of parity decline and valuation contraction. The median parity may fall back to around 130, and the median premium rate may stop falling around 15% [5][22][25]