转债周度跟踪：重回起点，平衡转债开始出现机会-20260322

1. Report Industry Investment Rating No information provided in the content. 2. Core Viewpoints of the Report - This week, against the backdrop of the escalating conflict between the US and Iran, the equity market declined significantly, with small and micro - cap stocks experiencing large drops. Although the equal - weighted and weighted declines of convertible bonds were smaller than those of their underlying stocks, their resistance to decline was not prominent compared to the fourth quarter of last year. This is because the valuation of convertible bonds continued to compress significantly, mainly in the balanced and debt - biased zones. There were many individual bonds in the balanced zone with "double kills" of parity and valuation, and the valuation compression of new bonds, near - maturity bonds, and bonds that did not undergo downward revisions in the debt - biased zone was also large. Currently, the convertible bond market valuation has basically returned to the level at the end of last year, and the valuation has dropped to a short - term neutral range. If there is a substantial negative impact, the phased low of convertible bond valuation is expected to be around the 250 - day moving average (corresponding to a 100 - yuan premium rate of around 28%), and rebound opportunities can be grasped. Structurally, considering the uncertainty of the equity market trend, the debt - biased and equity - biased zones still have potential risk points such as near - maturity, downward revisions, and high valuations. Recently, medium - term balanced convertible bonds with significant valuation declines have relatively strong offensive and defensive advantages [4][7]. 3. Summary by Relevant Catalogs 3.1 Week's Viewpoint and Outlook - Different from the previous pattern where convertible bonds actively compressed valuations while underlying stocks remained relatively stable, this week, due to the escalating US - Iran conflict, the equity market declined significantly, especially small and micro - cap stocks. The equal - weighted and weighted declines of convertible bonds were smaller than those of underlying stocks, but their anti - decline ability was not prominent compared to Q4 last year. Valuation compression was mainly in the balanced and debt - biased zones. The convertible bond market valuation has basically returned to the end - of - last - year level, and if there is a substantial negative impact, the phased low of valuation is expected to be around the 250 - day moving average. Considering market uncertainties, medium - term balanced convertible bonds have offensive and defensive advantages [4][7]. 3.2 Convertible Bond Valuation - The escalating US - Iran conflict led to a continuous rise in crude oil prices, a significant cooling of domestic risk appetite, and a large decline in small and micro - cap stocks. Convertible bond valuations continued to compress significantly. After removing outliers, the 100 - yuan premium rate dropped 1.7% to 30.1%, breaking below the +1 standard deviation level. Valuation compression was mainly in the balanced and debt - biased zones, and new bonds not in the conversion period had a compression rate of over 5%. The compression range shifted from high - parity to medium - and low - parity intervals, with a 2% - 3% compression in the 70 - 130 yuan parity interval and a relatively large compression in the below - 70 - yuan extremely low - parity interval. In the high - parity interval above 140 yuan, individual bonds like Yitian, Dazhong, and Huachen had strong valuation performance, with an increase of over 10%. In the 100 - 140 yuan parity interval, there were many "double - kill" individual bonds. In the below - 100 - yuan debt - biased interval, new bonds, near - maturity bonds, and non - downward - revised bonds had the largest valuation compression, and Longda had broken below the bond floor with a high default expectation. Currently, the convertible bond market valuation has returned to the end - of - last - year level, but the valuation of the 80 - 100 yuan parity interval and the 1 - 2 - year and 4 - 5 - year maturity intervals is still slightly higher than that at the end of last year [6][8][13]. 3.3 Clause Tracking 3.3.1 Redemption - This week, 2 convertible bonds including Yuanxin and Huicheng announced redemptions, and 6 announced non - redemptions, with a forced redemption rate of 25%. There are currently 30 convertible bonds that have issued forced redemption or maturity redemption announcements but have not delisted, and the potential conversion or maturity balance of forced - redeemed and matured convertible bonds among the non - delisted ones is 9 billion yuan. There are 40 convertible bonds currently in the redemption process, 6 are expected to meet the redemption conditions next week, 13 are expected to issue announcements of potential redemption triggers, and 13 are expected to enter the forced - redemption counting period within the next month [28][31]. 3.3.2 Downward Revision - This week, Ruike proposed a downward revision, and 4 convertible bonds including Qiaoyin, Lanfan, and Baolai announced downward - revision results. Only Baolai did not revise downward to the bottom, and the others did. Currently, 81 convertible bonds are in the non - downward - revision interval, 19 cannot be downward - revised due to net - asset constraints, 1 has triggered the condition but the stock price is still below the downward - revision trigger price and no announcement has been made, 22 are accumulating downward - revision days, and 3 have issued downward - revision board proposals but have not gone to the general meeting of shareholders [36]. 3.3.3 Put Option - This week, Tiannai Convertible Bond issued a conditional put - option announcement. Currently, 1 convertible bond has issued a conditional put - option announcement, 11 are accumulating put - option trigger days, 10 of which are also accumulating downward - revision days, and 1 has proposed a downward revision [39]. 3.4 Primary Issuance - As of now, there are 4 convertible bonds in the approval - registration process, with a to - be - issued scale of 6.4 billion yuan; and 12 in the listing - committee approval process, with a to - be - issued scale of 11.9 billion yuan [41].