债市专题研究：阶段性回调后如何看待转债市场？

Group 1: Report Investment Rating - No investment rating is provided in the report. Group 2: Core Views - In the context of continued external uncertainties and high absolute valuations, the redemption negative feedback may still be in the early stage of fermentation. In terms of configuration, it is advisable to focus on defense, prioritize the layout of targets with solid bond - floor support and relatively low valuations, and avoid high - premium varieties [1][3]. - The convertible bond market accelerated its decline last week, with the core driving factors being the escalation of the Middle East geopolitical conflict and the hawkish stance of the Federal Reserve's policy, which led to a continuous weakening of global market risk appetite. The convertible bond market was pressured downwards along with the equity market. The small - cap and mid - cap convertible bond indexes had higher declines than the large - cap index, and the low - price index had a significantly lower decline than the high - price and mid - price indexes, indicating that the risk appetite for high - valuation and high - price varieties was still converging [1][10]. - The convertible bond market experienced a wide - range adjustment last week, with significant retracements in high - valuation varieties. Most style factors continued to be weak, and high - position targets with strong previous momentum faced concentrated adjustment pressure. It is recommended that investors be cautious in the current weak and volatile environment, prioritize the defensive attributes of assets, strictly control portfolio exposure, avoid high - deviation and downward - trending varieties, and moderately track and observe targets with low ZL deviation and potential pricing repair space [2][14]. - Looking ahead, the current redemption negative feedback may still be in the early stage of fermentation. The strategy should still focus on defense, and it is advisable to prioritize the layout of low - valuation targets. Overseas uncertainties have significantly increased, and the overall valuation of the convertible bond market is still in a relatively high range after the correction. It is recommended to maintain a cautious and defensive tone, focus on low - valuation varieties with solid bond - floor support, reasonable conversion premiums, and high cost - effectiveness, and strictly control portfolio risk exposure [3][21]. Group 3: Summary by Directory 1. Convertible Bond Weekly Thinking - Last week (from March 16 to March 20, 2026), the convertible bond market accelerated its decline. The core driving factors were the escalation of the Middle East geopolitical conflict and the hawkish stance of the Federal Reserve's policy, which led to a continuous weakening of global market risk appetite. The convertible bond market was pressured downwards along with the equity market. Style factors were generally under pressure, especially the momentum style. The small - cap and mid - cap convertible bond indexes had higher declines than the large - cap index, and the low - price index had a significantly lower decline than the high - price and mid - price indexes. The decline of the convertible bond market further expanded, mainly due to the double impact of the escalation of the Middle East geopolitical conflict and the hawkish signals from the Federal Reserve's March interest - rate meeting, which intensified market panic. Some fixed - income + products faced redemption pressure, leading to a "redemption - selling" negative feedback cycle. The convertible bond index showed a trend of simultaneous decline in volume and price, with significant adjustments in high - valuation and technology - themed individual bonds [10]. - The convertible bond market had a wide - range adjustment last week, with significant retracements in high - valuation varieties. Most style factors continued to be weak, and high - position targets with strong previous momentum faced concentrated adjustment pressure. Only "Aima Convertible Bond" in the liquidity style had a slight gain (+0.04%), and "Wanqing Convertible Bond" in the valuation style remained flat (0.00%). From an industry perspective, pro - cyclical sectors such as chemical raw materials and construction machinery faced obvious capital outflows. The copper and aluminum sectors related to non - ferrous metals were also weak. In contrast, "Aima Convertible Bond" in the motorcycle sector and "Wanqing Convertible Bond" in the cement sector showed certain defensive characteristics in the weak market. It is recommended that investors be cautious, prioritize the defensive attributes of assets, and track targets with low ZL deviation [14]. - Currently, convertible bonds are still in an over - valued range. It is recommended to focus on low - valuation and high - cost - effectiveness varieties. After the rapid decline, the convertible bond market is still about 10% over - valued compared to the reasonable level according to the BS and ZL models. The pressure of valuation regression is still being released. It is advisable to maintain a cautious and defensive strategy, prioritize targets with solid bond - floor support, strong underlying stock performance certainty, and relatively low valuations, and avoid high - premium varieties [17]. 2. Convertible Bond Market Aspect 2.1 Convertible Bond Market Aspect - No specific content is provided other than data sources. 2.2 Convertible Bond Individual Bond Aspect - Tables and figures show the performance of convertible bond indexes and the top - ten and bottom - ten individual bond price changes in the past week, but no detailed analysis is provided. 2.3 Convertible Bond Valuation Aspect - Figures show the valuation trends of bond - type, balanced, and stock - type convertible bonds, as well as the conversion premium rate valuation trends of convertible bonds with different parities, but no detailed analysis is provided. 2.4 Convertible Bond Price Aspect - Figures show the proportion trend of high - price bonds and the median price of convertible bonds, but no detailed analysis is provided.