【固收】本周继续下跌——可转债周报（2026年3月16日至2026年3月20日）（张旭/杨欣怡）

Market Overview - The China convertible bond index decreased by -3.15% during the week of March 16 to March 20, 2026, compared to a decrease of -1.10% the previous week. The overall index dropped by -4.10%, with a previous week's change of -0.51%. Year-to-date, the convertible bond index has increased by +0.15%, while the overall index has risen by +0.79% [4]. - By rating, the performance of bonds was as follows: AAA rated bonds decreased by -2.21%, AA+ rated bonds by -2.88%, AA rated bonds by -3.97%, AA- rated bonds by -4.24%, and bonds rated AA- and below by -4.54%, with the lowest-rated bonds experiencing the largest decline [4]. Convertible Bond Size Analysis - The performance of convertible bonds based on size was as follows: large-scale bonds (over 2 billion) decreased by -2.53%, medium-large bonds (1.5 to 2 billion) by -3.09%, medium-scale bonds (1 to 1.5 billion) by -3.51%, medium-small bonds (0.5 to 1 billion) by -4.13%, and small-scale bonds (under 0.5 billion) by -4.57%, with small-scale bonds showing the largest decline [5]. Price and Valuation Metrics - The average price of convertible bonds was 134.84 yuan, down from 139.04 yuan the previous week. The average conversion price was 103.61 yuan, down from 108.59 yuan, and the average conversion premium rate was 29.68%, slightly up from 29.05% the previous week [6]. - As of March 20, 2026, there were 377 convertible bonds in circulation, with a total balance of 523.99 billion yuan, down from 527.92 billion yuan the previous week [6]. Investment Recommendations - The current market trend indicates a decline in convertible bonds. Investors are advised to monitor market supply, policy changes, and geopolitical disturbances, and to make informed decisions based on bond terms and underlying stock conditions [7].