Ge Xinyuan: The exercise price of Salt Lake Potash put warrants is slightly conservative

Guosen Securities Ge Xinyuan Dong Yiting

Recently, salt lake potash fertilizer ( information quotation forum ) (000792) launched the share reform plan of "stock dividend+cash dividend+warrants". The holders of tradable shares will receive 1 share, 8.76 yuan in cash and 3 Bermuda style put warrants for every 10 shares. The duration of the warrants is 12 months, the exercise price is 15.2 yuan/share, and the exercise date is the last 5 trading days of the duration of the warrants.

Since the scheme includes stock and cash distributions, it is expected that the price of regular shares will change after the resumption of trading. Based on the current share dividend and cash dividend ratio and the closing price of 16.94 yuan before the suspension of trading of Salt Lake Potash Fertilizer, it is estimated that its share price after "natural ex right" should be 14.6 yuan.

Salt Lake Potash is a blue chip company with special industry status, and its performance continues to grow after listing. At present, the company's stock price is at the highest since listing. It is expected that the stock price will continue to rise and exceed the exercise price of put warrants within one year after the share reform. Therefore, we adopted a more optimistic estimate of the share price after the resumption of trading. At the same time, considering the possible fluctuations in the market during the suspension period, when using the BS model to evaluate the warrant scheme, we take 80% - 120% of the above price as the price range to judge the put warrant of Salt Lake Potash Fertilizer; The initial exercise price of the put warrant is 15.20 yuan, and the duration of the warrant is T=12 months; Fixed interest based on one-year after tax

The result of the calculation is that the theoretical value of the put warrant of salt lake potash fertilizer is between 1.367 yuan and 5.415 yuan. Considering that the implied volatility of the put warrant in the current market is generally 1.2 times the historical volatility of the equity, the value of the warrant is between 1.813-4.369 yuan. Converted into regular shares, the consideration level of each warrant is equivalent to 0.107-0.258 shares of salt lake potash fertilizer, and the consideration level of three warrants is between 0.5-0.75 shares. The overall consideration level is about 2 shares.

In fact, such a scheme, which includes stock dividends, cash dividends and warrants, can be said to take into account the consideration of major shareholders on equity, cash and the company's future expectations. The design itself is relatively reasonable. Static consideration of the company's current operating conditions and market conditions, assuming that the market still maintains an upward trend during the suspension period, the put warrants may be listed as out of price warrants; At the same time, if we take into account the good fundamentals of the company and its ability to continue to grow in the future, the price of put warrants appears slightly conservative.

Of course, there was Guizhou Moutai before ( information quotation forum ) Such high priced shares have introduced a share reform plan that includes warrants. We also realize that if the exercise price of put warrants is increased, a higher level of consideration will naturally be achieved, but the pressure on major shareholders to guarantee funds and repay will also increase accordingly. Therefore, for companies with large circulating share capital or high absolute price of shares, although put warrants, as part of the combined plan of share reform, can make up for the lack of the ability of major shareholders to deliver shares, it is difficult to improve the level of consideration by modifying the exercise price of put warrants. The actual consideration level of the combined scheme is largely affected by the number of shares and cash dividends.