Ping An Securities Derivatives Department
because CMB CMP1 The price fluctuated violently, completely separated from the trend of positive shares, and the value was seriously overestimated. Innovative securities companies created a large number of warrants. In June this year, CMB's CMP1 share reached 3.704 billion; In July, the establishment share of CMB CMP1 was 281 million, which was the highest two months in the duration of CMB CMP1, accounting for 88.85% of the total number of CMB CMP1. With the establishment activities, the circulation share of warrants increased significantly in a short period of time, effectively preventing CMB CMP1 price from being further elevated, and promoting the return of warrant price to rationality. As of the end of June, the price of CMB CMP1 was 1.442 yuan; By the end of July, the price of CMB CMP1 had dropped to 0.553 yuan. Since then, CMB CMP1 price fluctuation has gradually returned to rationality, and the fluctuation range is significantly lower than that in early June.
The existence of the creation mechanism itself is a deterrent to the funds speculating on warrants, and it also prompts some investors who blindly follow the trend to risk. For the warrants that can be created, the warrant creation and creation risks have been indicated in the warrant listing announcement, that is, to reveal to investors that the increase in the supply of warrants may have an impact on the price of warrants. For example, in WISCO JTB1 and WISCO JTP1 Before listing for trading, the SSE issued the Notice on Matters Related to the Creation of WISCO Warrants by Securities Companies, making specific provisions on the creation of WISCO warrants. Wuhan Iron & Steel A suggestive announcement was also issued before the listing of warrants, saying that after the listing of warrants, if other institutions create warrants based on WISCO shares, the transaction price of warrants may be affected. In view of the expectations and deterrence of the creation, even if there is no real creation of the warrants, it can also inhibit warrant speculation to a certain extent. For example, Wanhua HXB1 Since June 2006, although no securities companies have created it, its premium rate has remained at a low level. In the same period, the premium rate of cloud based CWB1 with similar circulation volume remained high. One of the important reasons is that Wanhua HXB1 has the creation expectation, while Cloudization CWB1 does not.
More importantly, the warrant creation mechanism plays a risk warning role for investors, especially small and medium-sized investors. At a certain price level of the warrant, the more founders, the larger the creation share, indicating that the higher the valuation level of the warrant, the more unreasonable the market price of the warrant. At this time, investors will pay more attention to the risks contained in the price of warrants and avoid these overvalued warrants. If the price of the warrant rises sharply due to insufficient supply, which is far away from its theoretical value, when the price of the warrant returns to the value, investors who buy at a high level will suffer greater losses. After the introduction of the creation mechanism, investors can better realize the risk of overestimating warrants and reduce blind follower behavior through the creation and cancellation of securities companies.
To sum up, the mechanism has played an important role in improving the efficiency of warrant pricing and promoting the smooth operation of the warrant market in China since its establishment two years ago. However, with the gradual withdrawal of share reform warrants from the market, fewer and fewer warrants can be created. At present, only China Southern Airlines JTP1 can be created, which makes the space for the creation mechanism to play a role smaller and smaller, and the imbalance between supply and demand in the warrant market may intensify again. In the long run, to fundamentally solve the imbalance between supply and demand in China's warrant market, the best way is to launch covered warrants issued by securities companies. At the same time, from the perspective of the development path of overseas warrant market, covered warrants are the mainstream direction of warrant market development. Therefore, it is an inevitable choice to launch covered warrants in order to further develop China's warrant market and integrate with the international mature market. (B)
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