|
Trainee reporter Jian Jundong
Report from Shenzhen
The change came suddenly and predictably.
On March 2, CMB CMP1 (580997) was listed, and the reference price for opening of CMB warrants calculated by the sponsor was 0.436 yuan. The closing price of CMB warrants on that day was 0.577 yuan, up only 32.34%, not reaching the daily limit price of 1.261 yuan. The myth of trading limit on the first day of warrant listing was broken.
On March 7, the crackdown on warrants became more fierce. Shanghai Stock Exchange JTP1 (580996) was listed, with an opening price of only 1.98 yuan and a closing price of 1.906 yuan. The price of the whole day failed to exceed its opening reference price of 2.252 yuan. Shanghai Stock Exchange warrants became the first warrants that fell below the opening reference price on the first day of listing. The Shanghai Stock Exchange Warrant is the 10th warrant listed on the A-share market.
On the same day when the warrants were listed in Shanghai Stock Exchange, the CMB warrants created by five securities companies were listed. Huang Wenqing of Guotai Jun'an New Product Development Department believes that the value of the three warrants listed recently has been significantly underestimated. It is puzzling that securities companies choose this time to create.
And public information also shows that funds that have been far away from warrants have begun to choose to hold warrants with low valuation for a long time.
Return of warrant value
"Shanghai market JTP1 fell below the listing reference price, which was completely unexpected." On the evening of March 7, a securities market researcher told reporters.
After the listing of Shanghai Stock Exchange warrants, it is difficult to rise, and there are traces to be found before. A few days before the listing of warrants in Shanghai Stock Exchange, basically the whole warrant sector was falling all the way.
attract investment negotiable securities Ji Wei, a researcher of funds and derivative financial instruments, believes that the decline of warrants is an inevitable trend: first, the expansion of warrants is inevitable. Recently, there have been three warrants listed, namely, CMB warrants and Valin warrants in Shanghai market. From the experience of Hong Kong market, the expansion of warrants will inevitably lead to the reduction of implied volatility and the subsequent decline of warrant prices.
In addition, the expectation of the future trend of positive shares also weighed on warrants. Ji Wei said that, taking CMB as an example, many studies and analyses believe that the future price of CMB G will not be less than 6 yuan, and it is impossible for CMB to overestimate its put warrants when everyone is bullish.
At present, Baosteel warrants Ansteel Warrants and other call warrants are still overvalued, while the undervaluation of several newly listed put warrants such as Valin and China Merchants Bank has been obvious, Ji Wei said.
Securities traders step into creating traps
Although CMB warrants have been considered as "waste paper", they still attract securities companies to create.
On March 7, Shanghai Securities, Huatai Securities, China Merchants Securities, Orient Securities, Guoyuan Securities and other five securities companies applied to the Shanghai Stock Exchange for the listing of 91 million CMB put warrants.
The profit model of the created warrants of the securities companies is to sell the created warrants at a high level, and then wait until the corresponding number of warrants are written off at a low level. The profits of the securities companies come from the difference between them. The first condition for their profit is that the price of the warrants is falsely high.
But why did China Merchants Bank still choose to create warrants when they were already at a low level?
Huang Wenqing, a researcher of Guotai Jun'an New Product Development Department, believes that there are two possibilities. One is to beat down the price of CMB warrants through creation, and then pick them up at a low level; The second possibility is to have a directional judgment on the stock price. The research of securities companies believes that the price of regular shares will rise sharply in a short time. CMB put warrants will continue to decline as a result, "the second one may be larger".
Huang Wenqing calculated that, according to the relevant requirements, to create CMB warrants, securities firms should first invest a large amount of performance guarantee funds in the exchange. If securities firms have never had the opportunity to buy back warrants, then the pledged money has never been recovered. If securities firms have kept holding down for 18 months, based on the financing cost of 5% of securities firms every year, even if CMB warrants are really worthless after 18 months, Then each warrant of the securities firm only earns about 50 cents, which is not enough to pay the interest. At the same time, the creation of securities companies also need to take the risk of the rising price of CMB warrants. The benefits and risks are very disproportionate. Therefore, the only explanation is that "the research of securities companies believes that the price of regular shares will rise sharply in a short time, and securities companies can take the opportunity to withdraw".
But Huang Wenqing seems to think too shrewdly of securities dealers.
A broker who participated in the creation of CMB warrants told the reporter that in fact, the reason why the broker created CMB warrants was mainly due to misjudgment.
He told reporters, "When we designed our products, we didn't expect such a sharp fall. Before we submitted for approval, we thought that the CMB warrants would have a high level. But after the listing of Shanghai Airport, we knew that the market was not what we expected. From the current situation, the creation of warrants has entered the era of meager profits."
Fund borrowing warrant hedging
Compared with the securities traders who created the warrants, the funds have started to intervene in the warrants.
From the listing of Valin warrants on March 2 to the reporter's deadline, the Southern Robust Growth Securities Investment Fund was among the holders whose number of warrants reached or exceeded 5% of the tradable number announced by Shenzhen Stock Exchange - this was the first time that a large proportion of long-term warrants were held by a fund.
Ji Wei said: "The long-term holding of Valin warrants by China Southern Robust Fund should be based on the consideration of capital protection. As far as I know, China Southern Robust Fund has begun to consider how to use the warrants for capital protection some time ago, and now it seems that they have begun to implement it."
According to the fourth quarterly report of China Southern Fund last year, Valin Pipeline is its largest heavy position, accounting for 7.73% of its net fund value.
Ji Wei also believes that Southern China's prudent choice of holding at this time is also related to the return of warrant value to a reasonable level. Because the first thing to consider for capital preservation is whether it is expensive or not. Valin is a very good in the price warrant. At the same time, its premium level is not high, and its implied volatility is very low, so it is suitable for capital protection.
| 
