BOC International: The first warrant is about to expire, exercise or sell
http://www.sina.com.cn 07:07, April 10, 2007 China Securities Journal
BOC International Securities Co., Ltd
from Capital stock (600008) issued by Beijing Capital Venture Group Co., Ltd First JTB1 (580004) will enter the exercise period on April 17, 2007. As the exercise period approaches, will investors choose to exercise or sell before the expiration? This paper attempts to provide investors with decision-making reference.
1、 Basic Information of Capital Call Warrants
In addition to the usual stock dividend, Beijing Capital Venture Group Co., Ltd Non tradable shares During the reform, the way of issuing warrants was adopted as the consideration scheme, and 60 million shares of the first JTB1 (580004) were issued. The warrant was listed and traded on the Shanghai Stock Exchange on April 24, 2006, which is a European style warrant. The last trading day was April 16, 2007, and then it entered a five-day exercise period (from April 17, 2007 to April 23, 2007). The exercise ratio of the warrants is 1:1, and the latest exercise price of the pioneering JTB1 (580004) is 4.40 yuan. According to the closing price of Capital Shares of 9.49 yuan on April 9, 2007, Capital JTB1 (580004) is a deep in price warrant.
2、 The Theoretical Value of Capital Call Warrants
We use the BS model applicable to European warrants to calculate the current theoretical value of the pioneering JTB1 (580004). We set the parameters required to be input in the model as follows: the exercise price of the warrant (X) is 4.40 yuan, and the risk-free interest rate (r) is 2.79% of the one-year fixed interest rate, shares The volatility (σ) is 33.9% of the historical volatility of the latest year, the remaining maturity (Δ T) of the warrant is 0.038 years, and the latest stock price (S) of Capital Stock is 9.49 yuan. Finally, we conclude that the theoretical value of the pioneering JTB1 (580004) is 5.0947 yuan. As of Friday's closing, the market price of the first JTB1 was 5.1111 yuan, slightly higher than the theoretical value.
3、 Exercise or sell
So how should warrant holders operate at this time? From a static point of view, that is to say, we assume that the price of positive shares and the price of warrants will not change or change little before the expiration of warrants. Under this assumption, the warrant holder now sells the warrant better than the expiration exercise, although the difference is not significant. If the warrant holders are optimistic about the future trend of the first regular shares, they can consider holding the exercise at maturity. Of course, from the perspective of actual situation and dynamics, since there is still a period of time before the stocks obtained by warrant exercise can be sold, the price of positive shares may fluctuate during this period, and investors need to judge the possible risks by themselves. (BOC International)
