Zhang Zhibin
With the listing of Guodian CWB1 (580022. SH) on May 22, Shanghai warrant market will welcome the 13th warrant product and the 12th warrant.
Guodian Power It was announced today that 427465000 warrants issued by the company with "Guodian Power" as the underlying securities will be listed on the Shanghai Stock Exchange from May 22, 2008. The warrant transaction is called "Guodian CWB1" for short, and the transaction code is "580022". At the same time, 3.995 billion yuan of corporate bonds will be listed on the Shanghai Stock Exchange from May 22, 2008. The securities are referred to as "08 Guodian Bonds", and the securities code is "126014".
Guodian CWB1 and 08 Guodian bonds are split from the previously issued 3.995 billion yuan of separately traded convertible bonds of Guodian Power, with each bond having a face value of 100 yuan and a maturity of 6 years; The nominal interest rate is 1.00%; The ultimate subscriber of each separable bond can obtain 107 warrants distributed by the issuer at the same time; The duration of the warrants shall be 24 months from the date of listing of the warrants; The initial exercise price is 7.5 yuan/share; The exercise ratio is 1:1.
Orient Securities believes that the bond value of Guodian Power's separable bonds is 76.25 yuan based on the yield to maturity of 5.8% and the coupon rate of 1%. By using the market-oriented valuation method, the premium rate of 50%~55% is taken. When the price of the positive shares is between 7 and 8 yuan, the warrant price is between 3.35 and 4.5 yuan, and the corresponding comprehensive value of the separable bonds is between 112.10 and 124.40 yuan.
First Venture Securities believes that the theoretical value of Guodian Power's pure bonds is 74.59 yuan by adopting the discounted cash flow model and the discount rate of 6.2%. The value of warrants adopts the pricing method of relative price. If the implied volatility of each warrant is 120%, the relative value calculated by taking the price of positive shares as 7.5 yuan is 4.313 yuan. After calculation, the theoretical value of each separate bond is 120.74 yuan.
Guodian Power yesterday closed at 7.32 yuan, up 0.69%.
