GF Securities Product Innovation Department
Under the opportunity of share trading reform, the introduction of share reform warrants has become the touchstone of the domestic financial derivatives market. With the acceleration of financial innovation, warrants separated from separable convertible bonds (hereinafter referred to as separable convertible bonds) issued by listed companies have added a beautiful scene to the warrant market. In just two years, the domestic warrant market has developed and expanded at an astonishing speed, and the transaction amount of warrants once exceeded the A-share market.
From the perspective of product attributes, share reform warrants and separable convertible bond warrants are homogeneous. The main difference between the two is whether to allow the creation of this trading mechanism. This difference also led to a certain difference in the market investment behavior of the two types of warrants:
1、 The premium level reflects the obvious difference between the two types of warrants
This paper selects 6 share reform warrants listed on the Shanghai Stock Exchange (including Baotou Steel JTB1 、 Wanhua HXB1 、 First JTB1 、 Hangang JTB1 、 Youngor QCB1、 Guodian JTB1 ）And three separable convertible bond warrants (including Magang CWB1, Sinochem CWB1, and Yunhua CWB1), as the comparative samples of the two types of warrants, respectively calculated the average premium level of the two types of warrants from the listing date to March 23, 2007: the average premium rate of share reform warrants was 18.01%, while the average premium rate of separable convertible bond warrants was 30.59%, which was 70% higher than that of share reform warrants. Even if we exclude the variety Wanhua HXB1, which has been in the deep price for a long time and has a negative premium, which has lowered the overall level, the average premium rate of share reform warrants is only 21.43%, and the premium level of separable convertible bond warrants is still 43% higher than that of share reform warrants.
For the horizontal comparison in the same period, select the time interval after the listing of the separable bonds (November 29, 2006 to March 23, 2007), and we can find that the average premium rate of the six share reform warrants is only 8.86%, while the average premium rate of the separable convertible bonds warrants is 30.59%, which is 245% higher than that of the share reform warrants.
Two warrant market trading is still active, and call warrants are popular
The observation period is from January 4, 2007 to April 3, 2007. It was found that:
The average daily transaction amount of the entire warrant market is about 17.115 billion yuan. In March, Baotou Steel, Handan Steel and other warrants expired, the total share of the warrant market began to decline, and the proportion of the warrant transaction amount in the A-share transaction amount also fell sharply.
On the other hand, the overall turnover rate of the warrant market did not decline with the decrease of the creation balance, and often remained at a high level of 40% - 80%.
Further observation of the transaction amount of the warrants shows that the daily average volume of the warrants in this time period is 3.28 billion, and the daily average transaction amount is about 13.2 billion, accounting for 77% of the total transaction amount of the warrants, but the daily average balance of the warrants only accounts for 44% of the daily average balance of the entire warrant market. At the same time, it can be seen from the proportion chart of the transaction amount of the warrant that since 2007, the proportion of the transaction amount of the warrant in the total transaction amount of the warrant market has been stable between 70% and 90%, reflecting that under the current bull market background, the warrant is more popular with investors.
The above data shows that with the expiration of several equity warrants, the total share and transaction amount of warrants began to decline, but the turnover rate of the warrant market remained at a relatively stable level, reflecting that the demand for warrants did not decline because of the decrease in the number and variety of warrants. At the same time, in terms of the proportion of the transaction amount of the warrant, the demand for the warrant is very strong, accounting for most of the transaction amount of the warrant market. However, in April and May, when the expiration of warrants reached its peak, several equity warrants were about to expire, and the number of warrants would be reduced from 25 at the beginning of March to 15 at the end of May. The separable convertible bond warrants would become the mainstay of warrants. Under the mechanism of not allowing the creation of separable convertible bond warrants, and in addition, the number of such warrants issued was very limited (the total number of warrants at present was about 2.66 billion), With such strong demand for warrants at present, it is very likely that there will be a serious imbalance between supply and demand, which will lead to these rare warrants to repeat the historical mistakes of Baosteel's rapid speculation of warrants.
In the long run, the introduction of covered warrants is the fundamental way to solve the low pricing efficiency and irrational investment behavior caused by the imbalance between supply and demand in the domestic warrant market. However, there is still no specific timetable for the launch of covered warrants at present, and the domestic warrant market is about to face the scarcity of varieties. The phased supporting imbalance may damage the good start of the warrant market, which will make the rational investment experience and ideas learned by investors for more than a year be impacted or even destroyed by reality. Weighing the advantages and disadvantages and introducing a creation mechanism for separable convertible bond warrants at the right time will help balance the supply and demand of warrants, effectively protect the interests of investors, and have positive significance for the smooth transition of warrant market to covered warrants in the future.
In the specific operation, there is no essential difference between the creation of separable convertible bond warrants and share reform warrants, but in consideration of the potential impact on the financing needs of the issuer, the issuer can perform the obligations to be exercised first by adjusting the exercise order of separable convertible bond warrants, At the same time, we can also consider increasing the restrictive conditions that the founder must buy back all the created shares before the expiration, so as to fully meet the financing needs of the issuer. Make the creation mechanism give full play to its positive role in balancing market supply and demand, protecting the reasonable interests of investors and maintaining the smooth operation of the market on the premise of protecting the interests of the issuer.
