Primary dealer of warrants GF Securities Guo Yong
The A-share market further pushed the bull market forward a little under the background of interest rate increase. Recently, the warrant market also set a new record. The premium rate of Maanshan Steel CWB1 (580010) has been falling below - 20% for several days. What is more noteworthy is that the exercise period of the warrant is arranged in a special way, which is divided into two periods, namely, from November 15 to 28, 2007 and from November 17 to 28, 2008. If investors only pay attention to the terms of the final maturity date of the warrant and ignore the window of time for exercise in November this year, they may miss an arbitrage opportunity. The author believes that the high proportion of negative premium is unlikely to last for a long time. Since there is an exercise period in November this year, which can also be regarded as an effective arbitrage period, Masteel CWB1 will have some characteristics similar to doomsday warrants in the near future.
One of the reasons for the negative premium of warrants is that the market arbitrage mechanism is defective, the positive shares cannot be short sold, or the actual cost of arbitrage is too high, which leads to the inability to implement effective arbitrage. The following scenarios can be considered: if Ma Steel's A shares and H shares rise or fall by the same amount at the same time between now and the end of the exercise period at the end of November, investors can take profits of about 20% premium; If the adverse factors of the global stock market affect Hong Kong stocks, and the trend of A shares is stronger than that of H shares, it will be more beneficial to investors and can further expand the income; If Ma Steel's H shares have a stronger trend than A shares due to the official implementation of Hong Kong stock free movement and other factors, it will not only lose money by short selling Ma Steel's H shares, but also reduce the overall arbitrage income. Considering that, on the one hand, the current negative premium is close to 20%, and the protection coefficient is quite high, but on the other hand, the discount of Masteel's H shares over A shares is also as high as 46.4% (the closing price of Masteel's A shares on September 18 was 14.49 yuan, and the closing price of H shares was 7.77 yuan), it is different to see whether cross market arbitrage is worth doing.
