□ As of yesterday, among the 14 convertible bonds traded, Dahuang convertible bonds and Laurel convertible bond The conversion value of is still higher than the current market price, and there is a certain arbitrage space.
□ Since there is arbitrage space, if you are optimistic about the future market Great Northern Wilderness If the stock price rebounds, the income from buying Dahuang convertible bonds will be higher than that from buying Beidahuang shares directly.
□ Since the Dahuang convertible bonds have not yet entered the conversion period and cannot be converted into shares, the realization of the arbitrage space of Dahuang convertible bonds can only be realized when the price of regular shares will not fall before the conversion period.
By Fang Liping
In the past month, the domestic stock market continued to fluctuate and decline. From May 5 to June 4, the Shanghai Stock Exchange Index fell from 3761.01 to 3369.91 at the closing price, down 10.4%. At the same time, the average decline of 11 convertible bonds traded between them was only 5.43%, which was not only far less than the decline of the market, but also less than the average decline of 13.248% of their corresponding 11 positive shares.
After a month of decline, many sectors will face the opportunity of short-term rebound, which also brings opportunities to the convertible bond market again. Now, Dahuang convertible bonds are about to enter the conversion period, and their conversion value is still higher than the current market price based on the current market price, so there is some arbitrage space. If investors are optimistic about the rebound of Beidahuang in the future market, it is better to buy positive shares than buy Dahuang convertible bonds.
Dahuang convertible bond arbitrage space reaches 5.47%
In addition to the investment value of convertible bonds, which have a certain debt nature and can repay the principal and interest, the biggest charm of convertible bonds is that investors can choose to convert shares within a certain period of time. Due to the fluctuation of the market, the rise and fall of convertible bonds are not completely synchronized with the positive shares, so the value of convertible bonds may be higher than the market price, and there is a certain arbitrage space.
As of yesterday, among the 14 convertible bonds traded, the conversion value of Dahuang convertible bonds and laurel convertible bonds is still higher than the current market price, so there is some arbitrage space. On June 19, the debt to equity swap can be implemented. If the Great Wilderness rebounds in the future, there will be more profit space for the debt to equity swap.
As of the closing of the market on June 3, the closing price of Dahuang convertible bonds was 128.26 yuan, while the stock price of its regular share, Beidahuang, was 19.38 yuan. Since the conversion price of Dahuang convertible bonds was 14.32 yuan, the value of convertible bonds at the time of conversion was calculated based on 100 par values. With the current conversion price, the conversion ratio of each bond was 6.98 (=100/14.32), that is, Each bond can be converted into 6.98 shares of Beidahuang shares. Based on the share price of 19.38 yuan on that day, the value of the converted shares is 19.38 × 6.98=135.27 yuan, which is 7.01 yuan higher than its current market value of 128.26 yuan. That is to say, as long as the price of the official shares of the Great Wilderness on June 3 does not fall, and the official shares of the Great Wilderness on June 19 enter the conversion period and then turn into the official shares, there will be 5.47% arbitrage space.
However, with the approaching of the Dahuang debt to equity swap period, its arbitrage space is narrowing rapidly. In the market crash yesterday, because the decline of Dahuang debt to equity swap is far less than that of Beidahuang equity, the arbitrage space of Dahuang debt to equity swap has narrowed to 0.63%.
Because of the arbitrage space, if you are optimistic about the rebound of the stock price of Beidahuang in the future, the income from buying Dahuang convertible bonds will be higher than that from directly buying Beidahuang stocks. Assuming that the share price of Beidahuang rises to 20.349 yuan before the arrival of the equity conversion period on June 19, if 1000 shares of Beidahuang are bought at the close of June 3, the profit from selling will be 969 yuan (without transaction costs), with a yield of 5%. If you buy Dahuang convertible bonds with 19380 yuan of funds to buy Beidahuang, you can buy about 151 shares. If you convert shares at the time of conversion, you can exchange them into 1054 shares (151 × 6.98) of Beidahuang shares. The market value of 20.349 yuan is equivalent to 21448 yuan, during which the net income is 2068 yuan, and the yield can reach 10.67%, more than 5% higher than the direct purchase of Beidahuang.
Due to the large arbitrage space, when the share price of Beidahuang fell, the Dahuang convertible bond was relatively resistant. Yesterday, the price of Beidahuang fell by 5.21%, while the Dahuang convertible bond only fell by 1.79%. If the stock price of Beidahuang rebounds in the future, it can be expected that the rising space of debt conversion of Beidahuang will be greater than that of Beidahuang. Therefore, for investors in the rebound trend of the positive shares of Bobei Dahuang, it is better to buy convertible bonds than positive shares at present.
If the stock price falls before the conversion period, it may lose money
It should be noted by investors that since the Dahuang convertible bond has not yet entered the conversion period and cannot be converted into shares, the realization of the arbitrage space of the Dahuang convertible bond can be realized only when the price of the positive shares will not fall before the conversion period. If the share price of Beidahuang continues to fall before the arrival of the equity conversion period, even the equity conversion investors will face losses. At present, the arbitrage space is meaningless.
Assuming that by June 19, the share price of Beidahuang has dropped to 18.314, then the value of the converted shares at that time is 18.314 × 6.98=127.83 yuan, which is lower than the purchase price of convertible bonds on June 3 of 128.26 yuan, and investors will suffer losses.
However, compared with the stock price, due to the debt nature of convertible bonds, if the market falls sharply in the future, the convertible bonds will be held as bonds, and the losses can be controlled within a certain range. According to the issuance announcement of Dahuang Convertible Bonds, the term of the bonds is 5 years, and the coupon rate is 1.50% in the first year, 1.80% in the second year, 2.10% in the third year, 2.40% in the fourth year, and 2.70% in the fifth year. The interest shall be paid once a year, and the company shall repay the principal and the last interest payment of the unconverted convertible bonds in a lump sum within five working days after the maturity. That is to say, if the holding matures, the total principal and interest that investors can obtain is 110.5 yuan (without interest tax). If they buy Dahuang convertible bonds at the current market price, the maximum loss at the holding maturity is 13.85%.
