The essence of warrants reflects the contractual relationship between the issuer and the holder. After paying a certain amount of money to the warrant issuer, the holder obtains a right from the issuer. This right enables the holder to buy/sell a certain amount of assets from the warrant issuer at an agreed price on a specific date or within a specific period in the future. The warrants for buying stocks are called call warrants, and the warrants for selling stocks are called put warrants (or put warrants). Warrants are divided into European warrants and American warrants. The so-called European warrants are warrants that can only be exercised on the due date. The so-called American warrants are warrants that can be exercised at any time before the expiration date. The holder obtains a right, not a responsibility, and has the right to decide whether to perform the contract, while the issuer has only the obligation to be executed. Therefore, in order to obtain this right, investors must pay a certain price (royalties). The difference between warrants (in fact, all options) and forwards or futures is that the former holder is not a responsibility, but a right, while the latter holder is responsible for executing the sales contract signed by both parties, that is, the relevant assets must be traded at the specified price and the specified future time.
From the above definition, we can easily see that warrants can be divided into call warrants and put warrants according to the exercise direction of rights. Call warrants belong to "call options" and put warrants belong to "put options".
The value of warrants consists of two parts: one is the intrinsic value, that is, the difference between the underlying stock and the exercise price; The second is time value, which represents the holder's expectations and opportunities for future stock price fluctuations. Other things being equal, the longer the warrant lasts, the higher the warrant price; American warrants are more expensive than European warrants because they can be exercised at any time during the duration.
Warrant value = (share price-exercise price) x exercise ratio
Put warrant value = (exercise price-share price) x exercise ratio
Source of warrants
Abroad, the warrant originated from American Electric Energy Company 19 1 1. Before 1929, warrants, as a speculative variety, became a tool to manipulate the market. In the 1960' s, many American companies used warrants as financing means for mergers and acquisitions. Because warrants are relatively cheap, some warrants are even used as a means of promotion. At that time, American companies had difficulty in selling bonds, and they often gave stock warrants as "incentives", meaning "buy computers and send insurance". In 1970, AT&T Company raised1500 million dollars in the form of warrants, making issuing warrants with underlying securities the most popular financing method. The earliest warrants in Europe appeared in Britain in 1970, while Germany once became the largest warrant market in the world after issuing warrants in 1984, with tens of thousands of warrants. But its position has now given way to Hong Kong. As of June 5438+February 3, 20041,the transaction amount of warrants in Hong Kong ranked first in the world. Last year, the transaction amount was US$ 67,357.3 billion, far ahead of the second German US$ 55,208.5 million and the third Italian US$ 211530,000.
Establishment of warrants
Warrant creation refers to the act of increasing the supply of warrants after the warrants are listed and traded, which is completely consistent with the original warrants. The cancellation of warrants means that the creator (that is, the securities company that created the warrants) applies to the stock exchange for cancellation of all or part of the warrants in its designated warrant creation account.
According to the provisions of the Shanghai Stock Exchange, if the underlying securities of the warrants applied for listing on the exchange are stocks, the underlying stocks shall meet the following conditions: the market value of the tradable shares in the last 20 trading days shall not be less than 654.38 billion yuan; The cumulative turnover rate of stock trading in the last 60 trading days is above 25%; No less than 200 million outstanding shares.
Warrant, also known as "warrant" or "warrant", is called Warren in English, so it is also commonly known as "wolun" in Hong Kong.
In the securities market, warrants refer to financial derivatives with maturity date, exercise price or other execution conditions. According to the definition of American Stock Exchange, warrant refers to the option to buy or sell the underlying assets at the agreed price and time (or at the corresponding price within a series of periods stipulated in the warrant agreement).
Covered warrants are issued by the third party holding the relevant assets, not by the relevant enterprises themselves, usually by international investment banking institutions. The issuer owns the relevant assets or has the right to own the assets. Covered warrants can be subscribed or placed, and investors also face the credit risk of issuers.
Covered warrants are regarded as structured products. Covered warrants are issued by individuals (usually investment banks) independent of their designated issuers and their subsidiaries. Designated assets can be assets other than equity securities, such as indexes, currencies, commodities, bonds or a basket of securities. The rights granted by covered warrants can be buying rights (call warrants) or selling rights (put warrants).
Coverage means that the issuer deposits the securities or assets designated by the warrant in an independent trustee, custodian or depository institution as collateral to fulfill its obligations, and the trustee, custodian or depository institution represents the interests of the warrant holder. Some markets use warrants to represent all types of warrants, while others use derivative warrants to represent covered warrants.
Butterfly warrants refer to buying and selling two put warrants with different prices or two put warrants with different prices at the same time. Such a combination can make investors get certain income when the stock price fluctuates within a certain range. If the price fluctuation is out of range, investors will not suffer losses. The shape of its income curve is "_ _ ∧ _ _", which is named butterfly warrant because of its shape and flying butterfly.
Saddle warrant is a combination of put warrant and warrant, and its yield curve is "\ _ _/",which is similar to saddle warrant and is called saddle warrant, also called wide-span warrant or bundled warrant. This kind of warrant enables investors to gain income when the stock price drops sharply or rises sharply, and no income when the stock price changes little.
Interim Measures for the Administration of Warrants of Shanghai Stock Exchange
Shanghai Stock Exchange recently issued the Interim Measures for the Administration of Warrants of Shanghai Stock Exchange. In order to facilitate market participants to better understand and apply the Interim Measures, the warrant working group of Shanghai Stock Exchange has interpreted some important terms and key terms.
I. Definition and types of warrants
The definition of warrants in the Interim Measures reveals two main characteristics of warrants: 1. The warrant represents the contractual relationship between the issuer and the holder, and the rights enjoyed by the warrant holder are obviously different from the rights enjoyed by the shareholders: that is, the warrant holder has no right to participate in the internal management and business decision of the issuer of the underlying securities and the warrant issuer unless explicitly stipulated in the contract; 2. The warrant gives the warrant holder the option, but not the obligation. Unlike the warrant issuer, which is obliged to deliver the underlying securities or cash according to the agreement when the holder exercises his rights, the warrant holder can completely choose whether to exercise his rights according to the market situation and will not bear any liability for breach of contract.
The Interim Measures cover different types of warrant products:
A according to the issuer, it can be divided into corporate warrants and covered warrants. Corporate warrants are warrants issued by issuers of underlying securities, such as warrants issued by issuers of underlying stocks (listed companies). Covered warrants are warrants issued by third parties other than the underlying securities (shareholders of listed companies or financial institutions such as securities companies), such as stock issuers. Considering the reality of market development, except for warrants issued to solve the problem of non-tradable shares, the Interim Measures does not stipulate the qualifications of financial institutions such as securities companies as issuers of covered warrants.
B according to the nature of the holder's rights, it can be divided into call warrants (buying the underlying securities from the issuer) and put warrants (selling the underlying securities to the issuer).
C. With the exercise method as the standard, it is the American warrant that stipulates that the holder has the right to exercise within the specified time limit, and the European warrant that stipulates that the holder can only exercise on a specific expiration date.
D, according to the settlement method can be divided into real debt payment settlement warrants and cash settlement warrants. The payment and settlement of physical securities is characterized by the transfer of ownership of the underlying securities. The issuer must actually deliver or purchase the underlying securities to the holder, and the cash settlement method only pays the settlement price difference without transferring the ownership of the underlying securities.
As can be seen from the above explanation, the Interim Measures fully consider all kinds of warrant schemes that may appear in the pilot reform of share-trading structure, and also reserve space for the exchange to develop the warrant market in the next step. The warrants issued by Baosteel Group in this share-trading reform belong to European covered warrants and real bonds.
Second, the issuance and listing audit
According to the provisions of Articles 6 to 8 of the Interim Measures, the issuance and examination of warrants shall be completed by the Exchange and reported to the China Securities Regulatory Commission for the record. The listing review of warrants is entirely the responsibility of the exchange.
It should be noted that the issuance of corporate warrants is closely related to the issuance of stocks or bonds, involving financing behavior. Therefore, before applying to the Exchange, the issuance of company warrants should be approved by the China Securities Regulatory Commission.
Three. Conditions of the underlying securities
The Interim Measures stipulates that stocks and other securities can be listed as the underlying securities. In view of the fact that the warrant market has just started, the Interim Measures only clearly stipulates the conditions for selecting a single stock as the underlying securities. For the specific situation of underlying securities such as funds and a basket of stocks, the Exchange will promptly clarify and improve them according to the needs of market development.
The high-yield and high-risk characteristics of warrant products determine that if the underlying stock does not have a considerable circulation scale, the price fluctuation and manipulation risk caused by the linkage between the underlying stock and warrant price will be enormous. Choosing large-scale and liquid stocks as the underlying stocks is an important basis for the active and stable warrant trading. In view of this, the Interim Measures put forward strict requirements for the qualifications of the underlying stocks. What needs to be clear is: first, the circulating stock index circulates A shares. 2. The turnover rate is calculated by the total market value, and the single-day turnover rate = (the transaction amount of the underlying stock in the secondary market on that day/the total market value) * 100%.
Fourth, the listing conditions of warrants.
Article 10 of the Interim Measures clearly stipulates the listing conditions of warrants, mainly including:
1. Necessary terms of warrants: warrant type ("subscription" or "put"), exercise price, exercise method ("European" or "American"), term, exercise date, settlement method (physical bond payment or cash settlement) and exercise proportion.
2. The starting point for calculating the duration of warrants is the listing date, and the specific calculation can be in days, months and years.
3. The warrant issuer must provide a performance guarantee that meets the requirements.
4. Performance guarantee of the warrant issuer.
Article 11 of the Interim Measures stipulates that the issuer shall provide performance guarantee for the warrants issued and listed in this Exchange. There are two ways to guarantee, and the issuer can choose.
First, the issuer provides a sufficient amount of underlying securities or cash as performance guarantee through a special account opened in the clearing company. The Exchange will determine the number of performance guarantees that the issuer needs to provide according to the specific circumstances, and require the issuer to complete the performance guarantee before the warrant is issued. At the same time, the transaction ownership requires the issuer to add performance collateral by adjusting the guarantee coefficient according to the market situation, and the guarantee coefficient is a number between 0- 1. At present, the guarantee coefficient of baoshan iron & steel warrants is 100%.
Where the underlying securities or cash are used as security, the issuer is obliged to ensure that there is no pledge, judicial freeze or other rights defects in the underlying securities or cash.
The second is to provide commercial banks and other institutions recognized by this Exchange as irrevocable guarantors of joint liability for performance.
Verb (abbreviation of verb) information disclosure
Information disclosure mainly includes two aspects: 1, and various announcements issued by warrant issuers to fulfill their information disclosure obligations according to relevant regulations. In addition to the warrant issuance instruction, listing announcement, announcement of termination of listing and announcement of termination of listing specified in the Interim Measures, the Exchange will also urge issuers to timely release information such as exercise price adjustment and clarification of market rumors in the form of information disclosure content and format guidance according to market needs and the requirements of share-trading reform, so as to improve market transparency and fully safeguard investors' interests. 2. The list of holders whose number of shares in circulation and holding of each warrant reach or exceed 5% of the number of shares in circulation announced by this Exchange before the daily opening.
Transaction of intransitive verb warrants
Warrant trading is very similar to stock, and it is the same as stock in trading time and trading mechanism (bidding method). The difference is:
1. Minimum unit of declared price: Unlike the minimum unit of stock price change of 0.0 1 yuan, the minimum unit of warrant price change is 0.00 1 yuan. This is because the price of warrants may be very low. For example, out-of-price warrants may cost only a few cents. At this time, if the minimum price change unit is 0.0 1 yuan, it is too large, because even if the minimum price unit changes, it may cause large price fluctuations from the perspective of the range of change.
2. Price limit of warrants: At present, the price limit of stocks is 10%, while the price limit of warrants is price, not percentage. This is because the price of warrants is mainly determined by the price of the underlying stock, and the price of warrants often only accounts for a small proportion of the price of the underlying stock. The change of the underlying stock price may cause a large proportion change of the warrant price, thus making any pre-specified limit of the price increase and decrease ratio inappropriate. For example, the closing price of T-day warrants is 1 yuan, and the closing price of underlying stocks is 10 yuan. T+ 1 day, the underlying stock rose to 1 1 yuan. If other factors are inconvenient, the warrant price should rise by 1 yuan, that is, 100%. According to the formula in the Measures, the daily limit price of warrants is1+(1-10) ×125% = 2.25 yuan, that is, when the underlying stock is daily limit, the warrants have not yet been daily limit.
7. Issuers and targets of the warrants are prohibited.
Securities issuer's warrant
The Interim Measures stipulates that the warrant issuer shall not buy or sell the warrants issued by itself, and the issuer of the underlying securities shall not buy or sell the warrants corresponding to the underlying securities. Because warrants are highly leveraged products, small changes in the underlying stocks will lead to large fluctuations in warrant prices. If the warrant issuer and the underlying stock issuer are allowed to buy and sell warrants, then the warrant issuer and the underlying stock issuer may affect the underlying stock price in some way, causing the warrant price to fluctuate violently, thus obtaining illegal gains and causing losses to ordinary investors.
Eight. Termination of warrant transaction
Article 14 of the Interim Measures stipulates that "five trading days before the expiration of the warrants, the warrants will terminate their transactions, but they can exercise their rights". The first five trading days here include the maturity date, that is, the maturity date is T day, and the warrants will be terminated from T-4 day.
Nine. Exercise of warrants
One of the main provisions of the Interim Measures on exercise is that "warrants bought on the same day can be exercised on the same day. The underlying securities obtained on the exercise date shall not be sold on that day. " The purpose of this regulation is to maintain the interactive relationship between the warrant price and the underlying stock, so as to more effectively reflect the characteristics that the warrant price is mainly determined by the underlying stock. Of course, it is more ideal to allow the underlying securities obtained on the same day to be sold on the same day. However, after comprehensive consideration of risk control and other factors, the firm has made the current regulations.
X. exercise settlement of warrants
In terms of the settlement method of exercise right, the Interim Measures stipulates the cash settlement method and the securities payment method. In the cash settlement method, the settlement price of the underlying securities is very important to the issuer and holder of warrants, so the Interim Measures stipulates that "the settlement price of the underlying securities is the average of the daily closing prices of the underlying securities in the ten trading days before the exercise date". This largely avoids the possibility of the settlement price being manipulated. In addition, from the perspective of protecting investors, the Interim Measures allow the automatic payment method of cash settlement and the agency method of securities payment, and make corresponding provisions.
XI。 Warrant transaction and exercise fee.
Warrant is another innovative product in China stock market. In order to encourage the development of this product, our company will consider giving some preferential measures in terms of cost. The transaction and exercise fees are basically based on the fund standards listed and traded by our company. For example, the commission of warrant transaction does not exceed 0.3% of the transaction amount, and 0.05% of the stock transfer fee is paid to the registered company according to the face value of the transferred shares when exercising.
Twelve, the creation mechanism of warrants
The warrant price mainly depends on the underlying stock market price and its volatility, and its price should not be completely affected by the relationship between supply and demand. When the market demand rises, there should be some mechanism to allow the supply of warrants to increase in time to stabilize the price increase. This "continuous offering" mechanism is adopted in the mature warrant market abroad without exception. To this end, Article 29 of the Interim Measures stipulates that eligible institutions can create warrants to increase the supply of warrants in the secondary market and prevent the price of warrants from skyrocketing and falling out of the reasonable price area.
All warrants can be exercised in accordance with their provisions on the exercise date of warrants. The question is whether it is worth exercising (whether it is good for you).
When the put warrant is exercised, the corresponding number of shares are sold to the non-tradable major shareholders at the exercise price (generally 1: 1, depending on the description of the warrant);
When the warrant is exercised, the corresponding number of shares are bought from the non-tradable major shareholders at the exercise price (generally 1: 1, see the warrant description).
Nomenclature rules and terminology of warrants abbreviation
Warrant type code, the third letter of the law:
Shanghai stock market subscription -b is (call warrant); Subscription by Shenzhen Stock Exchange -C (warrant); Put on Shanghai Stock Exchange and Put on Shenzhen Stock Exchange-P (Put Warrant)
The last digit, that is, the eighth digit, indicates which warrants are issued with the underlying securities with a number or letter. When it exceeds 9, a to z indicate the 10 to 35th warrants.
The CW of (so-and-so CWB 1) is referred to as "Bull Warrior" and is a warrant issued by Shanghai Stock Exchange.
The issuer of Wuliangye Subscription Certificate (Wuliangye YGC 1) is Yibin State-owned Assets Management Co., Ltd., which takes the pinyin abbreviation of "Yi, Guo".
The issuer of Youngor Subscription Certificate (Youngor QCB 1) is "Ningbo Youth Investment Holding Co., Ltd." and the pinyin abbreviation QC is "Youth, Spring".
The issuer of Valin Pipeline Put Warrant (Valin JTP 1) is "Hunan Valin Iron and Steel Group Co., Ltd.", and the pinyin abbreviation is "Group".
Wanhua Put Warrant (Wanhua HXP 1) is issued by "yantai wanhua Huaxin Synthetic Leather Co., Ltd.", and the pinyin abbreviation is "Huaxin".
The issuer of China Merchants Bank Put Warrant (CMB CMP 1) is "China Merchants Ship Navigation (Hong Kong) Co., Ltd.", taking the English abbreviation CM of China Merchants Bank.
Technical terms of warrants.
Premium: the value that the transaction price of warrants is higher than the actual price.
Warrant premium = transaction price of warrants-(share price-exercise price) x exercise ratio
Put warrant premium = put warrant transaction price+(share price-exercise price) x exercise ratio.
Premium rate: Premium rate is one of the data to measure the risk of warrants. The higher the insurance rate, the more difficult it is to make a profit. The premium rate is negative, and the exercise is profitable.
Subscription warrant premium rate: before the warrant expires, how much does the warrant investor need to increase the stock price to close the position on the maturity date?
Warrant premium rate = [(exercise price+warrant price/exercise ratio)/share price-1]× 100%.
Put warrant premium rate: before the warrant expires, how much percentage does the share price need to fall before warrant investors can close their positions on the expiration date.
Put warrant premium rate = [1- (exercise price-put warrant price/exercise proportion)/share price ]× 100%
Example of warrants:
Closing price of a stock: 19 yuan.
Exercise price: 9.9 yuan.
Exercise proportion: 1: 1
Closing price of warrants on the same day: 8.59 yuan.
Premium of this warrant: 8.59 yuan -( 19 yuan -9.9 yuan) × 1 =-0.5 1 yuan.
The premium rate of this warrant: [(9.9 yuan +8.59 yuan)/19 yuan-1]× 100%=-2.684%.
Closing price of a stock: 35 yuan.
Exercise price: 29.9 yuan
Exercise proportion: (1:0.5) Every two warrants can be bought at exercise price 1 share.
Closing price of warrants on the same day: 4.59 yuan.
Premium of this warrant: 4.59 yuan -(35 yuan -29.9 yuan) × 0.5 = 2.04 yuan.
The premium rate of this warrant: [(29.9 yuan +4.59 yuan /0.5)/35 yuan-1] ×100% =11.657%.
Hedge value measures the sensitivity of derivative warrant price to the change of related asset price. Hedging value refers to the change of theoretical value of derivative warrants when the unit price of related assets changes. Usually, the hedging value of call warrants is positive, and the hedging value of put warrants is negative. For example, the hedging value of a warrant issued by a certain share is 0.5, and the warrant price will theoretically rise by 0.5 yuan for every increase in the share price of 1 yuan; If the equity ratio is 10 derivative warrant pair 1 share, the price change of each warrant is 0.05 yuan.
Time lapse value (θ)
The time lapse value shows that the change of the remaining time of derivative warrants leads to the change of derivative warrants price. Because the time lapse value measures the influence of time lapse on derivative warrants, its value must be negative. For example, the daily time consumption value is -0.00 15, that is, assuming other factors remain unchanged, the warrant value will drop by 0.005438+05 yuan every day.
Use value.
The simple leverage value is used to calculate the multiple of the relevant asset price higher than the warrant price, and the calculation formula is: the stock price of the relevant asset/(warrant value/equity ratio). In fact, the leverage value considers the hedging value, which can accurately calculate the actual leverage provided by warrants. The actual leverage value equation is: simple leverage value cup hedging value. For example, if the actual leverage value is 10, that is, the related asset price rises 1%, the theoretical price of the call warrant will rise 10%.
Investors must pay attention to the fact that the technical parameters mentioned above will change from time to time and only apply in a short time.
Using outdated data will lead investors to make wrong investment decisions.
Exercise mode: There are three exercise modes, which are published in the "Industry Category" column of the securities information database.
E (European); A (American style); B (100-screen mixed type).
American exercise: it means that the holder has the right to exercise the option at any time within the term of the option, including before the term and the expiration date (that is, in general, the exercise start date = the first day of listing of the warrant, and the exercise end date = the expiration date of the warrant).
European-style exercise: exercise can only be carried out on the expiration date of warrants (i.e. exercise start date = exercise end date = warrant expiration date).
Bermuda mixed: between American and European, the holder has the right to exercise the right one or more days before the expiration date (that is, the exercise start date =
Factors affecting warrants
In the actual transaction, the warrant price is also affected by many factors, such as the positive share price, the volatility of the positive share price, the term of the warrant and its execution price, the market interest rate and the cash dividend.
1, positive stock market price
Warrants are derivatives based on positive stocks, and the positive stock market price is the most important factor to determine the issue price and transaction price trend of warrants. Generally, the higher the share price when the warrants are issued, the higher (lower) the issue price of the call (put) warrants. Similarly, after the warrant is issued, with the rise (fall) of the stock price, the transaction price of the warrant will also rise (fall) accordingly; The transaction price trend of put warrants is just the opposite. As the stock price rises (falls), the transaction price of put warrants falls (rises) accordingly. However, the above analysis can only be established within a certain range, because the rising price of warrants (issuance or trading) means that the investment cost of warrants is close to the investment cost of stocks, its yield will become smaller, and warrants will gradually lose their high leverage characteristics.
2. Warrant validity period
The longer the validity period of warrants (confirmed at the time of issuance), the greater the probability that warrants (put) will become within the price, and usually the higher the issue price. As the expiration date approaches, the probability decreases, and the transaction price in the secondary market of warrants decreases accordingly.
3. Exercise price of the warrants
The higher the exercise price agreed in the warrant means that the smaller (larger) the difference between the exercise price and the market price of the stock when the call (put) warrant is issued or traded, the smaller (larger) the profit space for the warrant holder to exercise the call (put) stock in the future. Therefore, the higher the exercise price, the lower (higher) the issue or transaction price of call (put) warrants.
4. Positive stock amplitude
The greater the volatility of the stock, whether it is bullish or bearish, it means that the probability of warrants becoming in price is greater, so the issuance or trading price of warrants will be higher.
5. Market interest rate
The market interest rate determines the cost of stock investment. The higher the interest rate, the greater the cost of investing in stocks, so warrants become more attractive, while the attractiveness of put warrants decreases accordingly, so the issue or transaction price of put warrants will be higher (lower).
6. Expected dividends
Generally speaking, because warrants can't enjoy cash dividends, the higher the expected dividend is, the worse it is for warrants (put warrants are the opposite), so the lower (higher) the issuance or transaction price of warrants (put warrants). However, it should be pointed out that according to the (exercise) price adjustment clauses of some warrants or the relevant rules of the exchange, the exercise price of warrants will often be adjusted accordingly when dividends are distributed to the shares, so the expected dividends have little impact on the warrant price and its trend.
In addition, the price of warrants is often affected by factors such as supply and demand in the warrant market and the performance of issuers.
In addition, there are group-buying products on the stationmaster group, which are cheap and guaranteed.