It is not a stock, it is a warrant.

Warrants

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Warrants , is issued by the issuer of the index security or a third party other than it. It is agreed that the holder has the right to purchase or sell the underlying securities to the issuer at an agreed price within a specified period or on a specific maturity date, or to settle in cash. Securities for which settlement differences are charged.

The origin of warrants

Abroad, warrants originated from the American Electric Light and Energy Company in 1911. Before 1929, warrants were speculative and became a tool for market manipulation. In the 1960s, many American companies used stock warrants as a means of financing mergers and acquisitions. Because warrants are relatively cheap, some warrants are even used as promotional tools. At that time, when American companies had difficulties selling bonds, they often offered stock warrants as "inducements", which was like "buying a computer and getting insurance". In 1970, AT&T raised $1.5 billion in warrants, making warrants accompanied by the issuance of underlying securities the most popular financing model. The earliest warrants in Europe appeared in the United Kingdom in 1970, and since Germany issued warrants in 1984, it quickly became the largest warrant market in the world, with tens of thousands of warrant varieties. But its status has now given way to Hong Kong. As of December 31, 2004, Hong Kong ranked first in the world in terms of warrant transaction value. Last year's total transaction volume was US$67.3573 billion, far ahead of second-place Germany with US$55.2085 billion and third-place Italy with US$21.1153 billion. Dollar.

A warrant is a contractual relationship between the issuer and the holder. The holder has the right to purchase or sell a certain amount of securities from the warrant issuer at an agreed price within a certain agreed period or within an agreed time period. A quantity of assets (such as shares) or rights. Warrants to buy stocks are called call warrants, and warrants to sell stocks are called put warrants (or put warrants). Warrants are divided into two types: European-style warrants and American-style warrants. The so-called European-style warrants are warrants that can only be exercised on the expiration date. The so-called American warrants are warrants that can be exercised at any time before the expiration date.

The value of a warrant consists of two parts. One is the intrinsic value, which is the difference between the underlying stock and the exercise price; the other is the time value, which represents the holder’s expectations and opportunities for future stock price fluctuations. Under other conditions being equal, the longer the duration of the warrant, the higher the price of the warrant; because American-style warrants can be exercised at any time during the duration, the relative price is higher than that of European-style warrants.

The value of the call warrant = (the stock price of the underlying stock - the exercise price) X the exercise ratio

The value of the put warrant = (the exercise price - the stock price of the underlying stock) /p>

The creation of warrants refers to the act of increasing the supply of warrants that is fully consistent with the terms of the original warrants and is applied by a qualified institution after the warrants are listed and traded. The cancellation of warrants means that the creator (i.e., the securities company that created the warrants) applies to the stock exchange to cancel all or part of the warrants in the warrant creation account designated by it.

Shanghai Stock Exchange stipulates that if the underlying securities of warrants applied for listing on the exchange are stocks, the underlying stocks should meet the following conditions: the market value of the circulating shares in the last 20 trading days is not less than 1 billion yuan; The cumulative turnover rate of stock transactions on a trading day is more than 25%; the circulating share capital is not less than 200 million shares.

The substantiation of warrants reflects a contractual relationship between the issuer and the holder. After the holder pays a certain amount of price to the warrant issuer, he obtains a right from the issuer. . This right allows the holder to purchase/sell a certain amount of assets to the warrant issuer at an agreed price on a specific date or within a specific period in the future.

What the holder obtains is a right rather than a responsibility. He has the right to decide whether to perform the contract, while the issuer only has the obligation to be performed. Therefore, in order to obtain this right, investors need to pay a certain amount. Consideration (royalty). The difference between warrants (actually all options) and forwards or futures is that what the holder of the former obtains is not a responsibility, but a right. The holder of the latter is responsible for executing the purchase and sale contract signed by both parties, that is, he must Trade the specified underlying asset at a specified price and at a specified future time.

It is easy to see from the above definition that according to the direction of exercise of rights, warrants can be divided into call warrants and put warrants. Call warrants are "call options" among options, and put warrants are "put warrants". options".

Covered warrants are issued by a third party that holds the relevant assets, not by the relevant enterprises themselves. They are generally issued by international investment banking institutions. The issuer owns or has rights to the underlying assets. Covered warrants can be calls or puts, and investors are also exposed to the issuer's credit risk.

Covered warrants are considered structured products. Covered warrants are issued by an entity (usually an investment bank) that is independent of the issuer of the underlying security and its affiliates. The designated asset can be an asset other than an equity security, such as an index, currency, commodity, bond, or basket of securities. The rights conferred by covered warrants can be the right to buy (call warrant) or the right to sell (put warrant).

The meaning of covered means that the issuer deposits the designated securities or assets of the warrant with an independent trustee, custodian or depository as security for its performance of obligations, and the trustee, custodian or The depositary represents the interests of the warrant holders. In some markets, the word "warrant" is used to represent all types of warrants, while in some markets, derivative warrants are used to represent covered warrants.

Butterfly warrants refer to the simultaneous purchase and sale of two put warrants with different prices. Or buy and sell two warrants with different prices at the same time. This combination can allow investors to obtain certain profits when the stock price fluctuates within a certain range. If the price fluctuates beyond the range, the investors will not suffer losses. , its income curve is shaped like "__∧__". Because its shape resembles that of a flying butterfly, it is named butterfly warrant.

The combination of a put warrant and a warrant has a yield curve shape of "\__/", which is similar to a saddle. It is called a saddle warrant, also called a wide straddle or a straddle. type warrant. This kind of warrant enables investors to gain income when the stock price falls or rises sharply, but there is no income when the stock price changes little.

Instructions for investors to buy and sell warrants

——Interpretation of the "Interim Measures for the Administration of Warrants of the Shanghai Stock Exchange"

The Shanghai Stock Exchange recently issued the "Shanghai Securities Exchange "Interim Measures for the Administration of Warrants". In order to facilitate market participants to better understand and use the "Interim Measures", the Warrants Working Group of the Shanghai Stock Exchange has interpreted some important provisions and key clauses in it.

1. Definition and types of warrants

The definition of warrants in the "Interim Measures" reveals two main characteristics of warrants: 1. Warrants represent the relationship between the issuer and the holder There is a clear difference in the content of rights between the rights enjoyed by warrant holders and the shareholder rights enjoyed by shareholders due to the existing contractual relationship: that is, unless expressly agreed in the contract, the rights held by warrant holders against the issuer of the underlying securities and the issuer of warrants are clearly different. There is no right to participate in the internal management and operating decisions of the company; 2. The warrant gives the warrant holder a right to choose but not an obligation. Unlike the warrant issuer who is obligated to deliver the underlying securities or cash in accordance with the agreement when the holder exercises the warrant, the warrant holder can choose to exercise or not exercise the warrant based on market conditions without assuming any liability for breach of contract.

The "Interim Measures" cover different types of warrant products:

A. Based on the issuer's standard, it can be divided into company warrants and covered warrants. Corporate warrants are warrants issued by the issuer of the underlying securities, such as warrants issued by the issuer of the underlying stock (listed company). Covered warrants are warrants issued by third parties (shareholders of listed companies or financial institutions such as securities companies) other than the underlying securities such as stock issuers. Taking into account the actual development of the market, except for warrants issued to resolve equity splits, the "Interim Measures" do not stipulate the qualifications for financial institutions such as securities companies to serve as issuers of covered warrants.

B. Based on the nature of the holder's rights, it can be divided into call warrants (to purchase the underlying securities from the issuer) and put warrants (to sell the underlying securities to the issuer).

C. Based on the exercise method, American-style warrants stipulate that the holder has the right to exercise the rights within a specified period, while European-style warrants stipulate that the holder can only exercise the rights on a specific expiration date.

D. Based on the settlement method, it can be divided into physical payment settlement type warrants and cash settlement type warrants. The real bond payment settlement is characterized by the transfer of the ownership of the underlying securities. The issuer must actually deliver or purchase the underlying securities to the holder, while the cash settlement method only makes cash payment for the settlement difference without transferring the ownership of the underlying securities. .

It can be seen from the above explanation that the "Interim Measures" fully consider the various warrant schemes that may appear in the pilot stock split reform, 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 are European-style covered call warrants with real bond payment.

2. Issuance and listing review

According to the provisions of Articles 6 to 8 of the "Interim Measures", the issuance review of warrants will be completed by the exchange and reported to the China Securities Regulatory Commission for filing. The listing review of warrants is entirely the responsibility of the exchange.

It should be noted that the issuance of company warrants is closely related to the issuance of stocks or bonds and involves financing activities. Therefore, the issuance of company warrants must first obtain relevant approval from the China Securities Regulatory Commission before applying to the exchange. .

3. Conditions for underlying securities

The "Interim Measures" stipulate that stocks and other securities can be used as underlying securities in the form of enumeration. 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 security. Regarding the specific conditions for using funds, a basket of stocks, etc. as the underlying securities, the exchange will promptly respond to the needs of market development. be clarified and improved.

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 fluctuations and manipulation risks caused by the linkage between the underlying stock and the warrant price will be huge. Choosing large-scale, highly liquid stocks as underlying stocks is an important basis for active and stable warrant trading. In view of this, the "Interim Measures" put forward strict requirements on the qualifications of the underlying stocks. What needs to be made clear is: first, tradable stocks refer to tradable A-shares.

Second, the calculation of turnover rate is based on the total market value. The single-day turnover rate = (the secondary market transaction amount of the underlying stock on that day / the total market value) * 100%.

IV. Listing conditions for warrants

Article 10 of the "Interim Measures" clearly stipulates the listing conditions for warrants, which mainly include:

1. Necessary terms of warrants: Warrant type ("Subscription" or "Put"), exercise price, exercise method ("European style" or "American style"), duration, exercise date, settlement method (physical payment or Cash settlement), exercise ratio.

2. The starting point for calculating the warrant duration is the listing date, and the specific calculation can be done in days, months, and years.

3. The warrant issuer must provide performance guarantees that comply with regulations.

4. Performance guarantee of the warrant issuer.

Article 11 of the "Interim Measures" stipulates that for warrants issued and listed on the Exchange, the issuer shall provide a performance guarantee. There are two guarantee methods, and the issuer can choose at its own discretion.

First, the issuer provides a sufficient amount of underlying securities or cash through a special account opened at a clearing company as a performance guarantee. The exchange will determine the amount of performance guarantee that the issuer needs to provide based on specific circumstances, and require the issuer to complete the performance guarantee before the issuance of warrants. At the same time, the exchange has the right to require the issuer to add performance collateral based on market conditions by adjusting the guarantee coefficient, which is a number between 0 and 1. The current guarantee factor of Baosteel's warrants is 100%.

If the underlying securities or cash are used as guarantees, the issuer shall be obliged to ensure that the underlying securities or cash are free from pledges, judicial freezes or other rights defects.

Second, provide an institution recognized by the Exchange, such as a commercial bank, as an irrevocable joint liability guarantor for performance of the contract.

5. Information Disclosure

Information disclosure mainly includes two aspects: 1. Various announcements issued by the warrant issuer to fulfill its information disclosure obligations in accordance with relevant regulations. In addition to the warrant issuance prospectus, listing announcement, listing termination reminder announcement and listing termination announcement clearly stipulated in the "Interim Measures", the exchange will also provide guidance on the content and format of information disclosure based on market needs, combined with the reform of share-trading reform. Requirements urge issuers to promptly release information such as exercise price adjustments and clarifications on market rumors to improve market transparency and fully protect the interests of investors. 2. The exchange publishes the tradable quantity of each warrant before the daily opening, and the list of holders whose number of warrants reaches or exceeds 5% of the tradable quantity.

6. Warrant trading

Warrant trading is very similar to stocks, and is the same as stocks in terms of trading time, trading mechanism (bidding method), etc. The difference is:

1. The minimum unit of the declaration price: Unlike the minimum unit of 0.01 yuan for the stock price change, the minimum unit of the warrant price change is 0.001 yuan. This is because the price of the warrant may be very low. For example, in the case of out-of-the-money warrants, the price of the warrant may be only a few cents. At this time, if the minimum price change unit is 0.01 yuan, it is too large, because even if the minimum price unit changes , judging from the range of changes, it may cause significant price fluctuations.

2. The limit on the rise and fall of the warrant price: the current rise and fall of the stock is limited to a 10% ratio, while the rise and fall of the warrant is limited by the price of the rise and fall, not the percentage. This is because the price of a warrant is mainly determined by the price of its underlying stock, and the price of a warrant often only accounts for a small proportion of the price of the underlying stock. Changes in the price of the underlying stock may cause a large proportion of changes in the price of the warrant. This makes any pre-specified proportional limits on increases and decreases less appropriate. For example, the closing price of the warrant on day T is 1 yuan, and the closing price of the underlying stock is 10 yuan. On T+1, the underlying stock rose to its daily limit of 11 yuan. If other factors are inconvenient, the warrant price should increase by 1 yuan, an increase of 100%. Calculated according to the formula in the "Measures", the daily limit price of the warrant is 1 + (11-10) × 125% = 2.25 yuan, that is, when the underlying stock reaches the daily limit, the warrant has not yet reached the daily limit.

7. Warrant issuers and underlying objects are prohibited

Securities issuers from buying and selling warrants

The "Interim Measures" stipulate that warrant issuers are not allowed to buy or sell warrants issued by themselves. The issuer of the underlying securities may not buy or sell the warrants corresponding to the underlying securities. Since warrants are highly leveraged products, small changes in the underlying stock will lead to large fluctuations in the price of the warrants. 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 affect the underlying stock price in some way, which may lead to significant fluctuations in the warrant price, thereby obtaining illegal gains, which will bring great benefits to ordinary investors. cause losses.

8. Termination of trading of warrants

Article 14 of the "Interim Measures" stipulates that "five trading days before the expiration of the warrant, the trading of the warrant will be terminated, but the option can be exercised." The first 5 trading days here include the expiration date, that is, the expiration date is the T day, and the warrants will terminate trading from the T-4 day.

9. Exercise of Warrants

One of the main provisions of the "Interim Measures" in terms of exercise is that "warrants purchased on the same day can be exercised on the same day. The rights obtained by exercising on the same day The underlying securities shall not be sold on that day.”

The purpose of this provision is to maintain the interactive relationship between the warrant price and the underlying stock, so that the feature that the warrant price is mainly determined by the underlying stock can be more effectively reflected. Of course, a more ideal situation would be to allow the underlying securities obtained by exercising the option on the same day to be sold on the same day. However, after comprehensive consideration of risk control and other factors, the Exchange has made the current regulations.

10. Settlement for exercise of warrants

In terms of settlement methods for exercise of warrants, the "Interim Measures" stipulates both cash settlement methods and securities payment methods. In the cash settlement method, the settlement price of the underlying securities is very important to both the issuer and the holder of the warrant. For this reason, the "Interim Measures" stipulate that "the settlement price of the underlying securities is the daily closing price of the underlying securities on the ten trading days before the exercise date." average". This avoids the possibility of settlement price manipulation to a large extent. In addition, from the perspective of protecting investors, the "Interim Measures" allow automatic payment methods for cash settlement and agency exercise methods for securities payments, and make corresponding provisions.

11. Warrant trading and exercise fees

Warrants are another innovative product in my country's securities market. In order to encourage the development of this product, the Exchange will consider providing certain preferential measures in terms of fees. The formulation of transaction and exercise fees basically refers to the fund standards listed on the Exchange. For example, the warrant trading commission shall not exceed 0.3% of the transaction amount. , a stock transfer fee of 0.05% of the face value of the transferred stock shall be paid to the registration company when exercising the option.

12. The creation mechanism of warrants

The price of warrants mainly depends on the market price of the underlying stock and its volatility, and its price should not be completely affected by the relationship between supply and demand. When market demand rises, there should be some mechanism that allows the supply of warrants to be increased in a timely manner to stabilize price surges. Mature overseas warrant markets without exception use this "continuous offering" mechanism. To this end, Article 29 of the "Interim Measures" stipulates: Qualified institutions can create warrants to increase the supply of warrants in the secondary market and prevent warrant prices from skyrocketing and deviating from the reasonable price area.

All warrants can be exercised according to its provisions on the exercise date of the warrant (you can check its F10). The question is whether it is worth exercising (whether it is beneficial to you).

When a put warrant is exercised, each warrant will be sold to the major shareholder of non-tradable shares in a corresponding number of shares (generally 1:1, see the description of the warrant for details) at the exercise price;

When the subscription warrants are exercised, each warrant will be used to purchase a corresponding number of underlying shares (usually 1:1, see the description of the warrant) from the major shareholders of non-tradable shares at the exercise price.

Investors asked: What procedures are required for warrant trading?

Shenzhen Stock Exchange’s answer: If investors need to participate in warrant trading, they should first learn about the necessary common sense about warrant trading and the risks of the product from a securities company that is qualified to act as an agent for warrant trading, and then sign a risk agreement with the securities company. Only after obtaining the disclosure letter can you participate in warrant trading and use an A-share account.

Investors asked: What is the difference between the price increase and decrease limit of warrants and stocks?

Shenzhen Stock Exchange’s answer: The rise or fall of a warrant is limited by the absolute price of the rise or fall. The calculation formula is as follows:

The rise (fall) price of the warrant = the previous day’s price of the warrant Closing price ± (increase price of the underlying security on the day - closing price of the underlying security on the previous day) × 125% × exercise ratio

Warrant abbreviation naming rules:

Warrant type code, that is The rules of the third letter:

Shanghai stock subscription--B is (buy warrant); Shenzhen stock market subscription--C (Call warrant: subscription warrant);

Shanghai stock market subscription Put, Shenzhen Put - P (put warrant)

The last digit, that is, the 8th character, uses a number or letter to indicate which warrant is issued with the underlying security. When there are more than 9 animals, A to Z are used to indicate the 10th to 35th animals.

The CW of (someone CWB1) is the abbreviation of "Call warrant", which is a warrant issued by the Shanghai Stock Exchange (differentiated from stock reform covered warrants)

Wuliangye subscription warrant (Wuliangye The issuer of YGC1) is "Yibin State-owned Assets Management Co., Ltd." The pinyin abbreviation of "Yi, Guo" is YG

The issuer of Youngor Subscription Warrants (YageQCB1) is "Ningbo Youth Investment Holding Co., Ltd. "QC is the pinyin abbreviation of "青,春"

The issuer of Valin Pipeline Put Warrants (Valin JTP1) is "Hunan Valin Steel Group Co., Ltd." is the pinyin abbreviation of "Group" JP

The issuer of Wanhua Put Warrant (Wanhua HXP1) is "Yantai Wanhua Huaxin Synthetic Leather Co., Ltd.", taking the pinyin abbreviation HX of "Hua, Xin"

The issuer of China Merchants Bank put warrants (CMB CMP1) is "China Merchants Steam Navigation Company, Ltd (Hong Kong) China Merchants Steam Navigation Company, Ltd", which is the English abbreviation CM of China Merchants Company.

Technical term for derivative warrants.

Premium: The value by which the trading price of a warrant is higher than the actual price.

Put warrant premium = call warrant transaction price - (underlying stock price - exercise price) Stock price - exercise price) The premium rate is negative, and you will make a profit by exercising the option.

Subscription warrant premium rate: Before the expiration of the warrant, the percentage of increase in the underlying stock price is required for the warrant investors to realize even money on the expiration date.

Put warrant premium rate = [(exercise price + call warrant price/exercise ratio)/underlying stock price-1]×100%

Put warrant premium rate: in Before the warrant expires, the percentage price of the underlying stock needs to fall for warrant investors to achieve breakeven on the expiration date.

Put warrant premium rate = [1-(Exercise price-Put warrant price/Exercise ratio)/Underlying stock price]×100%

Examples of subscription warrants:< /p>

The closing price of a certain underlying stock that day: 19 yuan

Exercise price: 9.9 yuan

Exercise ratio: 1:1

That day Closing price of the subscription warrant: 8.59 yuan

The premium of the subscription warrant: 8.59 yuan - (19 yuan - 9.9 yuan) × 1 = - 0.51 yuan

The premium rate of the subscription warrant: [( 9.9 yuan + 8.59 yuan)/19 yuan -1]×100%= - 2.684%

The closing price of a certain underlying stock that day: 35 yuan

Exercise price: 29.9 yuan

Exercise ratio: (1:0.5) Every 2 subscription warrants can purchase 1 underlying stock at the exercise price

The closing price of the subscription warrant on the day: 4.59 yuan

The premium of the subscription warrant: 4.59 yuan - (35 yuan - 29.9 yuan) × 0.5 = 2.04 yuan

The premium rate of the subscription warrant: [(29.9 yuan + 4.59 yuan/0.5)/35 yuan -1] ×100%=11.657%

The hedge value measures the sensitivity of the derivative warrant price to changes in the price of the underlying asset. The hedge value shows the change in the theoretical value of the derivative warrant for each unit change in the price of the underlying asset. Usually the hedge value of a call warrant is a positive number, and the hedge value of a put warrant is a negative number. For example, if the hedging value of a call warrant issued on a certain stock is 0.5, then for every 1 yuan increase in the share price, the warrant price will theoretically increase by 0.5 yuan; if the equity ratio is 10 derivative warrants for 1 share, the price of each warrant will The change is 0.05 yuan.

Time depletion value (Theta)

The time depletion value shows the change in the price of the derivative warrant caused by the change in the remaining time of the derivative warrant. Since the time depletion value measures the impact of time depletion on the derivative warrant, its value must be a negative number. For example, if the daily time depletion value is -0.0015, that is, assuming other factors remain unchanged, the value of the warrant will decrease by 0.0015 yuan every day.

Leverage value (Gearing)

The simple leverage value is calculated as the multiple of the price of the related asset higher than the price of the warrant. The calculation equation is: stock price of the related asset / (value of the warrant 畕 equity ratio). The actual leverage value takes the hedging value into account and can more accurately calculate the actual leverage provided by the warrant. The equation for the actual leverage value is: simple leverage value × hedging value. For example, if the actual leverage value is 10, it means that if the price of the underlying asset increases by 1%, the theoretical price of the call warrant will increase by 10%.

Investors must note that the technical parameters mentioned above may change from time to time and are only applicable for a short period of time.

Using outdated data can cause investors to make incorrect investment decisions.

Exercise methods: There are the following three exercise methods, which are released through the "Industry Category" field of the securities information database.

E (European-style: European-style exercise); A (American-style: American-style exercise); B (Hundred-act hybrid style).

American exercise: means that the holder has the right to exercise the option at any time during the option period, including before the period and on the expiration date (i.e., generally, the exercise start date = the first time the warrant is listed) day, the exercise deadline = the expiration date of the warrant).

European-style exercise: The option can only be exercised on the expiration date of the warrant (that is, the exercise start date = the exercise deadline = the expiration date of the warrant).

Bermuda hybrid style: between American style and European style, the holder has the right to exercise one or more dates before the expiration date (i.e. exercise start date =

Determinants of warrant price:

(1) Underlying stock price: proportional to subscription and inversely proportional to put

(2) Exercise price: the higher The lower the subscription, the higher the put

(3) The distance to the expiration date of the warrant: the further away, the more valuable

(4) The volatility of the underlying asset: the greater the volatility, the more valuable it is. Valuable

(5) Risk-free interest rate corresponding to the expiry date of the warrant: the higher the interest, the higher the subscription value, and the lower the put value

(6) Dividend: the higher The lower the subscription value, the higher the put value

(7) Dilution effect: the higher the subscription value, the higher the put value.