Chapter IV Value Analysis of Investment Funds, Convertible Securities and Warrants
Section 1 Value Analysis of Securities Investment Funds
I. Net value of fund shares
The net asset value of the fund unit is an indicator of the fund's operating performance, and it is also the basis for calculating the trading price of the fund unit after the expiration of the issuance period. The unit net asset value of a fund can be expressed by the following formula:
The total assets of the fund refer to the total value of the assets owned by the fund (including cash, stocks, bonds, other securities and other assets) calculated according to the closing price after the close of each trading day.
It should be noted that the net asset value of fund units changes frequently, which is consistent with the overall trend of fund unit prices, that is, in direct proportion.
Second, the value analysis of closed-end funds
The price of closed-end funds, like the stock price, can be divided into issue price and transaction price. The issue price of closed-end funds consists of two parts: one is the face value of the fund; The other part is the issuance cost of the fund, including lawyer's fees and accountant's fees. Closed-end funds generally apply for listing after the expiration of the issuance period. Therefore, its trading price, like the stock price, can be divided into opening price, closing price, highest price, lowest price and transaction price. The transaction price of closed-end funds is mainly affected by six aspects: the net asset value of the fund (referring to the value of all assets of the fund after deducting the expenses that can be deducted from the fund assets according to the relevant provisions of the state, including the management fee of the manager, etc. ), the relationship between market supply and demand, the macroeconomic situation, the securities market situation, the management level of fund managers and the government's policy on funds. Among them, the most fundamental basis for determining the fund price is the net asset value of each fund unit (the value of net asset value divided by the total number of fund units) and its changes.
Third, the value analysis of open-end funds
Open-end funds often buy back or sell fund shares according to customers' requirements, so the prices of open-end funds are divided into two types, namely, subscription price and redemption price.
(1) purchase price
Open-end funds generally do not enter the stock exchange for circulation transactions, mainly over-the-counter transactions. When investors buy open-end fund shares, they have to pay a certain sales surcharge in addition to their net assets. In other words, the subscription price of open-end fund shares includes the net asset value and certain additional expenses.
(2) Redemption price
Open-end funds promise to redeem their fund shares on any redemption date according to the individual wishes of investors. For open-end funds that do not charge any fees at the time of redemption, the redemption price is equal to the net asset value of the fund.
Some open-end funds charge redemption fees, and set different redemption rates according to the investment years of the funds. The longer you hold a fund unit, the lower the rate. Of course, some funds charge a flat rate. It can be seen that the price of open-end funds is closely related to the net asset value (when the relevant expenses are determined).
Section 2 Value Analysis of Convertible Securities
First, the value analysis of convertible securities
Generally speaking, convertible securities refer to special company securities that can be converted into a certain number of other securities (hereinafter referred to as the underlying securities) at a certain proportion or price within a certain period of time. The following is an analysis of the value of convertible bonds or convertible preferred shares that can be converted into the company's common stock (hereinafter referred to as the underlying stock).
When issuing convertible securities, the issuer will generally stipulate "the number of shares that convertible securities can be converted into the underlying stock" or "the price per share that convertible securities can be converted into the underlying stock at face value". The former is called "conversion ratio" and the latter is called "conversion price". Obviously, in the conversion ratio and conversion price, as long as one of them is specified, the other will be determined accordingly. The relationship between them can be expressed as follows.
Conversion ratio = face value of convertible securities/conversion price
1. Theoretical value of convertible securities
The theoretical value of convertible securities, also known as intrinsic value, refers to the present value of interest income before convertible securities are converted into shares and the conversion value when converted at an appropriate necessary rate of return. For example, if an investor is currently preparing to buy convertible securities, and plans to hold the convertible securities until a future period, and immediately implement the conversion after receiving the interest of the last period, then the current theoretical value of the convertible securities that the investor is prepared to buy can be calculated by the following formula:
Among them: p- stands for the theoretical value of convertible securities;
T represents the number of cycles;
N- indicates the total number of cycles for holding convertible securities;
R- represents the necessary rate of return;
C- interest paid on behalf of each convertible security;
CV- indicates the conversion value of convertible securities at the end of the holding period.
2. The investment value of convertible securities
The investment value of convertible securities refers to its value as a security without the option to convert shares. To estimate the investment value of convertible securities, we must first estimate the necessary rate of return of non-convertible securities with the same credit status and similar investment characteristics, and then use this necessary rate of return to convert the present value of their future cash flows. Taking convertible bonds as an example, it is assumed that the face value of bonds is 65,438+0,000 yuan, coupon rate is 8%, the remaining maturity is 5 years, and the necessary yield of similar bonds is 9%. At maturity, the principal and interest will be repaid at face value or converted into shares according to the specified conversion ratio or conversion price, so the current investment value of convertible bonds is
3. Conversion value of convertible securities
The conversion value of convertible securities refers to the market value of the underlying stock obtained at the time of conversion, which is equal to the product of the market price per share of the underlying stock and the conversion ratio, namely:
Conversion value = market price of the underlying stock × conversion ratio
For example, assuming that the conversion ratio of the convertible bonds in the above example is 40 and the market price of the underlying stock at the time of conversion is 29 yuan per share, the conversion value of the convertible bonds is
CV=29×40=980 (yuan)
Where: CV represents the conversion value of convertible securities.
4. Market value of convertible securities
The market value of convertible securities is also the market price of convertible securities. The market value of convertible securities usually remains above the investment value and conversion value of convertible securities. If the market value of convertible securities is lower than the investment value, if you buy these securities and hold them until maturity, you can get a higher yield to maturity. If the market value of convertible securities is lower than the conversion value, the difference between the conversion value and the market value of convertible securities can be obtained by buying the securities and immediately converting them into positive shares, and then selling the positive shares.
Conversion parity of convertible securities
1. formula
The conversion parity of convertible securities means that the market value (i.e. market price) of convertible securities is equal to the price per share of the underlying stock of convertible securities, i.e.
Compare the following two formulas:
Market price of convertible securities = conversion ratio × conversion parity
Conversion value of convertible securities = conversion ratio × market price of the underlying stock.
It is not difficult to see that when the conversion parity is greater than the positive stock market price, the market price of convertible securities is greater than the conversion value of convertible securities, that is, the market value of convertible securities held by holders before conversion is greater than the total market value of stocks held after conversion. If the future changes of the underlying stock price are not considered, the conversion of shares at this time is unfavorable to the holders. On the contrary, when the conversion parity is less than the market price of the underlying stock, the conversion is beneficial to the holder. Because of this, the conversion parity can be regarded as the break-even point of investors who convert convertible securities into underlying stocks.
When the market price of convertible securities is greater than the conversion value of convertible securities, the value obtained by subtracting the latter from the former is called the conversion premium of convertible securities, and there are both.
Conversion premium = market price of convertible securities-conversion value of convertible securities
Generally speaking, the conversion premium ratio can be calculated by the following formula:
Conversion premium ratio = conversion premium/conversion value of convertible securities × 100%
= (conversion parity-market price of the underlying stock)/market price of the underlying stock × 100%
When the market price of convertible securities is lower than the conversion value of convertible securities, the value obtained by subtracting the former from the latter is called the conversion discount of convertible securities, which has both.
Conversion discount = conversion value of convertible securities-market price of convertible securities
The conversion discount rate can generally be calculated by the following formula:
Conversion discount rate = conversion discount/conversion value of convertible securities × 100%
= (market price of the underlying stock-conversion parity)/market price of the underlying stock × 100%
Step 2: Give an example
The face value of a company's convertible bonds is 65,438+0,000 yuan, the conversion price is 25 yuan, the current market price is 65,438+0, 200 yuan, and the current market price of the underlying stock is 29 yuan. Then,
Bond conversion ratio = 1000/25 = 40 (shares)
The converted value of this bond = 40× 29 = 1040 (yuan).
The conversion parity of bonds in this issue = 1200/40=30 (yuan).
Because the current market price (29 yuan) of the underlying stock is less than the conversion parity (30 yuan) calculated according to the current market price (65,438+0, 200 yuan), it is not conducive for investors to buy bonds at the current price of 65,438+0, 200 yuan and immediately convert them into shares.
Since the market price of the bond is 65,438+0, and the 200 yuan is greater than its conversion value of 65,438+0,040 yuan, the bond is currently at a conversion premium.
The conversion premium of this bond =1200-1040 =190 (yuan)
The conversion premium ratio of this bond = (190/1040) ×100%.
=(30-29)/29× 100%
= 15.4%
Section 3 Value Analysis of Warrants
Bonds and preferred stocks sometimes issue long-term warrants, and investors have the right to buy a certain number of common shares from the company at a specified price (called subscription price or subscription price). For the sake of clarity, it is always assumed that each warrant can purchase 1 common stock.
First, the theoretical value of warrants
The difference between the market price of stocks and the subscription price of warrants is the theoretical value of warrants. The formula is as follows:
Theoretical value of warrants = stock market price-subscription price of warrants.
For example, the market price of a stock is 25 yuan, and the stock price bought through warrants is 20 yuan, so the theoretical value of warrants is 5 yuan; If the stock market price falls to 19 yuan, the theoretical value of warrants is negative.
In practice, the market price of warrants is rarely the same as its theoretical value. The part where the market price of warrants exceeds its theoretical value is called warrant premium, and its calculation formula is as follows:
Warrant premium = warrant market price-theoretical value
= (market price of warrants-market price of subscribed shares)+subscription price
The theoretical value of warrants will change in the same direction with the change of the market price of subscribed shares, and the market price and premium of warrants will also rise or fall.
Second, the leverage of warrants.
The leverage of warrants is manifested in that the market price of warrants rises or falls much faster than the market price of the shares they subscribe for. The leverage ratio is generally expressed by the percentage change of the warrant market price during the investigation period and the percentage change of the subscription stock market price during the same period, and can also be approximately expressed by the ratio of the subscription stock market price at the beginning of the investigation to the warrant market price at the beginning of the investigation, reflecting that the warrant market price is several times higher (or lower) than the subscription stock market price.
For example, a company's warrants allow its holders to subscribe for shares at 20 yuan prices. When the company's stock market price rose from 25 yuan to 30 yuan, the theoretical value of warrants rose from 5 yuan to 65,438+00 yuan, and the market price of warrants rose from 9 yuan to 65,438+00.5 yuan. It can be seen that when the stock price rises by 20%, the theoretical value of warrants rises by 100%, and the market price of warrants rises by 75%. The lever is
Leverage = percentage change in the market price of warrants/percentage change in the market price of subscribed shares.
=75%/20%=3.75 (times)
Or,
Leverage = investigate the market price of initial subscription shares/investigate the market price of initial warrants.
=25/9=4. 17 (times)
The above information comes from the internal courseware of Southwestern University of Finance and Economics, indicating the source.