Changes of premium after military B discount
Loss or gain?
And look at the arbitrage opportunities of military classification in rich countries. Guo Fu Military Industry Grading Fund, full name of Guo Fu CSI Military Industry Index Grading Fund, according to the terms of the prospectus, when the net value of the parent fund unit reaches 1.5 yuan, the grading fund will be converted up irregularly. The net value of the shares of the parent fund, Class A and Class B are unified, and the shares of A and B still maintain the ratio of 1: 1, and the excess net value shares are converted into the shares of the parent fund.
On June 8 10, the unit net value of Guo Fu Military Industry Classification Fund reached 1.55438+04 yuan, which officially triggered the discount; After the close of the day, the unit net value and market price of Military Industry B were 1.998 yuan and 2. 139 yuan respectively. On June 9th, 10, Guo Fu Military Industry Classification Fund issued a discount announcement. The net value of the parent fund, Military A and Military B of Guo Fu Military Industry Classification Fund returned to 1, while the shares of Military A and Military B remained unchanged, and the remaining assets were converted into the shares of the parent fund. Due to the conversion, Military A and Military B were suspended for one day on 10, and resumed trading on 13 at 10:30.
Take the Guo Fu Fund as an example. If investors respectively hold 65,438+00,000 shares of Guo Fu Military Industry Classification Parent Fund, 65,438+00,000 shares of Military Industry A and 65,438+00,000 shares of Military Industry B before the conversion, the net value of each share before the conversion (assuming) is 65,438+0.5 yuan and 65,438+respectively.
After conversion, the net value of the three types of share units is 1, and the share of the parent fund held by the parent fund investors of Fuguo Military Industry Classification becomes150000; The investors of Military A will hold 10000 Military A and 280 parent funds; The investors of Army B will hold 65,438+00,000 Army B and 9,720 parent funds.
After the discount is triggered, the leverage ratio of military B's net value will be restored from about 1.5 times before the conversion to twice the initial value, because the change of leverage ratio will bring about the change of premium rate, but it should be considered that nearly half of the shares after the conversion will be converted into parent fund shares, and the original premium will disappear. And only half of them can enjoy higher premiums.
In a few trading days before the possible conversion, if it is calculated that the share premium rate of the leverage index after conversion is higher than the loss caused by the disappearance of the share premium of the parent fund, it is a good opportunity to deploy Army B, otherwise it is a selling opportunity. The data shows that on September 30th and June 8th of 10, the premium rate of Military B was 5.47% and 7% respectively. This is lower than the 9% premium rate of comparable SW military industry, and the leverage ratio of SW military industry is about 1.7 times. However, after the discount was announced, the premium rate of military B reached 9.58% after the closing of 10/0.
Taking SW military industry as the reference system, the discount premium rate of military industry B should be 10% or above, and then referring to the actual annualized income of Class A, it is estimated that the discount premium rate of military industry B is about 12%. Regardless of the military industry index and market sentiment fluctuations, we can calculate how appropriate the premium rate before discount is.
According to the assumed net value of 1.972 yuan before conversion, after conversion, 1 10,000 copies of Military B will be 1 10,000 copies of Military B in 0 yuan+65,438 copies of parent fund in 0 yuan. This means that the theoretical value of the military B held by investors before the discount is10000 *1.12 (the premium rate is 12%) yuan +9720 * 1 yuan (the parent fund is redeemed at the net value, regardless of the redemption rate). The discounted value of 20,920 yuan is equivalent to the pre-discounted market price10,000 yuan of military B unit, divided by the unit net value 1.972 yuan, with a premium rate of 6.09%.
According to the above calculation, excluding the influence of market rise, only investors who bought Military B on September 30th can get arbitrage opportunities brought by the change of premium rate; Investors who bought shares at the closing prices of 654381October 8th and 654381October 9th have to bear the loss of converting some shares into parent funds, which makes the premium disappear.