25 billion yuan ICBC turn debt attraction geometry?

ICBC (601398. SH 25 billion yuan the issuance of convertible bonds is undoubtedly the most affecting investor nerves of the heavyweight event this week. Although the short-term may support ICBC's share price due to the preferential placement clause, the bank has transferred the debt (113001).　　SZ) When the market has a strong right to remove the power of the effect of the market has been a lingering fear, the attractiveness of preferential placement is also greatly reduced. Kanghairong, a fixed income analyst at the Securities Exchange, said that according to the current interbank market credit rating of AAA class, the remaining period of 6 years, a few corporate debt maturity rate of 3.8% calculation, ICBC transfer debt of pure debt value of about 87.99 yuan. According to ICBC's shares in the past 1 years volatility (annual) 21.83% and the past 2 years Volatility (annual) 30.99% of the size, The positive stock price is 4.12 yuan, turns the price to 4.2 yuan, uses the B-S model to calculate the bank to transfer the debt the option value respectively is 25.36 yuan and 33.09 yuan, corresponding to the next 2 years the theoretical value is located between 113~121 yuan.　　In the light of the current premium rate of the Bank of China, it is assumed that ICBC's stock price is 3.8 yuan ~4.2 yuan, and the listed price range of the convertible bond is 106.8 yuan ~112.3 yuan, and the mean value is 109 yuan. and GF Securities analyst Eric through the market law to calculate the first day of ICBC's transfer of debt on the first day of the price range of 105~115 yuan, The price range of 100.7~107.4 is calculated by using the binomial tree pricing method. Comprehensive think that ICBC transfer debt on the first day of a reasonable price range in 105~107 yuan probability is large, if the first or early IPO stock price downturn and other factors, may fall below 105 yuan and the bank to transfer the price of debt; If the market environment is good, do not exclude the price　　Over 110 yuan. Whether the preferential placing right is worth exercising although from the above two analyst's theoretical calculation result, the ICBC transfers the debt to have certain net to purchase the value under the net, but its preferential placing right is worth the fund chasing?　　The answer is not sure. In accordance with ICBC's preferential placement terms of debt transfer, holding 200 shares of ICBC shares will be given priority to 1 manual transfer of debt, ICBC's current stock price of 4.1 yuan, a total of 1820 yuan, according to the analyst calculation of ICBC's lower limit on the listing of 105 yuan, as long as ICBC shares in addition to the right to decline in the margin of less than 0.25 yuan, participate in preferential placement of investors will be profitable.　　But is the truth so simple? A professional market person who has long been engaged in low risk investment, such as convertible bonds, said in an interview with the first financial daily that the actual participation in preferential placements was not as simple as theoretical calculations.　　First, as the market at present to ICBC on the listing positioning of the high expectations, which will lead to the share price of shares in the loss of the tolerance also increased correspondingly, and the result of the market game is the loss of power is often higher than previous expectations, thereby increasing the cost of preferential placement arbitrage. Second, because the network under the purchase part of the organization has 5 times times the leverage ratio, the cost is significantly lower than the online purchase of investors, but do not hold the term system, which will make it in the first day of the IPO to cash in the power of the purchase, thus will be to a certain extent depress the listing of the debt, the bank of the first day of the listing of the market is the ultra-low positioning is due to this, after a period of time,　　Market to correct this positioning error. Therefore, to ICBC's current share price, only about 6% of the safety margin to participate in preferential placement is not safe, considering the listing of the transfer of debt may be low to 103 yuan, or even 102 yuan May, The security margin of its share price will fall to 3.66% and 2.44%, and from the bank's right to transfer debt in the case of the exception, its exception to the day the decline reached 5.12%, the risk of what is at a glance, the priority of participation in ICBC transfer debt should be carefully considered.