No coupons can Zhangjiang copper warrants risk-free arbitrage into Gao (fig)

The discount level hit a recent high yesterday, the rally of non-ferrous metals stocks was fierce. Jiangxi Copper rose 8.16%, pulling copper CWB1 once rose more than 14%, closed still up 11.31%, creating the biggest daily gain this year.　　However, the increase could not fully reflect the CWB1 of Jiang Copper, the negative premium rate is also higher than the previous trading day of 6% climbed to 10.06%, creating a recent high. It is noteworthy that even in the Hong Kong market, where there are as many as thousands of warrants, the highest negative premium in the warrants sold yesterday was only 2%. A negative premium in the Hong Kong market is generally a very inactive or lever-free variety. and Jiang Copper CWB1 yesterday turnover rate as high as 194%, deal 8.485 billion yuan, equivalent to yesterday the entire Hong Kong market warrants total turnover (HK $9.89 billion, equivalent to 8.6 billion yuan), is extremely active trading variety. Why is the discount rate so high?　　This is a market suspense.　　Two months to earn 7.36% with the maturity of the approaching, copper warrants high negative premium rate behind, is a huge space without risk arbitrage. The proportion of CWB1 of Jiang Copper is 4:1. To the closing price yesterday, the assumption that investors through the margin of 28.38 yuan to sell 100,000 shares Jiangxi copper industry can be 2.838 million yuan (currently there is no margin record can be referred to, at present more than the current margin ratio 70% calculation, Actual investment of 1.9866 million yuan), at the same time to 2.549 yuan to buy 400,000 Jiang Copper CWB1 (input 1.0196 million yuan), such as the expiration of the warrants and then to 15.33 yuan Price line and return the shares.　　According to such hedging path, can obtain 285,400 yuan of risk-free income, namely 2.838 million yuan-(1.0196 million + 1.533 million). Of course, the above difference can not be fully obtained, but also to pay coupon interest. As a result of the right to obtain the shares of the next day to the account, we have the right to the River copper warrants the start of the October 4 after the extension of two days, October 6 is the margin of stock day, to July 20 as the starting point for the margin, a total of 78 days. At present, the securities bond of the annual interest rate of 9.86%, the period of interest is 2.1%, the interest rate of 59,600 yuan. Thus, the total cost of margin deposit, interest and warrants positions (1.9866 million + 59,600 + 1.0196 million yuan), the total of 3.0658 million yuan, the risk-free return for the received difference minus the interest (285,400-59,600), a total of 225800 yuan.　　Two months, the yield reached 7.36%, far higher than the current average of about 4% of bank Wealth management products, the current bank's annual deposit rate of 2.25% 3 times times more. The obvious risk-free arbitrage opportunity of the coupon-free and restrictive arbitrage can not reduce the negative premium of the CWB1 Copper River?　　People in the industry say bread looks delicious but cannot be chewed. Yesterday, Jiangxi copper margin sales are still zero. "Jiangxi Copper is a bond, but I'm sorry, we have no coupons to melt." Yesterday, the Securities dealersSaid。　　The reporter found that since the introduction of the financing and margin business Jiangxi Copper has never been sold to sell the shares. "A-share securities system, must be the private sector in the hands of the stock to be able to melt out, but now operating a few securities brokerage business has not held Jiangxi copper industry."　　Guo Hai Securities researcher Cheng Zhitain said. However, the holding of Jiangxi Copper in the hands of institutional investors can be replaced with copper warrants, which is more cost-effective than holding Jiangxi copper industry.　　Jiangxi copper industry in the top ten circulating shareholders in the fund and insurance funds accounted for 8, but Jiang copper warrants in the proportion of holders did not appear in institutional investors. The funds, in addition to the robust growth of a few funds, the scope of investment include warrants. In the investment scope of the recruitment book, Jiangxi Copper, the first large circulation shareholder of the Great Wall Select blue-chip fund wrote: The total number of buy warrants does not exceed the previous session of the Fund's net assets of 0.5%. The 0-3% of the Fund's net assets is the investment warrant of the Hybrid fund. But in fact, the fund rarely intervenes in the investment of warrants, which is rare in recent years. "In practice, many institutions have no warrants in their stock pools," Cheng Zhitain said. "Big folk don't get coupons, and institutions don't play warrants," he said. Jiang copper warrants seemingly beautiful risk-free arbitrage returns, just a Gao.