Trader’s Guide to Convertible
Objective: a 3-day comprehensive
programme covering all aspects of CBs including description of vanilla, complex,
and "branded" structures recognizing the nuances of selling bond
products from and equity desk vs. an equity product from a bond desk:
examines all aspects of structuring, pricing, hedging, and
managing CBs including issuer/investor perspectives, call policies, and market idiosyncrasies.
an especially detailed review and analyses of bonds, and interest
rate securities and derivatives required not only for the valuation of CBs but
also for hedging bond and "swapped" positions with and without a
liquid "underlying" bond.
explanation of valuing and managing the vanilla and complex
options embedded in CBs including, warrants, hybrids, quanto's, as well as
call/put and even fancier facilities.
includes exercises and workshops on actual and hypothetical CBs
analysing considerations for structuring, valuation, position risk, and
investor/issuer matters including not only at date of issue but also "how
has it performed" assessment.
intended for market professionals and focusing on end users (some understanding of markets and products helpful), such
Traders, sales, support,
· Management, treasurers,
Introduction to CBs and
structuring basics: CBs the “big
picture”, Risk/Return Profile Management, Economic Need, Idiosyncrasies, CBs
CB Markets, EuroMarkets, Domestic Markets, Market Size, Definitions by Example,
Why are CB’s hard to Value? “coupled”
stochastic (uncertain) elements
Common CB Structures and Policy
Considerations: The Debt/Equity
Spectrum (how to make it more like equity or debt), Branded CB Structures (PERCS,
Callable Convertible Preferred Stocks, DECs, LYONs, TOPRs, YEELDs, ... ad
infinitum), Complex CB Structures, Call policy, Taxation considerations,
Investor’s perspective, Issuer’s perspective.
Valuation of CBs - in 3 parts: a
comprehensive examination of pricing and position risk of CBs with special
attention to the bond component and hybrid implications -
Heavy emphasis on IR and Bond analyses from PV theory to pricing and risk
managing IR products, as well as IR curve generation.
Options analyses from basic considerations of modelling uncertain process and
risk-neutral concepts to modern notions of contingent claims analyses, risk
management, to volatility basics.
Hybrids analyses for exchange of asset and currency protection aspects of CBs,
and analyses of correlation related valuation and risk management
Valuation Workshop 1:
Horizon Analyses, Bond + Warrant example, Dilution, Embedded option Example
(callable/putable), Early exercise considerations, Hybrid Value example,
Position hedging Simulation.
Valuation Workshop 2: Workshop: analyses of issuing/selling/structuring a
real CB both on issue date as well as a year later to see "how its
Workshop 3 and 4: detailed examination of directional and arbitrate
considerations in current CB issues.
comprehensive and extensively illustrated Handout Notes (see samples
Plus copies of relevant TG2 Books/e-Books
Seminars can be tailored to your trading, risk, client, and systems needs.
Submit your needs, and/or "cut/paste" from other Seminars (see entire "standard"