关于可转换债券交易品种的详细说明(英文版)
20可转换债券定价
公司通过可转债融资有以下几点好处 1. 可转债相对于普通债券和银行贷款，提供的利率更低，是 一条低成本融资的有效渠道。 2. 可转债相对于普通股票发行，可获资金更多。 3. 可转债相对于企业其它的资本扩充方法（如配股、增发） 来说，具有减缓发行人股东权益稀释速度的效果。 4. 可转债发行相对普通债和股票发行受到限制更少。 5. 可转债发行量大，期限长，适应项目融资。
为大于ln( K Sd n ) ln(u d ) 的最小整数，
K为执行价，S为标的物当前价格
每一个时间段内标的物当前价格从开始S的运动到两个新值 uS和dS中的一个，概率分别是p和1-p。
rd ud
p ' (u r ) p
p
B-S定价模型
Black-Scholes随机微分方程，
f f 1 2 2 2 f rf S S rf f 2 t S 2 S
Sv
t 0
n
DN n t Par (1 r )t h (1 r )n h
其中，r表示市场贴现率，Par是本金，N表示债券的期限，n表示从现在起 至到期日的剩余年限的整数年，h表示从现在起至下一次付息日的小数年数； Di n+h表示从现在开始至到期日剩余年限； 表示从现在起第 i+1次付息日所 支付的票面利息。
查看茂炼转债的票面利率变动历史： Data mlCouprthist; set ResDat.Couprthist ; where bdcd=’125302’; run; 查看茂炼转债基本信息： Data mlinfo; set ResDat.bdinfo; where bdcd='125302'; run; 茂炼可转债转股条款 data mlConverprov; set ResDat.Converprov; where bdcd='125302'; run; 茂炼可转债行情： data mlqttn; set ResDat.exchbdqttn; where bdcd='125302'; run;
关于可转换债券交易品种的详细说明
关于可转换债券交易品种的详细说明可转换债券交易品种可以分为两类：场内交易和场外交易。
在场内交易中，投资者可以通过证券交易所进行买卖。
在场外交易中，投资者直接与发行商或持有人进行交易。
这两种交易方式各有优劣，投资者需要根据自己的需求和情况进行选择。
在场内交易中，可转换债券可以在证券交易所进行买卖。
投资者可以通过股票经纪人或交易平台进行交易。
这种交易方式具有高度的透明度和流动性，投资者可以更方便地找到卖方或买方，进行交易。
另外，证券交易所也会提供相关的信息和数据，帮助投资者进行决策。
在场外交易中，可转换债券交易一般通过机构投资者进行，如银行、保险公司、证券公司等。
这种交易方式相对不太透明，投资者需要自行与持有人进行协商和交易。
由于场外交易的交易对象有限，可能会较难寻找到合适的交易对象。
不过，通过场外交易可以进行更灵活的交易，价格也可能会更具竞争力。
可转换债券的交易也可以根据交易对象的不同分为零售交易和机构交易。
零售交易是指个人投资者直接参与的交易，一般通过证券交易所进行。
机构交易是指机构投资者之间进行的交易，也可以在场外进行。
零售交易和机构交易各有特点，投资者可以根据自己的情况进行选择。
为了更好地规范和促进可转换债券的交易，证券交易所也会制定相关的规则和制度。
这些规则一般会包括交易的时间、交易的方式、交易的费用等。
这些规则可以帮助投资者更方便地进行交易，并提高市场的透明度和流动性。
另外，投资者还可以通过交易平台进行可转换债券的交易。
一些证券交易所或金融机构也会提供在线交易的平台，投资者可以通过这些平台进行交易。
通过交易平台，投资者可以更方便地了解市场信息和交易数据，进行交易决策。
同时，交易平台也可以提供更多便利的交易功能，如市场报价、交易指引等。
除了以上提到的交易方式，投资者还可以通过信用证券公司、基金、交易所交易基金等金融机构进行可转换债券的交易。
这些金融机构可以提供更专业的投资建议和服务，帮助投资者进行更合理的投资决策。
关于可转换债券交易品种的培训材料(全英文)PPT
Convertible bonds
18 OCTOBER 2004
4781
Agenda
OVERVIEW What are convertible bonds? Convertible bond structures Exchangeable bonds Equity-linked market conditions Arbitrage techniques
Convertible is effectively a bond which gives its holders the right to convert for a fixed number of ordinary shares at a fixed price
Bondholders receive:
Higher the issuer’s flexibility with respect to calling the bond the less valuable the option
Dividends are effectively equal to pre-set falls in share price. As bondholders do not receive dividends (unless prospectus determines otherwise), they reduce option value
Shares
Fixed number of shares at a fixed price
At maturity, if not previously converted, convertibles are worth: - The greater of their cash redemption value and - The market value of the shares into which the bonds are convertible
可交换债券
可交换债券目录[隐藏]可交换债券概述可交换债券的主要特征可交换债券的功能可交换债券的优缺点可交换债券与可转债的异同可交换债券在限售股解禁中的应用限售股解禁的减持方式比较目前推出其对发展证券市场的现实意义可交换债券(Exchangeable Bonds，简称为 EB）[编辑本段]可交换债券概述可交换债券（Exchangeable Bond，简称EB）全称为“可交换他公司股票的债券”，是指上市公司股份的持有者通过抵押其持有的股票给托管机构进而发行的公司债券，该债券的持有人在将来的某个时期内，能按照债券发行时约定的条件用持有的债券换取发债人抵押的上市公司股权。
可交换债券是一种内嵌期权的金融衍生品，严格地可以说是可转换债券的一种。
[编辑本段]可交换债券的主要特征可交换债券和其转股标的股分别属于不同的发行人，一般来说可交换债券的发行人为控股母公司，而转股标的的发行人则为上市子公司。
可交换债券的标的为母公司所持有的子公司股票，为存量股，发行可交换债券一般并不增加其上市子公司的总股本，但在转股后会降低母公司对子公司的持股比例。
可交换债券给筹资者提供了一种低成本的融资工具。
由于可交换债券给投资者一种转换股票的权,其利率水平与同期限、同等信用评级的一般债券相比要低。
因此即使可交换债券的转换不成功，其发行人的还债成本也不高，对上市子公司也无影响。
[编辑本段]可交换债券的功能（1）融资：由于可交换的债券发行人可以是非上市公司，所以它是非上市集团公司筹集资金的一种有效手段；（2）收购兼并：当在收购兼并过程中遇到资金短缺的问题，可以在实施收购之前发行专门为收购设计的可交换债券；（3）股票减持：可交换债券的一个主要功能是可以通过发行可交换债券有序地减持股票，发行人可以通过发行债券获取现金，同时也可避免相关股票因大量抛售致使股价受到冲击。
比如香港的和记黄埔曾两度发行可交换债券以减持Vodafone；大东电报也用此方法出售所余下的电讯盈科的股份。
上海证券交易所债券交易实施细则-英文版
Detailed Implementing Rulesof Shanghai Stock Exchange on Bond TransactionsChapter I General ProvisionsArticle 1These Detailed Rules are formulated in accordance with applicable State laws and regulations and the Listing Rules of Shanghai Stock Exchange (hereinafter, Listing Rules) for the purpose of regulating trading activities in the bond market of Shanghai Stock Exchange (hereinafter, SSE), maintaining an orderly market, preventing market risks, and protecting the legitimate rights and interests of investors.Article 2These Detailed Rules shall be applicable to the spot transactions and pledge-style repo transactions in treasury bonds, corporate bonds (hereinafter collectively, bonds). Any matter not provided herein shall be governed by the Listing Rules and other applicable regulations of SSE.Outright repo transactions of bonds shall be governed by the regulations formulated by SSE separately.Article 3 Bond spot transactions and pledge-style bond repo transactions (hereinafter, bond repo transactions) can be executed through call auction, continuous auction, block trade, etc.Article 4Subject to SSE’s regulations on designated trading, investors participating in bond transactions on SSE shall designate one SSE member in advance as its agent and enter into with such agent an agreement for designated trading as well as a client-broker agreement for bond spot transactions and bond repo transactions.Article 5 SSE members and other institutions participating in bond transactions must establish complete and sound business management system and risk control mechanism.A member shall not use its client’s securities account without authorization or misappropriate its client’s bonds to undertake bond repo transactions for its own account or for the benefit of others. Any violator of this provision will be restricted orsuspended by SSE from bond repo transactions until being disqualified from undertaking bond repo transactions. In severe cases, it will be reported to China Securities Regulatory Commission for further punishment.Article 6 In bond spot transactions, bonds purchased on a trading day can be sold on the same day.Article 7 The registration, custody, clearing and settlement of bond transactions shall be handled pursuant to relevant rules by the securities registration and clearing institution designated by SSE (hereinafter, securities registration and clearing institution).Chapter II Bond Spot TransactionsArticle 8 Treasury bond spot transactions are executed at clean price.Corporate bond spot transactions are executed at dirty price.Article 9 An order for bond spot transactions on a centralized auction basis must meet the following requirements:(1) the trading unit must be one round lot, which is equivalent to RMB 1,000 par value;(2) the quotation unit must be the price of RMB 100 par value;(3) the tick size must be RMB 0.01;(4) the order must be placed at one round lot or the integral multiple thereof, with one order not more than 10,000 round lots; and(5) the quotation price limit shall be governed by the Listing Rules.Article 10 The opening price of bond spot transactions on a trading day shall be the price generated from the call auction on the same day. In case no opening price is generated therefrom, the opening price shall be the first execution price in the continuous auction.The closing price of bond spot transactions on a trading day shall be the trading volume-weighted average price of all the transactions executed during the one minute before the last transaction (including the last transaction) on that day. In the absenceof any transaction on that day, the previous closing price shall be considered as the closing price of that day.Chapter III Bond Repo TransactionsArticle 11The collateral vault system is adopted in bond repo transactions. Prior to placing an order for repo transactions, the bond lender shall submit relevant bonds through SSE’s trading system as collateral. The bonds to be used as collateral shall be transferred to the special account for collateral in accordance with the relevant regulations of the securities registration and clearing institution.Article 12A SSE member that accepts any order from an investor for bond repo transactions shall require the investor to submit bond collateral and shall check the balance of standards bonds available in the investor’s securities account for bond repo transactions.If there is insufficient balance of standards bonds, the order for bond repo transactions shall be null and void.Article 13When placing orders for bond repo transactions, the bond lender shall place a buy order and the bond borrower shall place a sell order.Article 14 The bonds purchased on a particular day can be submitted on the same day as bond collateral and also be used for bond repo transactions.Article 15 Any surplus of standard bonds corresponding to the bond collateral can be transferred back to the former securities account through SSE’s trading system. The bonds transferred back on a particular day can be sold on the same day.Article 16An order for bond repo transactions on a centralized auction basis must meet the following requirements:(1) the trading unit must be one round lot, which is equivalent to RMB 1,000 in standards bonds;(2) the quotation unit must be the annualized yield-to-maturity per RMB 100;(3) the tick size must be RMB 0.005 or the integral multiple thereof;(4) the order must be placed at 100 round lots or the integral multiple thereof, withone order not more than 10,000 round lots; and(5) the quotation price limit shall be governed by the Listing Rules.Article 17 The term for bond repo transactions shall be 1 day, 2 days, 3 days, 4 days, 7 days, 14 days, 28 days , 91 days and 182 days.SSE is entitled to adjust the repo term and repo instruments in line with market needs.Article 18The system of “one execution and two clearings and settlements” is adopted in bond repo transactions. The clearing and settlement of bond repo transactions shall be governed by the relevant regulations of the securities registration and clearing institution.Article 19On the expiry date of repo transactions, the securities registration and clearing institution shall calculate the amount of funds to be paid and bond collateral to be delivered at the repurchase price determined below.The repurchase price = RMB 100＋annualized yield ×RMB 100 ×number of days/360The calculation results shall be rounded to three decimal places.Article 20 The term of bond repo transactions shall be based on the calendar day. The expiry date, when falling on a non-trading day, will be extended to the next trading day.Article 21The corporate bonds eligible for pledge-style repo transactions will be announced by SSE in its circular on listing of bonds.Article 22The bond lender in a bond repo transaction shall maintain sufficient standards bonds corresponding to the bond collateral during the term of the repo transaction.On the expiry date of the repo transaction, the bond lender is allowed to transfer the relevant bond collateral back to the former securities account through SSE’s tradingsystem or further use the bond collateral for bond repo transactions. The bond collateral transferred back on a particular day can be sold on the same day.Chapter IV Supplementary ProvisionsArticle 23 The following terms in these Detailed Rules mean as follows:(1)trading at clean price: the trading method for bond spot transactions wheretransactions are executed at a price quoted excluding accrued interest.(2)trading at gross price: the trading method for bond spot transactions wheretransactions are executed at a price quoted including accrued interest.(3)pledge-style repo transaction: the bond transaction wherein at the time the bondholder pledges its bonds as collateral for a cash loan，which is equal to the amount of the standard bonds converted at a conversion ratio from such bond collateral, the two parties to the transaction agree to return the cash and release the bonds pledged as collateral at the expiry of the repo. The party that pledges its bonds as colla teral for a cash loan is “the bond lender” and the counterparty to the transaction is the “bond borrower”.(4)standard bonds: the bonds converted from different types of bonds at thecorresponding conversion ratio to determine the amount of funds to be borrowed through pledge-style repo transactions.(5)conversion ratio of standard bonds: the ratio of the amount of standard bondsconverted from different types of bonds to the par value of bonds.(6)bond collateral: the bonds submitted to the securities registration and clearinginstitution as the collateral for bond repo transactions.Article 24 Investors that trade bonds on SSE shall pay commissions to SSE members. SSE members and other institutions qualified for bond business shall pay handling fees and other relevant charges to SSE for dealing in bonds on SSE.Article 25 These Detailed Rules and any amendment hereto shall be effective subject to the approval of the Board of SSE.Article 26 The power to interpret these Detailed Rules shall rest with SSE.Article 27 These Detailed Rules shall be implemented as of the date of promulgation.。
可转换债券转换协议二
可转换债券转换协议（中英文第二部分）ARTICLE 7 MISCELLANEOUS第七章其他7.1.c7.2. Severability. If any term or other provision of this Agreement is invalid, illegal or incapable of being enforced by any rule of law, or public policy, all other conditions and provisions of this Agreement shall nevertheless remain in full force and effect so long as the economic or legal substance of the Transactions contemplated hereby is not affected in any manner adverse to any Party. Upon such determination that any term or other provision is invalid, illegal or incapable of being enforced, the Parties hereto shall negotiate in good faith to modify this Agreement so as to effect the original intent of the Parties as closely as possible, in a mutually acceptable manner, to the end that Transactions are fulfilled to the extent possible.可分割性。
如果本协议的任何条款或其他条款无效、非法或无法通过任何法律法规或公共政策强制执行，则本协议的所有其他条件和规定仍然具有完全的效力和效力，只要经济或预期交易的法律实质不受任何方面的不利影响。
CONVERTIBLE PROMISSORY NOTE (可转换债券)标准模板
CONVERTIBLE PROMISSORY NOTEFOR VALUE RECEIVED, , an exempted company organized and existing under th e laws of [the Cayman Islands] (“Payor”), hereby promises to pay to the order of , a organized and existing under the laws of the , or its assigns (“Holder”), the principal sum of United States dollars (US$ ).1.PAYMENT; SECURITY; MATURITY; DEFAULT INTEREST(a)This note (“Note”) is issued pursuant to the terms of that certain Convertible Not e Purchase Agreement (the “Purchase Agreement”) dated by and among Payor, Holder and the other parties thereto. Capitalized terms used herein and not otherwi se defined herein shall have the respective meanings given to them in the Purchase Agreement.(b)The indebtedness created pursuant to Note shall be senior in all respects (includi ng right of payment), as to principal and any and all other liabilities and obligations, to all other indebtedness of Payor, now existing or hereafter.(c) At any time on or after the earlier of (i) ( ) calendar days after the executi on of this Note, which is __________, and (ii) the date of consummation of the Series A Financing or any other Equity Financing, whichever the earlier (the “Maturity Date”) , if any portion of the outstanding principal amount of this Note or any accrued and unpaid interest thereon has not been converted in full in accordance with the terms of Section 2 below, Holder may demand payment of all or a portion of the outstandin g principal amount of this Note, together with interest (if any) accrued on the outsta nding principal amount pursuant to the terms and conditions of this Note (such amo unt in total, the “Payment Demand Amount”) by presenting a written demand notice to Payor (a “Payment Demand”). As soon as possible but in no event later than [thr ee] ([3]) business days upon receipt of such Payment Demand, Payor shall repay the Payment Demand Amount by wire transfer of immediately available funds in United States dollars to bank accounts designated by Holder.(d) Notwithstanding any terms otherwise provided in this Note, the Holder of this N ote shall be entitled to interest (the “Interest”) at a simple interest rate of % per a nnum (the “Interest Rate”), on the principal amount of this Note, due and payable bythe Payor together with the repayment or redemption of the principal amount purs uant to the terms of this Note, provided, however, that in the event of conversion of t his Note pursuant to Section 2(b) below, the Interest Rate with respect to the princi pal amount elected to be converted by the Holder shall be zero.(e)Upon the occurrence and during the continuance of (i) any Event of Default (inclu ding the failure to convert the Note pursuant to Section 2 below for any reason attri butable to the Payor and/or Founders), or (ii) failure to consummate the Series A Fi nancing within ( ) calendar days after the execution of this Note for any reas on attributable to the Payor and/or Founders, the Interest Rate shall be adjust to percent ( %) compound per annum, which interest shall start to accrue retroactiv ely from the date hereof until all unpaid principal amount of this Note and interests t hereon are repaid or convert in full pursuant to this Note.(f)If, prior to the Maturity Date, (i) Payor or any of its Subsidiaries enters into an agr eement pertaining to a sale of Payor’s or such Subsidiary’s share capital, Payor’s dire ct or indirect interest in any such Subsidiary, or any contractual right of Payor or suc h Subsidiary to direct or cause the direction of the management and policies of any e ntity, whether in one transaction or a series of related transactions, or (ii) a Deemed Liquidation Event occurs, then Holder may elect to immediately demand payment o f the outstanding principal balance of this Note, together with any interest accrued a nd unpaid thereon, and the Maturity Date shall have advanced to the earliest occurr ence of such event.2.CONVERSION(a)At any time on or after the date of this Note (regardless of whether the Note has matured in accordance with Section 1(d) above, and regardless of whether an Event of Default has occurred and outstanding), Holder may deliver a written notice to Pay or demanding conversion (the “Conversion Notice”), on the date set forth in the Con version Notice (the “Conversion Date”), of all or a portion of the outstanding princip al amount of this Note (and if so elected by Holder, together with any accrued and u npaid interest thereon), into such equity securities of Payor at such per share conve rsion price (the “Conversion Price”) as set forth below.(b) All or a portion of the outstanding principal amount of this Note, at the sole optio n of Holder, shall be converted, on the closing date of the Series A Financing, into the equity securities issued in the Series A Financing by the Payor at a Conversion Price equal to (i) % of the per share purchase price of the Series A Financing (the “Per S hare Price”) if the closing of Series A Financing is consummated within days of the date hereof, or (ii) % of the Per Share Price if the closing of the Series A Financing is consummated within ( ) days of the date hereof.(c)If Payor issues any equity securities between the date of this Note and the Conver sion Date (other than in the Series A Financing) (such issuance of equity securities, a n “Equity Financing”), all or a portion of the outstanding principal amount of this No te, at the sole option of Holder, shall be converted, on the closing date of such Equity Financing, into the equity securities issued in the Equity Financing at a Conversion P rice equal to the lower of (i) the per share purchase price of such Equity Financing o r (ii) % of the Per Share Price. If more than one series of equity securities are issu ed in the Equity Financing, then all or a portion of the outstanding principal amount of this Note together with any accrued and unpaid interest (if so elected by Holder) t hereon, at the sole option of Holder, shall be converted into the most senior equity s ecurities issued in such Equity Financing. For the avoidance of doubt, the equity sec urities issued upon conversion of the Note shall in any event rank superior to or at l east pari passu with the most senior equity securities issued in such Equity Financin g.(d) Notwithstanding anything to the contrary in this Note, (i) if the Series A Financin g has not occurred within ( ) calendar days after the execution of this Note, o r (ii) upon the occurrence of any Event of Default, the Holder is entitled to, at its sole option and at any time, convert all or a portion of the outstanding principal amount of this Note together with any accrued and unpaid interest (if so elected by Holder) t hereon into (a) series A preferred shares of the Payor at a Conversion Price equal to % of the Per Share Price], or (b) if there is an Equity Financing other than the Seri es A Financing after the date hereof, into equity securities of the Payor that rank sup erior to or at least pari passu with the most senior equity securities issued in the Equity Financing at a Conversion Price equal to the lower of (i) the per share purchase price of such Equity Financing or (ii) % of the Per Share Price.(e) Upon receipt of any Conversion Notice, Payor shall issue to Holder such number of equity securities with rights as determined in accordance with Section 2(b), Secti on 2(c) or Section 2(d), as applicable.(f) No fractional shares of Payor’s share capital will be issued upon conversion of thi s Note. In lieu of any fractional share to which Holder would otherwise be entitled, Payor will pay to Holder in cash the amount of the unconverted principal balance of this Note that would otherwise be converted into such fractional share. On the Conv ersion Date, Holder shall surrender this Note, duly endorsed, at the principal offices of Payor, and this Note will be deemed converted on the date of such surrender of th is Note. At its expense, Payor will, as soon as practicable thereafter, issue and delive r to Holder a certificate or certificates for the number of shares to which Holder is e ntitled upon such conversion, together with any other securities and property to wh ich Holder is entitled upon such conversion under the terms of this Note, and update , or cause to be updated, its register of members to reflect the issuance of the equity securities issued upon such conversion. Payor shall also issue an additional note for the balance of the Note not converted on the Conversion Date.3.DEFAULT; REMEDIES(a) The occurrence of any Event of Default described in Section 5(a) of the Purchase Agreement shall be an Event of Default hereunder.(b) Upon the occurrence and during the continuance of any Event of Default, all unp aid principal on this Note and all other amounts owing hereunder shall, at the optio n of Holder, and, upon the occurrence of any Event of Default pursuant to Sections 5 (a)(vi), 5(a)(vii), 5(a)(xi) or 5(a)(xv) of the Purchase Agreement, automatically, be i mmediately due, payable and collectible by Holder pursuant to applicable law. The Maturity Date shall be deemed to have advanced to the date of occurrence of such E vent of Default. Holder shall have all rights and may exercise all remedies available t o it under the Note Documents, law, successively or concurrently.(c)Upon the occurrence and during the continuance of any Event of Default, Payor s hall pay, on demand, all reasonable attorneys’ fees and court costs incurred by Hold er in enforcing and collecting this Note.(d) Any acceleration of the payment obligations of Payor under this Section may be waived with the written consent of Holder.4.PREPAYMENT.Payor may not prepay all or any portion of this Note prior to the Maturity Date with out the prior written consent of Holder.5.WAIVER; PAYMENT OF FEES AND EXPENSES.Payor waives presentment and demand for payment, notice of dishonor, protest and notice of protest of this Note, and shall pay all costs of collection when incurred, incl uding without limitation, reasonable attorneys’ fees, costs and other expenses. The right to plead any and all statutes of limitations as a defense to any demands hereun der is hereby waived to the full extent permitted by Law. No delay by Holder shall c onstitute a waiver, election or acquiescence by it.6.CUMULATIVE REMEDIES.Holder’s rights and remedies under this Note and the other Note Documents shall be cumulative. Holder shall have all other rights and remedies not inconsistent herewi th as provided under by law or in equity.7.MISCELLANEOUS(a)Governing Law. The terms of this Note shall be construed in accordance with the laws of Hong Kong, without giving effect to principles of conflict of law thereunder.(b) Dispute Resolution. Any dispute, controversy or claim arising out of, in connecti on with or relating to this Note, including the interpretation, validity, invalidity, brea ch or termination thereof, shall be settled in accordance with Section 6(g) of the Pur chase Agreement.(c)Successors and Assigns; Assignment. The terms and conditions of this Note shall inure to the benefit of and be binding upon the respective successors and assigns of the parties. Payor may not assign this Note or delegate any of its obligations hereunder without the written consent of Holder. Holder may assign this Note and its right s hereunder at any time without consent of Payor.(d)Titles and Subtitles. The titles and subtitles used in this Note are used for conven ience only and are not to be considered in construing or interpreting the Note. (e) Notices. All notices required or permitted hereunder shall be in writing and shal l be given in the manner and to the addresses set forth in the Purchase Agreement.(f)Amendment; Modification; Waiver. No term of this Note may be amended, modifi ed or waived without the prior written consent of Payor and Holder.(g)Counterparts. This Note may be executed in two or more counterparts, each of w hich shall be deemed an original, but all of which together shall constitute one and t he same instrument.[Signature page follows]IN WITNESS WHEREOF, the parties have executed this CONVERTIBLE PROMISSORY NOTE as of the date first written above.PAYOR:By:Name:Title:IN WITNESS WHEREOF, the parties have executed this CONVERTIBLE PROMISSORY NOTE as of the date first written above.HOLDER:By:Name:Title: Authorized Signatory。
银洛希尔年月关于可转换债券交易品种的培训材料
- Versatile product can be tailored to issuer’s needs
10
4781
Disadvantages of convertible bonds
Debt or equity? - Debt on balance sheet until conversion - Issuer does not control conversion - Cost ultimately dependent on share price development
Option Value 5 - 15%
Higher yield Higher conversion premium More debt-like
Maturity / Put Interest rates Credit spread Coupon Redemption price
Bond Value 85 - 95%
Shares
Fixed number of shares at a fixed price
At maturity, if not previously converted, convertibles are worth: - The greater of their cash redemption value and - The market value of the shares into which the bonds are convertible
Higher the issuer’s flexibility with respect to calling the bond the less valuable the option
Dividends are effectively equal to pre-set falls in share price. As bondholders do not receive dividends (unless prospectus determines otherwise), they reduce option value
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Agenda
OVERVIEW ❖ What are convertible bonds? ❖ Convertible bond structures ❖ Exchangeable bonds ❖ Equity-linked market conditions ❖ Arbitrage techniques
What are convertible bonds?
What is a convertible bond? Convertible bonds are hybrid products
❖ Convertible bonds are hybrid instruments that stand somewhere between a debt instrument and equity
Bond Value 85 - 95%
Lower yield Lower conversion premium More equity-like
Option valuation drivers
D riv e rs
Im p a c t
R a tio n a le
C o n v e rs io n P re m iu m
D riv e rs
Im p a c t
R a tio n a le
M a tu rity / P u t
M a tu rity / P u t
B o n d v a lu e
Option valuation drivers (cont’d)
D riv e rs
Im pact
R a tio n a le
Call structure
Call provisions
Option value
Call options enable issuers to shorten bond life by forcing early conversion or redem ption
Interest rates
Interest rates
Option value
Higher interest rates increase carrying cost of holding shares relative to holding option over srivers
Higher the issuer’s flexibility with respect to calling the bond the less valuable the option
D iv id e n d s
Dividends
Option value
Dividends are effectively equal to pre-set falls in share price. As bondholders do not receive dividends (unless prospectus determ ines otherwise), they reduce option value
C o n v e rs io n p re m iu m
O p tio n v a lu e
H ig h e r p re m ia m e a n o p tio n c o m p o n e n t is fu rth e r o u t o f th e m oney
V o la tility
Volatility Maturity Call structure
Option Value 5 - 15%
Higher yield Higher conversion premium
Dividends
More debt-like
Interest rates
Maturity / Put Interest rates Credit spread Coupon Redemption price
❖ At maturity, if not previously converted, convertibles are worth:
Convertible bonds - the
components Trade-off of option value vs bond value
Conversion premium
❖ Convertible is effectively a bond which gives its holders the right to convert for a fixed number of ordinary shares at a fixed price
❖ Bondholders receive:
V o la tility
O p tio n v a lu e
In c re a s e d s h a re p ric e v o la tility in c re a s e s p ro b a b ility o f s h a re p ric e m o v in g a b o v e c o n v e rs io n p ric e
Bond
Fixed yield to maturity / yield to put Coupon yield where issue price differs from redemption or put price
Shares
……. or in exchange for cancelling the Bonds…….. Fixed number of shares at a fixed price
M a tu rity
M a tu rity
O p tio n v a lu e
L o n g e r life in c re a s e s p ro b a b ility o f s h a re p ric e m o v in g a b o v e c o n v e rs io n p ric e