Standard Pacific (SPF) $250m (+22.5m) REG unsec senior cb pricing tonight from JPM/CS/Citi/Bofa. Terms 1.125%-1.625% up 37.5-42.5$ p/c yr 5, prot. UOP = GSP. Concurrent 12.5m shares. Homebuilder operating in CA, FL, AZ, NC, SC, TX and CO. 5 yr CDS 345/365. SPF has more checkered past than RYL, DHI, LEN (stk 0.67 at the […]
CSG Systems (CSGS) CSGS 3% convertible bonds are offered at 101 vs. 17.15 (JP Morgan). The issue is $150m with 4.6 years to maturity. Using a 500 credit spread, I get implied vol. of 27 and delta of 49. The stock has historically realized about 30 vol over the past few years if you take […]
BZH- Consider playing the deal and then (probably) flip it On the mids of the price talk and using a 70 and 65 vol and a 1000 over credit spread, the new BZH deals models 4.41% cheap or about 1.5% cheap a year. Theoretical delta is 6.65. As mandatories go, this is reasonable valuation. However, […]
Trade idea CNQR 07-09-12 CNQR has 2.5% convertible bonds due 4/15/15 ($288m) trading at 140.375 vs. 66.28. Using 300 credit spread, the model implies 34 vol and 77 delta. The convert trades at 10.9% premium pct and 13.8 points. With a 2.5% coupon and 2.77 years remaining (7 points), this seems attractive and cheap vol […]
Trade idea: Gaylord Entertainment (GET) I like the GET 3.75% convertible bond that is trading at 150.375 vs. 38.87. Using 600 spread, the converts imply 29.5 vol., 88 delta and trade at 7.73 points of premium. This is a very low premium for a convert with 3.75% coupon with 2.24 yrs remaining. I calculate the […]
Trade idea I believe that there is an opportunity to buy LPNT 3.5% converts due 5/15/14 ahead of the Supreme Court ruling on the proposed healthcare reform. The converts trade at 103.25 versus 37.6. Using 350 credit, the converts imply 27 vol, theo delta of 30 and premium of 42%. A trade set-up on 27 […]
Affimetrix (AFFX) $105m($10m) reg unsec sen cb pricing Tues pm from MS/Citi. Terms: 7yr, 3.25-3.75% up 27.5-32.5, pc-after 5yr@130%, prot. UOP=pending eBioscience acq. (If acq falls through, co may redeem at $1010 + interest +75% of diff, if +, betw redemption & initial conv) Market leader in genotyping. $379m mkt cap. 70% of sales – […]
Trade idea I like the ONXX 4% converts and would set it up on a 70 delta and sell 30 of the 7/21/12 44 strike call options at $4.3 to get to a 78 total delta. Using 450 credit spread I get 38 implied vol compared with Jan 2014 options implied vol in the low […]
Royal Gold (RGLD) $325m (+$45m) sen unsec cb coming tonight from GS. Terms : 7yr 3.125-3.625% up 30-35%, s-c yr4 @130% (m/whole table), full pctn. UOP = pay down debt, gcp. Mexican, Chilean & Canadian levered gold play. PF Cash = 405m, CB only debt, LTM ebitda = 231m FCF -194m, low lev =1.4x (see […]
Trade idea: Long 1m Tivo 4% converts due 3/15/16 on 53 delta, short 200 Jan 2014 12 strike call options at 90c. The converts trade at 108 vs 8.17. Using 500 credit spread, the converts imply 35 vol compared to 46 vol for the call options. Using 500 credit spread and 40 vol, the implied […]