Topic Archives: Tricks of the Trade

Indentures evolve over time and can contain some unexpected language both positive or negative. Under his page, I will write about some of the indenture language to be concerned about.

URI: talk to the trustee

Make sure you talk to the trustee. URI 4%  5/15/15 can elect to specify a cash percentage, the amount of cash that we will deliver in lieu of all or the applicable portion of the daily share amount in respect of each trading day in the applicable observation period will equal 1) the cash percentage […]

EXH: Long averaging period before maturity

For the EXH 4.25% convertible bonds due March 15, 2014, watch the conversion language prior to maturity. If the relevant conversion date occurs on or after March 15, 2014, and regardless of the settlement method, the observation period will be, “the 40 consecutive trading days beginning on and including the 42nd schedule trading day immediately […]

SFD 6/30/13

SFD Note … Two schools of thought (Merrill Lynch) SFD reports this morning. Bonds rallied both Monday and yesterday into this morning’s earnings – something we have not seen yet in 2013! I see two schools of thought for this bond going forward: 1)      The listed market is very high. The implied move for today […]

NTAP 5/1/13

2/19/13 NTAP 1.75%: decent buy vs the listed options vs. 36.50: 16.15-116.35 On my offer its 30.5% vol (even taking into account the 20d vwap averaging). I am selling Jun 31 strike for 36% vol and 32 strikes for 34.7% vol as a hedge. At 1.75 points of premium and 4vols lower implied than listed, […]

GM mandys 12/1/13

GM 4.5% mandys have a 40 day observation period  (the average of the closing prices per share of our common stock over the 40 consecutive trading day period ending on the third trading day immediately preceding the mandatory conversion date)

AXE averaging period (8/21/12)

Merrill Lynch AXE 1% note on conversion/maturity – bonds are net share settled with a 20-day VWAP averaging perid starting BEFORE maturity 1/18/13-2/15/13. You will get the last coupon if you convert between the final record and pay dates. Bonds still model cheap but losing the 20 days prior to maturity for conversion period is […]

Citi Mandy Averaging Period December 2012

Citigroup had mandys with an averaging period from 11/14/12 to 12/11/12 (maturity 12/15/12). From an arb perspective, once the averaging period starts you have to make sure that you are short enough stock since you will be getting stock for your mandy. You probably come in short some stock (0.65 per) but at some point […]