9/18/12 Ctrip.com (CTRP)
$140m (+20m) sen unsec cb coming overnight from JPM. Terms: 5yr, 0-1% up 10-15%, 3yr put, full pctns. UOP=hedge/gcp. Btw reverse merger mess (SDTH, CMED, AOB, TRE, etc) & the performance of HMIN on way down (another Chinese cb into adr) this is a hard sell. Don’t get us wrong, this is a legitimate business like HMIN but you are long equity with no recovery (Cayman listing w/assets in China) 50% hedge then 3m shares needed to hedge (65d), so brw already is off top (we were using -1% blend) & would get worse on way down. How would you define a credit w/zero recovery so we won’t use model +ve = co is buying $40m but not obvious equity switch. (low coupon). We need paper but this one is too risky for us. Equity guys may play but a rough hedge set up.