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An Introduction to Convertible Bond Asset Swaps

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An Introduction to Convertible Bond Asset Swaps Barclays Capital An Introduction to Convertible Bond Asset Swaps Convertible Bond Research 8 August 2002 Quantitative Research As the growth in the market for convertible bonds continues across the globe, the Luke Olsen Convertible Bond Asset Swap has become an increasingly popular mechanism to +44 (0)20 7773 8310 [email protected] match the specific risk-reward requirements of investors to the many properties of a convertible bond. Convertible Research Douglas Decker, CFA A Convertible Bond Asset Swap (CBAS) separates the convertible bond into two +44 (0)20 7773 8302 [email protected] distinct components, a Convertible Bond Option (CBO) and a Callable Asset Swap (CAS), with notably different characteristics. The Convertible Bond Option retains the Haidje Rustau “optionality” of the convertible bond and, as such, is aimed at investors who are +44 (0)20 7773 8301 [email protected] predominantly interested in the embedded equity option of a convertible bond. The Callable Asset Swap would be of particular interest to investors who wish to invest in Judy Ho the credit of the convertible bond issuer without the risk associated with the underlying +44 (0)20 7773 9682 [email protected] equity. Convertible Bond Sales This report aims to introduce the reader to the convertible bond asset swap and to Karam Deol explain both its structure as well as the advantages and risks of entering into such a +44 (0)20 7773 8320 [email protected] transaction. It is assumed that the reader is familiar with convertible bonds and their properties, although we recommend the Barclays Capital publication, Convertible Alan Welch Bonds: A Technical Introduction, for those wishing to review. +44 (0)20 7773 8320 [email protected] For further information on convertible bond asset swaps and on the services provided by Barclays Capital, please visit our website at www.barcap.com/cbonds. Table of Contents Introduction 3 Key Features of Convertible Bond Asset Swaps 3 Why Do Fixed Income Investors Enter into Callable Asset Swaps? 4 Who is a Typical Callable Asset Swap Investor? 4 Why Do Equity Derivative Investors Purchase Convertible Bond Options? 4 Who is a Typical Convertible Bond Option Holder? 4 The Mechanics of a Convertible Bond Asset Swap 5 Callable Asset Swap 5 Convertible Bond Option 9 Why Would the Option Holder Exercise Their Option? 11 Protection for the CAS Investor From Immediate Exercise of the CBO 11 Intrinsic Value of the Convertible Bond Asset Swap 13 Callable Asset Swap 13 Convertible Bond Option 13 Market Sensitivities of the Convertible Bond Asset Swap 14 Equity Price Sensitivity 14 Equity Volatility 15 Default Risk of the Issuer – Credit Spread 15 Credit Spread Volatility 15 Interest Rates (Risk Free) 16 Summary 17 Glossary 18 2 Convertible Bond Research Barclays Capital Introduction Key Features of Convertible Bond Asset Swaps The convertible bond • The convertible bond is split into a fixed income component, the callable asset asset swap separates swap (CAS), and an option to buy the convertible bond (CBO). a convertible bond into • The CAS is created when the fixed income investor buys the convertible bond, two separate sells an option to repurchase the bond and enters into an interest rate swap to components, a fixed exchange the fixed coupons for floating coupons of LIBOR plus a credit spread. income component This transaction results in a structure where cash flows due to the investor are and an option to equivalent to a callable floating rate note. The callable nature of the structure purchase the removes the sensitivity to the underlying equity of the convertible bond and convertible bond enables the investor to receive a higher spread over LIBOR than would be achieved in a conventional non-callable asset swap on a straight bond. • The CBO holder is the owner of an option to purchase the convertible bond at a price equivalent to the value of the fixed income component of a convertible bond with a specified credit spread. This convertible bond option is not just an option on the underlying equity but on the convertible bond itself, so its value depends on the factors that influence the price of the convertible. However, the option holder is protected against adverse movements in the convertible bond over and above the option premium. • The CBAS is structured to mature at either the maturity of the convertible bond or, if the convertible bond can be “put” back to the issuer for early redemption, then to the next “put” date. • Convertible bonds that are suitable for structuring as a CBAS typically have between six months and five years remaining to the first put date or maturity. • To ensure the CAS investor receives a minimum return from their investment, a “make whole” penalty may be included to discourage the CBO holder from exercising their option before a set date. • Market convention when quoting the price of a CBAS is to quote the spread over LIBOR that the CAS investor would receive. This also applies to the convertible bond option where the spread is used to determine the strike price at which the convertible bond can be repurchased. The bid is the spread over LIBOR at which an investor is willing to buy the credit (enter into a CAS). The offer is the spread at which the CBO holder is willing to offer the credit. • The CBAS can only be terminated early if the option holder exercises their right to repurchase the convertible bond. If a CAS investor wishes to flatten the position before termination, the investor could enter into an opposite CBAS transaction, effectively netting the two positions. • CBAS are OTC structures, so while a standard structure is generally followed, the terms and conditions can be tailored for each convertible issue or investor. Barclays Capital Convertible Bond Research 3 Why Do Fixed Income Investors Enter into Callable Asset Swaps? CAS investors are able • Due to supply and demand imbalances, many convertible bond issues trade at to receive a higher higher implied spreads over LIBOR than equivalent issues within the straight yield than both corporate bond and / or credit default swap markets. The CAS allows fixed straight and income investors to profit from this market anomaly. convertible bonds • The investor realises a higher yield on a CAS investment versus the convertible bonds due to the compensation received for the call option that they have sold to the CBO holder. The yield pick-up depends upon the credit risk and volatility of the issuer’s credit. • Convertible bonds generally have a different maturity profile versus straight bonds of the same issuer, offering a diversification benefit along the yield curve. • The CAS may offer diversification by sector, country and credit quality not available via the straight corporate bond market. • Fixed income investors can benefit from their unique credit insights for an issuer without taking the equity risk inherent in convertibles. • Some fixed income funds have mandates that forbid any investment in equity- related products. By removing the equity risk, a CAS allows investors to isolate the fixed income component of the convertible bonds. Who is a Typical Callable Asset Swap Investor? • Commercial banks; • Money market funds; • Insurance companies; • Fixed income bond funds; • Pension funds; and • Investment banks. Why Do Equity Derivative Investors Purchase Convertible Bond Options? CBO investors are able • The credit risk of the issuer is mitigated / hedged. to limit their exposure • The convertible bond option buyer may take a view on either the underlying to the credit risk of the equity or the volatility of the equity. convertible bond issuer • Downside is limited to the option premium paid when purchasing the CBO. • Buyers of the CBO may have more expertise in equity derivatives than credit analysis and hence seek to isolate the equity component. • The CBO investor must only finance the cost of the convertible bond option rather than the whole convertible bond position. This can allow far greater leverage for an investor than by owning the convertible bonds outright. Who is a Typical Convertible Bond Option Holder? • Hedge funds; • Mutual funds; • Equity / warrant funds; • Investment trusts; and • Trading desks. 4 Convertible Bond Research Barclays Capital The Mechanics of a Convertible Bond Asset Swap Callable Asset Swap The CAS is structured Initialisation of the Trade to represent a callable In a Callable Asset Swap, the CAS investor enters into the following transaction (see floating rate note Figure 1): paying LIBOR plus a spread • Pay par and receive the convertible bond. • Enter into an interest rate swap whereby they receive LIBOR + the agreed spread on par (the floating leg) and pay the fixed coupon from the convertible bond. The value of LIBOR used for the floating leg is typically set at the beginning of a three-month period, for payment at the end of the period. • Write to the counterparty an option to repurchase the convertible bonds at par, adjusted for the accrued floating leg and the mark-to-market value of the interest rate swap (see later). Figure 1: Initial Transaction in a Callable Asset Swap Par (100%) Callable Asset Convertible Bond Barclays Swap Bank PLC Investor CB Option Source: Barclays Capital. The CAS investor Cash Flows for the Duration of the Trade swaps the coupons Over its lifetime, the Callable Asset Swap investor will pay / receive the following cash from the convertible flows (see Figure 2): bond for payments of LIBOR plus the agreed • Receive the fixed coupons from the convertible bond. spread • As part of the interest rate swap, receive floating payments of LIBOR + Spread and pay the fixed coupons from the convertible bond. Figure 2: Cash Flows Throughout the Duration of a Callable Asset Swap. Fixed Coupons Callable Asset Barclays Swap Bank PLC Investor Floating Leg, LIBOR +Credit Spread Fixed Coupons Convertible Bond Source: Barclays Capital.
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