Question
Consider the following hypothetical convertible bond: Par Value = $1,000 Coupon Rate = 9.5% Market Price of convertible bond = $1,000 Conversion ratio = 37.383
Consider the following hypothetical convertible bond:
Par Value = $1,000
Coupon Rate = 9.5%
Market Price of convertible bond = $1,000
Conversion ratio = 37.383
Estimated straight value of bond = $510
Yield to maturity of the straight bond = 18.7%
Assume that the price of the common stock is $23 and that the dividend per share is $0.75 per year.
Calculate each of the following:
Conversion value
Market conversion price
Conversion premium per share
Conversion premium ratio
Premium over straight value
Premium payback period
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Advances In Financial Machine Learning
Authors: Marcos Lopez De Prado
1st Edition
1119482089, 978-1119482086
