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The aim of the course is to provide an overview of the convertible bond market.
Learning Outcomes
By the end of the session the participant will be able to:
- Describe the main types of convertible bond.
- Define the key terminology associated with convertible bonds.
- Explain intuitively how convertible bonds are valued.
- Outline several investing and trading applications.
Who should attend?
The course assumes a working knowledge of bond theory (e.g. price, yield) as well as fundamental option terminology (e.g. calls and puts). An understanding of swaps would also be useful.
Would be suitable for someone new to the convertibles function or an individual seeking to transition. Would also be relevant for individuals whose job supports the convertible function such as technology and middle office.
Certification and Programme Recognition
This course is certified by ICMA and the ICMA Centre, Henley Business School, University of Reading.
ICMA recommends that 20 learning hours can be associated with this course, based on attended/undertaken hours of study required to successfully complete the learning outcomes.
A Certificate of Attendance will be awarded to those who meet the minimum attendance requirements for this course.
ICMA is a member of the CPD® Certification Service and approved by the Securities & Futures Commission of Hong Kong as provider of Continuous Professional Training (CPT).
Please note that your course certificate of attendance or completion should be sufficient to satisfy any professional development requirements – if you require further evidence, please contact us at education@icmagroup.org.
Course Trainer
Neil Schofield
The syllabus is divided into several topic areas, which are then broken down into multiple subtopics:
What is a convertible?
- How big is the convertible bond market?
- Why the fundamental definition of a convertible bond is wrong
- Corporate bond + equity call option
- Key terminology
- Parity
- Conversion ratio
- Premium
- Bond floor
- Overview of different types of convertible bond
- Exchangeable
- Mandatory
- Contingent
Structuring a convertible bond
- Why the convertible bond is ‘the instrument of least regret’
- Convertible bonds vs. other forms of debt
- How to build a convertible bond from first principles
- Maturity
- Non-par redemption amount
- Conversion premium
- Issuer calls and investor puts
- Ratchet option
Convertible bond valuation – an intuitive overview
- Understanding the price behaviour of convertible bonds
- Delta and rho
- Convertible bond sensitivities
- Factors influencing the bond
- Factors influencing the option
- Binomial vs. Exchange option approaches to valuation
Applications
- Equity switching strategies
- Vega and gamma trading
- Including default swaps to hedge the credit exposure
- Asset swapped convertibles (‘ASCOTS’)
- Using Mandatory convertibles for yield enhancement
Livestreamed Course
ICMA courses are delivered via video conferencing accessed on our digital learning platform, using the most effective pedagogical approaches and incorporating interactive functions like virtual breakout rooms.
The Convertible Bonds live sessions are delivered in four 3.5 hour sessions over the course of two weeks. You will be given access to the course materials before the live sessions, and will have access to those for a total of three months from the first live session. During these three months you will have the option to keep working through the course materials at your own pace.
Livestreamed course fees
Members: EUR 2,100 + VAT (if applicable)
Non-members: EUR 2,400 + VAT (if applicable)
For security reasons, delegates who have not registered in advance will not be admitted to the live sessions.
Please note:
- All payments must be made in Euro.
Contact
Should you have any queries, please contact education@icmagroup.or
