Home

MOVERS AND SHAKERS

01 August 2019

Highlighting Significant Price Moves

In this note, we attempt to highlight some of the more significant movements in the convertible market over the past month. We base our analysis on the universe of more liquid convertibles in each of the three main regions, for which we consider convertibles with a principal amount outstanding of at least $150mn or equivalent.

In the first set of tables, we highlight for each region the largest price moves in percentage terms, over the month, which could be considered analogous to the price return of a long-only holding of a position in the respective instrument.

Top 10 Convertible Price Increases

Name Price Last month Change Eqy Chg
Vodafone 1.500% 12-Mar-2022 116.7 100.5 16.1% 16.1%
Vodafone 1.200% 12-Mar-2021 115.2 99.4 15.9% 16.1%
Vallourec 4.125% 04-Oct-2022 6.2 5.6 11.7% 24.1%
Sibanye Gold 1.875% 26-Sep-2023 107.3 98.0 9.5% 8.7%
AMS 0.875% 28-Sep-2022 87.0 80.3 8.4% 37.1%
Impala Platinum 6.375% 07-Jun-2022 16075.0 14825.0 8.4% 10.5%
Polyus 1.000% 26-Jan-2021 115.6 107.6 7.4% 10.3%
AMS 0.000% 05-Mar-2025 74.8 69.9 7.0% 37.1%
MTU Aero 0.125% 17-May-2023 185.6 173.7 6.8% 8.1%
Ubisoft 0.000% 27-Sep-2021 78.8 73.7 6.8% 8.6%
Name Price Last month Change Eqy Chg
Karyopharm Therapeutics 3.000% 15-Oct-2025 87.6 63.5 38.0% 47.1%
Gol Linhas 3.750% 15-Jul-2024 129.6 107.2 20.9% 27.3%
Unisys Corp 5.500% 01-Mar-2021 146.0 122.9 18.9% 27.5%
RingCentral 0.000% 15-Mar-2023 178.1 150.4 18.4% 23.5%
NIO 4.500% 01-Feb-2024 57.8 49.3 17.4% 36.1%
Inphi Corp 1.125% 01-Dec-2020 155.1 134.5 15.3% 20.2%
Chegg 0.250% 15-May-2023 174.4 153.4 13.7% 16.4%
Teradyne 1.250% 15-Dec-2023 183.5 162.5 12.9% 16.3%
Qudian 1.000% 01-Jul-2026 115.1 102.1 12.8% 21.9%
FTI Consulting 2.000% 15-Aug-2023 121.0 107.4 12.7% 24.6%
Name Price Last month Change Eqy Chg
Lenovo 3.375% 24-Jan-2024 115.8 109.7 5.6% 5.1%
Sony Corp 0.000% 30-Sep-2022 136.3 129.4 5.3% 9.2%
GMO Payment Gateway 0.000% 19-Jun-2023 127.2 121.4 4.8% 7.6%
Cromwell Property 2.500% 29-Mar-2025 105.4 101.6 3.7% 2.2%
SMIC 2.000% Perp 85.2 83.1 2.6% 6.8%
Zhongsheng 0.000% 23-May-2023 104.8 102.2 2.6% 1.1%
Japan Airport Terminal 0.000% 06-Mar-2020 102.1 99.5 2.6% -1.4%
Xero 2.375% 04-Oct-2023 118.4 115.6 2.5% 8.3%
UMC 0.000% 18-May-2020 FX-Linked $-settled 102.8 100.8 2.0% -1.1%
CyberAgent 0.000% 19-Feb-2025 107.1 105.0 2.0% 13.2%

Top 10 Convertible Price Decreases

Name Price Last month Change Eqy Chg
Intu 2.875% 01-Nov-2022 70.0 84.2 -16.9% -37.3%
Hurricane Energy 7.5% 24-Jul-2022 129.2 145.5 -11.2% -17.1%
Qiagen 0.875% 19-Mar-2021 136.1 145.6 -6.5% -7.0%
Kering / Artemis 0.000% 31-Mar-2023 130.2 136.8 -4.8% -9.7%
Genfit 3.500% 16-Oct-2022 26.7 28.0 -4.6% -8.6%
Fugro 4.000% 26-Oct-2021 83.2 86.5 -3.8% -2.1%
Sika 0.150% 05-Jun-2025 109.1 113.1 -3.6% -13.6%
Subsea 7 / Siem Ind 2.250% 02-Jun-2021 123.0 127.3 -3.4% -7.0%
Siemens 1.650% 16-Aug-2019 B+W (exch) 104.1 107.6 -3.3% -5.4%
Severstal 0.000% 16-Feb-2022 119.4 123.4 -3.2% -4.5%
Name Price Last month Change Eqy Chg
Rayonier Advanced Materials 8.000% 15-Aug-2019 PEPS A 36.4 52.2 -30.2% -28.4%
LendingTree 0.625% 01-Jun-2022 165.2 208.8 -20.9% -23.2%
Chesapeake Energy 4.500% Perp Pfd 43.8 53.2 -17.6% -7.2%
Illumina 0.500% 15-Jun-2021 133.3 154.7 -13.8% -18.7%
Aurora Cannabis 5.500% 28-Feb-2024 106.3 122.0 -12.9% -20.2%
Canopy Growth 4.250% 15-Jul-2023 116.5 133.3 -12.6% -18.2%
Aphria 5.250% 01-Jun-2024 79.3 89.8 -11.7% -23.3%
Intercept Pharmaceuticals 2.000% 15-May-2026 88.2 99.5 -11.3% -21.0%
Allegheny Technologies 4.750% 01-Jul-2022 167.3 187.0 -10.6% -13.6%
Chesapeake Energy 5.500% 15-Sep-2026 71.6 80.1 -10.6% -7.2%
Name Price Last month Change Eqy Chg
SBI Holdings 0.000% 14-Sep-2022 153.3 163.8 -6.4% -6.5%
Asia Cement 0.000% 21-Sep-2023 FX-Linked $-settled 111.9 118.4 -5.5% -12.1%
Country Garden Holdings 4.500% 05-Dec-2023 117.4 123.6 -5.1% -10.1%
Larsen & Toubro 0.675% 22-Oct-2019 102.1 106.6 -4.2% -10.7%
Toray 0.000% 31-Aug-2021 109.7 114.4 -4.1% -8.1%
Top Glove 2.000% 01-Mar-2024 98.4 101.1 -2.6% -7.5%
Keihan Holdings 0.000% 30-Mar-2021 103.5 106.1 -2.4% -5.6%
Fortescue Metals / Valin 0.000% 15-Nov-2021 135.9 139.1 -2.3% -7.6%
CRRC 0.000% 05-Feb-2021 97.8 100.1 -2.3% -5.2%
SBI Holdings 0.000% 13-Sep-2023 107.4 109.9 -2.2% -6.5%


In the following set of tables, we highlight the most significant absolute changes in the US dollar market value of the convertible instruments. These are the convertibles that we expect will have contributed to the greatest extent to the change in value of the market, or any similarly market value-weighted long-only portfolio, over the month. The change in MV is calculated on the basis of the end-of-month principal amount outstanding, in order to exclude any intra-month changes in the principal amount.

Top 10 Convertible Market Value Increases

Name MV/US$mn Last month Change
Vodafone 1.500% 12-Mar-2022 2457.9 2199.3 258.6
Vodafone 1.200% 12-Mar-2021 2427.2 2175.2 251.9
MTU Aero 0.125% 17-May-2023 1021.1 977.6 43.5
UniCredit / BoNY Euribor +450 bps 15-Dec-2050 1905.7 1864.1 41.6
Sibanye Gold 1.875% 26-Sep-2023 412.1 376.3 35.8
Ubisoft 0.000% 27-Sep-2021 640.9 613.4 27.5
Impala Platinum 6.375% 07-Jun-2022 368.6 341.8 26.9
STMicroelectronics 0.250% 03-July-2024 884.6 860.4 24.2
AMS 0.875% 28-Sep-2022 278.7 257.1 21.5
Vallourec 4.125% 04-Oct-2022 251.3 230.1 21.2
Name MV/US$mn Last month Change
Microchip 1.625% 15-Feb-2025 3307.7 3048.7 259.0
Microchip 1.625% 15-Feb-2027 2643.0 2443.8 199.1
Bank of America 7.250% Perp Pfd L 4362.3 4224.2 138.1
Novellus Systems (Lam Research) 2.625% 15-May-2041 1368.0 1235.5 132.5
RingCentral 0.000% 15-Mar-2023 819.2 691.8 127.4
Atlassian 0.625% 01-May-2023 1804.8 1702.5 102.3
Twitter 0.250% 15-Jun-2024 1226.0 1125.7 100.3
Wells Fargo (Wachovia) 7.500% Perp Pfd L 5521.6 5422.3 99.3
Teradyne 1.250% 15-Dec-2023 844.0 747.4 96.5
Gol Linhas 3.750% 15-Jul-2024 550.9 455.8 95.0
Name MV/US$mn Last month Change
Sony Corp 0.000% 30-Sep-2022 1505.9 1440.6 65.3
Lenovo 3.375% 24-Jan-2024 781.8 740.2 41.6
Zhongsheng 0.000% 23-May-2023 629.5 614.9 14.6
SMIC 2.000% Perp 481.6 469.3 12.3
Xero 2.375% 04-Oct-2023 355.3 346.7 8.5
GMO Payment Gateway 0.000% 19-Jun-2023 199.1 191.5 7.6
Haitong International 0.000% 25-Oct-2021 501.1 493.8 7.3
SMIC 0.000% 07-Jul-2022 488.8 482.8 6.0
Vingroup 3.500% 14-Jun-2023 498.9 493.1 5.9
China Education Group 2.000% 28-Mar-2024 332.0 328.2 3.8

Top 10 Convertible Market Value Decreases

Name MV/US$mn Last month Change
Bayer 5.625% 22-Nov-2019 PEPS 3346.2 3500.9 -154.7
Sika 0.150% 05-Jun-2025 1818.2 1913.8 -95.6
Intu 2.875% 01-Nov-2022 321.5 402.0 -80.5
KPN / America Movil 0.000% 28-May-2020 3334.2 3400.5 -66.3
Siemens 1.650% 16-Aug-2019 B+W (exch) 1361.3 1408.3 -47.0
Kering / Artemis 0.000% 31-Mar-2023 543.8 584.3 -40.4
Ageas / Fortis CASHES 3M Euribor +200 bps Perp 770.2 809.0 -38.8
Hurricane Energy 7.5% 24-Jul-2022 297.3 334.7 -37.4
Total 0.500% 02-Dec-2022 1257.6 1291.4 -33.8
Steinhoff 1.250% 11-Aug-2022 1190.2 1223.5 -33.3
Name MV/US$mn Last month Change
DISH Network 3.375% 15-Aug-2026 2756.5 2924.1 -167.5
LendingTree 0.625% 01-Jun-2022 495.6 626.4 -130.9
Illumina 0.500% 15-Jun-2021 690.1 800.7 -110.7
Chesapeake Energy 5.500% 15-Sep-2026 894.7 1000.8 -106.1
Avantor 6.250% 15-May-2022 PEPS A 1279.3 1368.5 -89.2
Canopy Growth 4.250% 15-Jul-2023 532.3 611.9 -79.5
Fortive 5.000% 01-Jul-2021 PEPS A 1348.9 1422.8 -73.9
Illumina 0.000% 15-Aug-2023 811.5 869.2 -57.7
Allegheny Technologies 4.750% 01-Jul-2022 480.8 537.6 -56.8
Blackberry 3.750% 13-Nov-2020 (Exch) 640.5 696.5 -56.0
Name MV/US$mn Last month Change
Country Garden Holdings 4.500% 05-Dec-2023 1173.8 1238.8 -64.9
Toray 0.000% 31-Aug-2021 505.2 530.8 -25.6
China Evergrande 4.250% 14-Feb-2023 2140.3 2162.3 -22.0
SBI Holdings 0.000% 14-Sep-2022 235.6 253.5 -17.9
Cosmo Energy Holdings 0.000% 05-Dec-2022 574.4 589.5 -15.1
SBI Holdings 0.000% 13-Sep-2023 494.8 509.8 -15.0
Haier Electronics / Qingdao Haier 0.000% 21-Nov-2022 1012.7 1027.7 -15.0
Zhejiang Expressway 0.000% 21-Apr-2022 403.1 415.5 -12.4
Fortescue Metals / Valin 0.000% 15-Nov-2021 482.0 493.4 -11.4
Ping An / JP Morgan 0.000% 30-Dec-2020 685.1 695.9 -10.8

Philip Kramer, CFA
+44 20 8081 3775
philip.kramer@fisglobal.com
Tatyana Hube, CFA
+1 646 445 8334
tatyana.hube@fisglobal.com
Will Weichhart
+44 20 8081 2078
william.weichhart@fisglobal.com
Monis Data
+44 20 8081 2700
monis.data@fisglobal.com

Copyright © 2019 by Fidelity National Information Services, Inc. and/or its subsidiaries ("FIS"). This document is copyrighted with all rights reserved. No part of this document may be reproduced, transcribed, transmitted, stored in an electronic retrieval system, or translated into any language in any form by any means without the prior written permission of FIS. Except as set out in the contract your company has with FIS, in no event shall FIS be liable for damages of any kind arising out of the use of this document.