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Actionable Convertible Events

6 August 2019

Highlighting Notable Events

In this monthly report, we attempt to highlight the most significant events as they relate to the convertible bond market. We highlight events for those issues in the global convertible market with a principal amount outstanding of at least $150mn or equivalent. We have considered those events for which significant date(s) are expected to, or could potentially, occur within the next 90 days.

The first table presents an aggregated timeline of the key dates for relevant convertible and underlying equity events for the Americas and non-Americas regions respectively. In the subsequent tables, we include greater detail for those convertible instrument specific events, including issuer soft calls, other hard and clean-up calls, investor puts, instrument maturities/expiries and conversion price resets.

Aggregated Timeline of Events

Date Event Name Comment
07-Aug-19 dividend Affiliated Managers Group 5.150% 15-Oct-2037 Pfd AMG goes ex USD 0.32 per share
08-Aug-19 dividend American Electric Power 6.125% 15-Mar-2022 PEPS AEP goes ex USD 0.67 per share
08-Aug-19 dividend Pandora Media (Sirius XM) 1.750% 01-Dec-2023 (Exch) SIRI goes ex USD 0.0121 per share
08-Aug-19 dividend Sirius XM/Liberty Media 2.125% 31-Mar-2048 SIRI goes ex USD 0.0121 per share
08-Aug-19 dividend Wells Fargo (Wachovia) 7.500% Perp Pfd L WFC goes ex USD 0.51 per share
09-Aug-19 dividend Hercules Capital 4.375% 01-Feb-2022 HTGC goes ex USD 0.02 per share
09-Aug-19 dividend Hercules Capital 4.375% 01-Feb-2022 HTGC goes ex USD 0.32 per share
09-Aug-19 dividend Macquarie Infrastructure 2.000% 01-Oct-2023 MIC goes ex USD 1 per share
14-Aug-19 dividend CenterPoint Energy 7.000% 01-Sep-2021 PEPS B CNP goes ex USD 0.2875 per share
14-Aug-19 dividend Colony Starwood (Invitation Homes) 3.500% 15-Jan-2022 INVH goes ex USD 0.13 per share
14-Aug-19 dividend iStar 3.125% 15-Sep-2022 STAR goes ex USD 0.1 per share
14-Aug-19 dividend iStar Financial 4.500% Perp Pfd STAR goes ex USD 0.1 per share
15-Aug-19 dividend Aqua America 6.000% 30-Apr-2022 PEPS WTR goes ex USD 0.2343 per share
15-Aug-19 Maturity Herbalife 2.000% 15-Aug-2019 Maturity date
15-Aug-19 Maturity Empire State Realty 2.625% 15-Aug-2019 Maturity date
15-Aug-19 Maturity Dominion Energy 6.750% 15-Aug-2019 PEPS Mandatory conversion
15-Aug-19 Maturity Rayonier Advanced Materials 8.000% 15-Aug-2019 PEPS A Mandatory conversion
19-Aug-19 dividend Bunge 4.875% Perp Pfd BG goes ex USD 0.5 per share
19-Aug-19 dividend Energizer Holdings 7.500% 15-Jan-2022 PEPS ENR goes ex USD 0.3 per share
21-Aug-19 dividend Expedia / Liberty Expedia 1.000% 30-Jun-2047 EXPE goes ex USD 0.34 per share
23-Aug-19 dividend Assurant 6.500% 15-Mar-2021 PEPS D AIZ goes ex USD 0.6 per share
28-Aug-19 dividend NextEra Energy 6.123% 01-Sep-2019 PEPS NEE goes ex USD 1.25 per share
28-Aug-19 dividend Voya Finl / BAML 0.250% 01-May-2023 VOYA goes ex USD 0.15 per share
28-Aug-19 dividend Voya Finl / DB 1.000% 01-May-2023 VOYA goes ex USD 0.15 per share
28-Aug-19 dividend Voya Finl / JPM 0.250% 01-May-2023 VOYA goes ex USD 0.15 per share
28-Aug-19 dividend Voya Finl / JPM 0.250% 01-May-2023 2 VOYA goes ex USD 0.15 per share
29-Aug-19 dividend MGIC Investment 9.000% 01-Apr-2063 MTG goes ex USD 0.06 per share
29-Aug-19 dividend Prospect Capital 4.750% 15-Apr-2020 PSEC goes ex USD 0.06 per share
29-Aug-19 dividend Prospect Capital 4.950% 15-Jul-2022 PSEC goes ex USD 0.06 per share
29-Aug-19 dividend Prospect Capital 6.375% 01-Mar-2025 PSEC goes ex USD 0.06 per share
29-Aug-19 dividend TPG Specialty Lending 4.500% 01-Aug-2022 TSLX goes ex USD 0.04 per share
30-Aug-19 dividend Stanley Black & Decker 5.375% 15-May-2020 PEPS C SWK goes ex USD 0.69 per share
01-Sep-19 Maturity NextEra Energy 6.123% 01-Sep-2019 PEPS Mandatory conversion
04-Sep-19 dividend Rovi (TiVo) 0.500% 01-Mar-2020 TIVO goes ex USD 0.08 per share
05-Sep-19 dividend Bank of America 7.250% Perp Pfd L BAC goes ex USD 0.18 per share
05-Sep-19 dividend Dominion Energy 7.250% 01-Jun-2022 PEPS A D goes ex USD 0.9175 per share
06-Sep-19 dividend Becton Dickinson 6.125% 01-May-2020 PEPS BDX goes ex USD 0.77 per share
09-Sep-19 dividend Wellpoint (Anthem) 2.750% 15-Oct-2042 ANTM goes ex USD 0.8 per share
09-Sep-19 dividend South Jersey Industries (SJI) 7.250% 15-Apr-2021 PEPS SJI goes ex USD 0.2875 per share
09-Sep-19 dividend Scorpio Tankers 3.000% 15-May-2022 (Exch) STNG goes ex USD 0.1 per share
10-Sep-19 dividend Nabors Industries 0.750% 15-Jan-2024 NBR goes ex USD 0.01 per share
10-Sep-19 dividend Nabors Industries 6.000% 01-May-2021 PEPS A NBR goes ex USD 0.01 per share
12-Sep-19 dividend Conmed Corp 2.625% 01-Feb-2024 CNMD goes ex USD 0.2 per share
12-Sep-19 dividend TPG Specialty Lending 4.500% 01-Aug-2022 TSLX goes ex USD 0.39 per share
12-Sep-19 dividend World Wrestling Entertainment 3.375% 15-Dec-2023 WWE goes ex USD 0.12 per share
13-Sep-19 dividend Ares Capital 3.750% 01-Feb-2022 ARCC goes ex USD 0.02 per share
13-Sep-19 dividend Ares Capital 3.750% 01-Feb-2022 ARCC goes ex USD 0.4 per share
13-Sep-19 dividend Ares Capital 4.625% 01-Mar-2024 ARCC goes ex USD 0.02 per share
13-Sep-19 dividend Ares Capital 4.625% 01-Mar-2024 ARCC goes ex USD 0.4 per share
13-Sep-19 dividend DTE Energy 6.50% 01-Oct-2019 PEPS DTE goes ex USD 0.945 per share
13-Sep-19 dividend Gannett 4.750% 15-Apr-2024 GCI goes ex USD 0.16 per share
15-Sep-19 Maturity Twitter 0.250% 15-Sep-2019 A Maturity date
15-Sep-19 Put Ctrip.com International 1.250% 15-Sep-2022 Next Put Date.
19-Sep-19 dividend Turning Point Brands 2.500% 15-Jul-2024 TPB goes ex USD 0.045 per share
27-Sep-19 dividend Element Financial 4.250% 30-Jun-2020 A Element Fleet goes ex CAD 0.045 per share
27-Sep-19 dividend Goldman Sachs BDC 4.5% 01-Apr-2022 GSBD goes ex USD 0.45 per share
27-Sep-19 dividend Osisko Gold Royalties 4.000% 31-Dec-2022 Osisko goes ex CAD 0.05 per share
01-Oct-19 Maturity Huron Consulting 1.250% 01-Oct-2019 Maturity date
01-Oct-19 Maturity DTE Energy 6.50% 01-Oct-2019 PEPS Mandatory conversion
03-Oct-19 dividend JP Morgan / Deutsche 1.000% 01-May-2023 JPM goes ex USD 0.9 per share
15-Oct-19 Maturity RTI International Metals (Arconic) 1.625% 15-Oct-2019 Maturity date
01-Nov-19 Maturity SolarCity 1.625% 01-Nov-2019 Maturity date
Date Event Name Comment
08-Aug-19 dividend BP 1.000% 28-Apr-2023 BP goes ex USD 0.1025 per share
08-Aug-19 dividend BT Group / Orange 0.375% 27-Jun-2021 BT Group plc goes ex GBP 0.1078 per share
13-Aug-19 dividend VEON (VimpelCom) / Telenor 0.250% 20-Sep-2019 VEON goes ex USD 0.13 per share
16-Aug-19 Maturity Siemens 1.650% 16-Aug-2019 B+W (exch) Bond Maturity date
19-Aug-19 dividend Technip 0.875% 25-Jan-2021 Technip goes ex USD 0.13 per share
29-Aug-19 dividend Tullow Oil 6.625% 12-Jul-2021 Tullow Oil goes ex USD 0.0235 per share
05-Sep-19 dividend Glencore 0.000% 27-Mar-2025 B+W Glencore goes ex USD 0.1 per share
10-Sep-19 Maturity BW LPG / BW 1.750% 10-Sep-2019 Maturity date
12-Sep-19 dividend Remy Cointreau / ORPAR 0.000% 20-Jun-2024 Remy goes ex EUR 2.65 per share
12-Sep-19 dividend Remy Cointreau 0.125% 07-Sep-2026 Remy goes ex EUR 2.65 per share
16-Sep-19 dividend STMicroelectronics 0.000% 03-July-2022 STM goes ex USD 0.06 per share
16-Sep-19 dividend STMicroelectronics 0.250% 03-July-2024 STM goes ex USD 0.06 per share
16-Sep-19 Put Redefine International 1.500% 16-Sep-2021 Next Put Date.
17-Sep-19 dividend Ence 1.250% 05-Mar-2023 Ence Energia goes ex EUR 0.51 per share
20-Sep-19 Maturity VEON (VimpelCom) / Telenor 0.250% 20-Sep-2019 Maturity date
24-Sep-19 Maturity Fresenius 0.000% 24-Sep-2019 Maturity date
27-Sep-19 dividend Ebro Foods / Damm 1.000% 01-Dec-2023 Ebro Foods goes ex EUR 0.19 per share
27-Sep-19 dividend Total 0.500% 02-Dec-2022 Total goes ex EUR 0.66 per share
03-Oct-19 dividend British Land 0.000% 09-Jun-2020 British Land goes ex GBP 0.079825 per share
03-Oct-19 Maturity Eurazeo / Credit Agricole 0.000% 03-Oct-2019 Maturity date
Date Event Name Comment
08-Aug-19 dividend Haier Smart Home [Qingdao Haier] 0.200% step-up 18-Dec-2024 Haier goes ex CNY 0.351 per share
08-Aug-19 dividend Shanghai Electric 0.200% step-up 01-Feb-2021 Shanghai Elect goes ex CNY 0.06146 per share
09-Aug-19 Put PSBC Postal Savings Bk China / Shanghai Port 0.000% 09-Aug-2021 Next Put Date.
11-Aug-19 Put Sunshine 100 6.500% 11-Aug-2021 Next Put Date.
12-Aug-19 dividend Guotai Junan 0.200% step-up 07-Jul-2023 Guotai Junan goes ex CNY 0.275 per share
13-Aug-19 dividend Taiwan Cement 0.000% 10-Dec-2023 FX-Linked $-settled Taiwan Cement goes ex TWD 3.30513 per share
29-Aug-19 dividend DCM Holdings 0.000% 21-Dec-2020 DCM goes ex JPY 14 per share
29-Aug-19 dividend Takashimaya 0.000% 06-Dec-2028 Takashimaya goes ex JPY 12 per share
29-Aug-19 dividend Takashimaya 0.000% 11-Dec-2020 Takashimaya goes ex JPY 12 per share
30-Aug-19 Maturity Toray 0.000% 30-Aug-2019 Maturity date
30-Aug-19 Maturity H.I.S. 0.000% 30-Aug-2019 Maturity date
13-Sep-19 Maturity AEON Financial Service 0.000% 13-Sept-2019 Maturity date
18-Sep-19 Reset China YuHua Education 3.000% 16-Jan-2020 Next reset date
23-Sep-19 Put Beijing Enterprises Water / Khazanah 0.000% 23-Sep-2021 Next Put Date. Need to have given notice by 24-Aug-19.
27-Sep-19 dividend MIRAIT 0.000% 30-Dec-2021 MIRAIT goes ex JPY 20 per share
27-Sep-19 dividend Shimizu Corp 0.000% 16-Oct-2020 Shimizu goes ex JPY 8 per share
27-Sep-19 dividend Shimizu Corp 0.000% 16-Oct-2020 Shimizu goes ex JPY 10 per share
27-Sep-19 dividend Kandenko 0.000% 31-Mar-2021 Kandenko goes ex JPY 2 per share
27-Sep-19 dividend Kandenko 0.000% 31-Mar-2021 Kandenko goes ex JPY 13 per share
27-Sep-19 dividend Nippon Flour Mills 0.000% 20-Jun-2025 Nippon Flour goes ex JPY 16 per share
27-Sep-19 dividend Ezaki Glico 0.000% 30-Jan-2024 Glico goes ex JPY 30 per share
27-Sep-19 dividend Edion 0.000% 19-Jun-2025 Edion goes ex JPY 16 per share
27-Sep-19 dividend Iida Group 0.000% 18-Jun-2020 Iida goes ex JPY 31 per share
27-Sep-19 dividend Teijin 0.000% 10-Dec-2021 Teijin goes ex JPY 30 per share
27-Sep-19 dividend Toray 0.000% 31-Aug-2021 Toray Ind goes ex JPY 8 per share
27-Sep-19 dividend GMO Payment Gateway 0.000% 19-Jun-2023 GMO Payment goes ex JPY 35 per share
27-Sep-19 dividend Daio Paper Corp 0.000% 17-Sep-2020 Daio Paper goes ex JPY 5 per share
27-Sep-19 dividend Mitsubishi Chemical 0.000% 29-Mar-2024 Mitsubishi Chemical goes ex JPY 20 per share
27-Sep-19 dividend Mitsubishi Chemical 0.000% 30-Mar-2022 Mitsubishi Chemical goes ex JPY 20 per share
27-Sep-19 dividend Terumo Corp 0.000% 06-Dec-2021 Terumo goes ex JPY 14 per share
27-Sep-19 dividend Towa Pharmaceutical 0.000% 22-Jul-2022 Towa goes ex JPY 22 per share
27-Sep-19 dividend Kansai Paint Co Ltd 0.000% 17-Jun-2022 Kansai Paint goes ex JPY 15 per share
27-Sep-19 dividend ResortTrust 0.000% 01-Dec-2021 ResortTrust goes ex JPY 23 per share
27-Sep-19 dividend CyberAgent 0.000% 17-Feb-2023 CyberAgent goes ex JPY 33 per share
27-Sep-19 dividend CyberAgent 0.000% 19-Feb-2025 CyberAgent goes ex JPY 33 per share
27-Sep-19 dividend Sumitomo Metal Mining 0.000% 15-Mar-2023 Sumitomo Metal goes ex JPY 39 per share
27-Sep-19 dividend LIXIL 0.000% 04-Mar-2020 LIXIL goes ex JPY 35 per share
27-Sep-19 dividend LIXIL 0.000% 04-Mar-2022 LIXIL goes ex JPY 35 per share
27-Sep-19 dividend Sankyo Co Ltd 0.000% 23-Jul-2020 Sankyo goes ex JPY 75 per share
27-Sep-19 dividend Sony Corp 0.000% 30-Sep-2022 Sony goes ex JPY 20 per share
27-Sep-19 dividend Medipal Holdings 0.000% 07-Oct-2022 Medipal Holdings goes ex JPY 20 per share
27-Sep-19 dividend Toppan Printing 0.000% 19-Dec-2019 Toppan goes ex JPY 20 per share
27-Sep-19 dividend Nipro Corp 0.000% 29-Jan-2021 Nipro goes ex JPY 16 per share
27-Sep-19 dividend Toho Holdings 0.000% 23-Jun-2023 Toho goes ex JPY 5 per share
27-Sep-19 dividend Toho Holdings 0.000% 23-Jun-2023 Toho goes ex JPY 15 per share
27-Sep-19 dividend Yaoko 0.000% 20-Jun-2024 Yaoko goes ex JPY 30 per share
27-Sep-19 dividend The Gunma Bank Ltd 0.000% 11-Oct-2019 Gunma Bank goes ex JPY 6 per share
27-Sep-19 dividend Shizuoka Bank Libor-50bps 25-Jan-2023 Shizuoka Bank goes ex JPY 11 per share
27-Sep-19 dividend Shiga Bank 0.000% 23-Jun-2020 Shiga Bank goes ex JPY 17.5 per share
27-Sep-19 dividend Yamaguchi Financial Group LIBOR-50bp 26-Mar-2020 Yamaguchi goes ex JPY 12 per share
27-Sep-19 dividend T&D holdings Inc 0.000% 05-Jun-2020 TD Holdings goes ex JPY 22 per share
27-Sep-19 dividend Keihan Holdings 0.000% 30-Mar-2021 Keihan goes ex JPY 17.5 per share
27-Sep-19 dividend Mitsui OSK Lines 0.000% 24-Apr-2020 Mitsui OSK goes ex JPY 30 per share
27-Sep-19 dividend Chugoku Electric Power 0.000% 24-Jan-2020 Chugoku EP goes ex JPY 25 per share
27-Sep-19 dividend Chugoku Electric Power 0.000% 25-Jan-2022 Chugoku EP goes ex JPY 25 per share
27-Sep-19 dividend Chugoku Electric Power 0.000% 25-Mar-2020 Chugoku EP goes ex JPY 25 per share
27-Sep-19 dividend Tohoku Electric Power 0.000% 03-Dec-2020 Tohoku Electric goes ex JPY 20 per share
27-Sep-19 dividend Kyushu Electric Power 0.000% 31-Mar-2020 Kyushu Electric goes ex JPY 20 per share
27-Sep-19 dividend Kyushu Electric Power 0.000% 31-Mar-2022 Kyushu Electric goes ex JPY 20 per share
27-Sep-19 dividend Kyoritsu Maintenance 0.000% 31-Mar-2021 Kyoritsu goes ex JPY 22 per share
27-Sep-19 dividend Japan Airport Terminal 0.000% 04-Mar-2022 Japan Airport goes ex JPY 20 per share
27-Sep-19 dividend Japan Airport Terminal 0.000% 06-Mar-2020 Japan Airport goes ex JPY 20 per share
11-Oct-19 Maturity The Gunma Bank Ltd 0.000% 11-Oct-2019 Maturity date
21-Oct-19 Reset GS Engineering & Construction 4.500% 21-Jul-2021 Next reset date
22-Oct-19 Maturity Larsen & Toubro 0.675% 22-Oct-2019 Maturity date
25-Oct-19 Put Haitong International 0.000% 25-Oct-2021 Next Put Date. Need to have given notice by est. 25-Sep-19.
27-Oct-19 Reset No Va Land Investment 5.500% 27-Apr-2023 + TAP Next reset date
30-Oct-19 dividend Park24 0.000% 29-Oct-2025 Park24 goes ex JPY 70 per share
30-Oct-19 dividend H.I.S. 0.000% 15-Nov-2024 H.I.S. goes ex JPY 30 per share


Active Issuer Soft Calls Within 10% of Trigger

Here we have instruments with an "active" issuer soft call where parity is already above, or within 10% of, the call trigger. An active soft call is one for which the trigger condition is already being assessed-that is the grace period can be considered to have begun, assuming the issuer were to give the maximum number of days' notice and use the full extent of any delay in giving notice after the end of the grace period.

Name Potential Min Notice Given Next Earliest Call Date Last Date to Give Notice* Call Trigger % Parity Condition Satisfied? Comment
Bank of Ningbo 0.200% step-up 05-Dec-2023 06-Aug-19 06-Aug-19 12-Aug-19 130 126.9 15 out of 30 trading days 20 out of 30 Issuer can give min notice immediately
Ping An Bank 0.200% step-up 21-Jan-2025 09-Aug-19 09-Aug-19 120 114.8 15 out of 30 trading days No; 12 out of 25 Parity <5% from trigger
LONGi Green Energy Technology 0.300% step-up 02-Nov-2023 20-Aug-19 20-Aug-19 130 133.4 20 out of 30 trading days No; 10 out of 10 Parity currently above trigger
Swiss Re / ELM 3.250% 13-Jun-2024 07-Aug-19 22-Aug-19 30 86.8 1 consecutive trading days No Parity currently above trigger
AVIC Jonhon Optronic 0.200% step-up 05-Nov-2024 27-Aug-19 01-Sep-19 130 120.4 15 out of 30 trading days No Parity within 10% of trigger
Intel 3.250% 01-Aug-2039 06-Aug-19 05-Sep-19 20-Aug-19 150 232.7 20 out of 30 trading days 30 out of 30 Issuer can give min notice immediately
Insulet Corp 1.250% 15-Sep-2021 06-Aug-19 15-Sep-19 26-Aug-19 130 202.1 20 out of 30 trading days 30 out of 30 Issuer can give min notice immediately
Airbus 0.000% 01-Jul-2022 20-Aug-19 19-Sep-19 130 121.3 20 out of 30 trading days No; 10 out of 15 Parity within 10% of trigger
Haier Smart Home [Qingdao Haier] 0.200% step-up 18-Dec-2024 27-Aug-19 26-Sep-19 120 108.6 15 out of 30 trading days No Parity within 10% of trigger
LEG Immobilien 0.500% 01-Jul-2021 02-Sep-19 02-Oct-19 26-Aug-19 130 206.0 20 out of 30 trading days 30 out of 30 Trigger satisfied
Ubisoft 0.000% 27-Sep-2021 18-Sep-19 18-Oct-19 09-Aug-19 130 70.5 20 out of 40 trading days 24 out of 40 Trigger satisfied

*assuming parity were to immediately fall, and remain, below the trigger.


Upcoming Issuer Soft Calls

Instruments with an issuer soft call becoming "active" within the next 90 days, based on the earliest date on which the grace period could potentially begin.

Name Earliest Grace Period Start Earliest Notice Callable from Call Trigger Parity Condition Comment
Zheshang Securities 0.200% step-up 12-Mar-2025 07-Aug-19 18-Sep-19 19-Sep-19 130 66.2 15 out of 30 trading days Low probability; parity too low
Bank of Jiangsu 0.200% step-up 14-Mar-2025 08-Aug-19 19-Sep-19 20-Sep-19 130 90.5 15 out of 30 trading days Low probability; parity too low
SEB 0.000% 17-Nov-2021 08-Aug-19 03-Oct-19 17-Nov-19 130 136.2 20-day average Low probability; parity too low
Fugro 4.000% 26-Oct-2021 08-Aug-19 19-Sep-19 18-Nov-19 150 34.2 20 out of 30 trading days Low probability; parity too low
Haitong International 0.000% 25-Oct-2021 09-Aug-19 25-Sep-19 25-Oct-19 130 35.8 20 out of 30 trading days Low probability; parity too low
Tongwei 0.500% step-up 18-Mar-2025 12-Aug-19 21-Sep-19 22-Sep-19 130 112.0 15 out of 30 trading days Low probability; parity too low
Wuhu Token Sciences 0.400% step-up 18-Mar-2025 12-Aug-19 22-Sep-19 23-Sep-19 130 90.1 15 out of 30 trading days Low probability; parity too low
Hengtong Optic-Electric 0.300% step-up 19-Mar-2025 13-Aug-19 24-Sep-19 25-Sep-19 130 70.6 15 out of 30 trading days Low probability; parity too low
China Merchants Expressway 0.100% step-up 22-Mar-2025 19-Aug-19 29-Sep-19 30-Sep-19 130 90.8 15 out of 30 trading days Low probability; parity too low
Zillow Group 2.000% 01-Dec-2021 23-Aug-19 07-Oct-19 06-Dec-19 130 89.9 20 out of 30 trading days Low probability; parity too low
Venustech 0.400% step-up 27-Mar-2025 26-Aug-19 07-Oct-19 08-Oct-19 130 99.6 15 out of 30 trading days Low probability; parity too low
Shanghai Shyndec Pharmaceutical 0.200% step-up 01-Apr-2025 26-Aug-19 07-Oct-19 08-Oct-19 130 84.6 15 out of 30 trading days Low probability; parity too low
China Nuclear Engineering 0.200% step-up 08-Apr-2025 02-Sep-19 13-Oct-19 14-Oct-19 130 74.7 15 out of 30 trading days Low probability; parity too low
Jiangsu Dingsheng New Energy Materials 0.400% step-up 09-Apr-2025 02-Sep-19 14-Oct-19 15-Oct-19 130 70.0 15 out of 30 trading days Low probability; parity too low
China Railway Construction 1.500% 21-Dec-2021 $-settled 02-Sep-19 22-Oct-19 21-Dec-19 130 68.5 20 out of 30 trading days Low probability; parity too low
Henan Mingtai Al.Industrial 0.400% step-up 10-Apr-2025 03-Sep-19 15-Oct-19 16-Oct-19 130 89.7 15 out of 30 trading days Low probability; parity too low
China National Nuclear Power 0.200% step-up 15-Apr-2025 06-Sep-19 18-Oct-19 19-Oct-19 130 87.7 15 out of 30 trading days Low probability; parity too low
Skyworth Digital 0.400% step-up 15-Apr-2025 06-Sep-19 18-Oct-19 19-Oct-19 130 70.5 15 out of 30 trading days Low probability; parity too low
Consus Real Estate 4.000% 29-Nov-2022 09-Sep-19 21-Oct-19 20-Dec-19 130 75.7 20 out of 30 trading days Low probability; parity too low
Immofinanz 1.5% Step Down 24-Jan-2024 16-Sep-19 16-Nov-19 14-Feb-20 130 112.9 20 out of 30 trading days Low probability; parity too low
MIRAIT 0.000% 30-Dec-2021 17-Sep-19 15-Oct-19 29-Dec-19 120 114.1 20 consecutive trading days One to watch; parity within 10% of trigger
Almirall 0.250% 14-Dec-2021 24-Sep-19 05-Nov-19 04-Jan-20 125 90.2 20 out of 30 trading days Low probability; parity too low
Fortescue Metals / Valin 0.000% 15-Nov-2021 26-Sep-19 16-Nov-19 16-Dec-19 130 107.6 20 out of 30 trading days Low probability; parity too low
Prysmian 0.000% 17-Jan-2022 15-Oct-19 03-Dec-19 01-Feb-20 130 54.7 20 out of 30 trading days Low probability; parity too low
China Overseas Land & Inv 0.000% 05-Jan-2023 16-Oct-19 06-Nov-19 05-Jan-20 130 59.3 15 consecutive trading days Low probability; parity too low
Silicon Labs 1.375% 01-Mar-2022 18-Oct-19 02-Dec-19 01-Mar-20 130 109.0 20 out of 30 trading days Low probability; parity too low
Polyus 1.000% 26-Jan-2021 30-Oct-19 18-Dec-19 16-Feb-20 130 116.6 20 out of 30 trading days Low probability; parity too low


Hard Calls

Instruments callable or becoming callable in the next 90 days, with no call protection or call protection due to end within the 90-day period.

Name Callable from Call Price Mkt Price Parity Premium Fair Value Trigger Ends Comment
Toppan Printing 0.000% 19-Dec-2019 11-Oct-19 100.0 99.9 77.3 29.8 100.0 Hard callable in the next 90 days
The Gunma Bank Ltd 0.000% 11-Oct-2019 09-Sep-19 100.0 98.4 52.0 90.2 98.9 Hard callable in the next 90 days
Denbury Resources 6.375% 31-Dec-2024 19-Jun-19 100.0 58.6 35.9 66.2 59.6 Hard callable; make-whole PV of coupons
Vodafone 1.200% 12-Mar-2021 22-Apr-19 0.0 113.5 112.5 2.8 113.4 Hard callable; make-whole amount
Vodafone 1.500% 12-Mar-2022 22-Apr-19 0.0 114.9 112.5 4.1 114.8 Hard callable; make-whole PV of coupons
Iwatani Corp 0.000% 22-Oct-2020 22-Oct-18 100.0 102.1 96.7 6.0 100.5 Hard callable
Daio Paper Corp 0.000% 17-Sep-2020 15-Sep-17 100.0 100.2 86.0 17.2 99.6 13-Sep-18 Hard callable
iStar Financial 4.500% Perp Pfd 15-Mar-18 50.0 54.1 54.3 0.0 55.1 Hard callable
PT Bumi Resources 6.000% 11-Dec-2024 11-Dec-17 100.0 8.9 1124.9 109.0 Hard callable
Cincinnati Bell 6.750% Perp Pfd 01-Apr-08 50.0 33.4 1.0 3321.6 33.7 31-Mar-02 Hard callable
El Paso Energy Capital Trust I 4.750% 31-Mar-2028 Pfd 31-Mar-08 50.0 53.5 39.5 36.3 50.4 Hard callable
Teva Pharmaceuticals 0.250% 01-Feb-2026 01-Feb-08 100.0 92.2 19.7 370.9 94.5 Hard callable
Motorola/Liberty Interactive (Qurate) 3.500% 15-Jan-2031 15-Jan-06 51.3 90.9 88.7 2.8 88.5 Hard callable
Sprint_CTL/Liberty Interactve(Qurate) 3.750% 15-Feb-2030 PHONES 15-Feb-04 96.1 71.3 2.3 3050.8 79.1 Hard callable
Sprint_CTL/Liberty Interactve(Qurate) 4.000% 15-Nov-2029 PHONES 15-Nov-03 92.1 71.0 3.1 2199.4 79.5 Hard callable
Sprint_CTL/Comcast 2.000% 15-Oct-2029 ZONES 15-Oct-02 100.0 54.0 9.2 508.5 62.0 Hard callable
AT&T_CHTR /CenterPoint Energy 2.000% 15-Sep-2029 15-Sep-02 5.1 49.8 45.8 11.0 45.8 Hard callable


Issues Potentially Subject to a Clean-Up Call

The following table highlights those issues where the principal amount outstanding is close to being, or already, below their clean-up call trigger threshold levels.

Name Trigger Threshold /% Outstanding /% Outstanding /mn Comment
Riken Technos 0.000% 19-Mar-2020 10 20.0 800.0 Within 10% (of full issue amount) of the clean-up call trigger
Unicharm Corp 0.000% 25-Sep-2020 10 18.1 9050.0 Within 10% (of full issue amount) of the clean-up call trigger
Yuexiu Transport / Asia View 1.500% 08-Aug-2019 10 17.8 35.5 Within 10% (of full issue amount) of the clean-up call trigger
Severstal 0.500% 29-Apr-2021 15 23.0 46.0 Within 10% (of full issue amount) of the clean-up call trigger
Unibail-Rodamco 0.000% 01-Jul-2021 15 20.0 100.0 Within 10% (of full issue amount) of the clean-up call trigger
Haitong International 1.250% 04-Nov-2019 10 11.8 137.0 Within 5% (of full issue amount) of the clean-up call trigger
China Singyes Solar 5.000% 08-Aug-2019 10 10.3 96.0 Within 5% (of full issue amount) of the clean-up call trigger
Tenaga / Khazanah 0.000% 18-Sep-2021 10 9.9 49.6 Callable; principal amount outstanding <= trigger threshold
HC Group (HC International) 5.000% 27-Nov-2019 10 6.6 51.6 Callable; principal amount outstanding <= trigger threshold
Aperam 0.625% 08-Jul-2021 15 9.4 28.2 Callable; principal amount outstanding <= trigger threshold
Nagoya Railroad 0.000% 03-Oct-2023 10 1.4 340.0 Callable; principal amount outstanding <= trigger threshold
Casino / Rallye 1.000% 02-Oct-2020 10 1.3 5.0 Callable; principal amount outstanding <= trigger threshold


Investor Puts in The Next 90 Days

The following table highlights those issues with investor put options in the next 90 days, together with the Monis calculated probability of the put option being exercised. We also include an estimation of the date by which the put option would need to have been exercised assuming a holder of bonds gives the required minimum number of days' notice.

Name Putable Put Price Mkt Price Parity Premium Fair Value Min Notice Give Notice By Put Probability Comments
Aisino 0.200% step-up 12-Jun-2021 From 12-Jun-2019 100.0 51.7 94.0 100.2 100.0% Trigger satisfied; currently puttable
PSBC Postal Savings Bk China / Shanghai Port 0.000% 09-Aug-2021 09-Aug-19 101.5 101.4 80.8 25.9 101.7 est. 10-Jul-19 42.7%
Sunshine 100 6.500% 11-Aug-2021 11-Aug-19 106.7 38.1 179.3 106.4 30C 12-Jul-19 99.7%
Ctrip.com International 1.250% 15-Sep-2022 15-Sep-19 100.0 99.9 51.2 95.8 100.2 2T 12-Sep-19 61.0%
Redefine International 1.500% 16-Sep-2021 16-Sep-19 100.0 100.9 45.8 121.8 101.6 45T 15-Jul-19 0.0%
Beijing Enterprises Water / Khazanah 0.000% 23-Sep-2021 23-Sep-19 100.0 99.3 57.8 72.2 99.6 30C 24-Aug-19 99.9%
Haitong International 0.000% 25-Oct-2021 25-Oct-19 101.5 101.0 35.8 182.8 101.0 est. 25-Sep-19 100.0%


Issues Maturing in The Next 90 Days

Name Maturity Redemption Last Conversion Date Fair Value Parity Redemption Probability Conversion Probability
Herbalife 2.000% 15-Aug-2019 15-Aug-19 100 13-Aug-19 100.0 88.5 99.8% 0.2%
Empire State Realty 2.625% 15-Aug-2019 15-Aug-19 100 13-Aug-19 100.0 68.7 100.0% 0.0%
Dominion Energy 6.750% 15-Aug-2019 PEPS 15-Aug-19 0 15-Aug-19 49.7 40.6 0.0% 100.0%
Rayonier Advanced Materials 8.000% 15-Aug-2019 PEPS A 15-Aug-19 0 15-Aug-19 37.9 32.2 0.0% 100.0%
Siemens 1.650% 16-Aug-2019 B+W (exch) 16-Aug-19 100 01-Aug-19 100.0 94.3 100.0% 0.0%
Toray 0.000% 30-Aug-2019 30-Aug-19 100 16-Aug-19 100.0 80.7 100.0% 0.0%
H.I.S. 0.000% 30-Aug-2019 30-Aug-19 100 16-Aug-19 99.7 54.5 99.7% 0.0%
NextEra Energy 6.123% 01-Sep-2019 PEPS 01-Sep-19 0 01-Sep-19 66.5 66.1 0.0% 100.0%
BW LPG / BW 1.750% 10-Sep-2019 10-Sep-19 100 27-Aug-19 99.7 36.3 99.6% 0.0%
AEON Financial Service 0.000% 13-Sept-2019 13-Sep-19 100 11-Sep-19 99.6 64.4 99.6% 0.0%
Twitter 0.250% 15-Sep-2019 A 15-Sep-19 100 12-Sep-19 99.6 52.0 99.8% 0.0%
VEON (VimpelCom) / Telenor 0.250% 20-Sep-2019 20-Sep-19 100 06-Sep-19 99.8 75.6 99.9% 0.1%
Fresenius 0.000% 24-Sep-2019 24-Sep-19 100 12-Aug-19 100.0 89.4 99.9% 0.1%
Huron Consulting 1.250% 01-Oct-2019 01-Oct-19 100 27-Sep-19 99.5 71.1 99.6% 0.0%
DTE Energy 6.50% 01-Oct-2019 PEPS 01-Oct-19 0 01-Oct-19 55.5 55.1 0.0% 100.0%
Eurazeo / Credit Agricole 0.000% 03-Oct-2019 03-Oct-19 100 16-Sep-19 68.8 67.5 43.9% 56.0%
The Gunma Bank Ltd 0.000% 11-Oct-2019 11-Oct-19 100 27-Sep-19 98.9 52.0 99.3% 0.0%
RTI International Metals (Arconic) 1.625% 15-Oct-2019 15-Oct-19 100 11-Oct-19 100.0 85.0 95.2% 4.8%
Larsen & Toubro 0.675% 22-Oct-2019 22-Oct-19 100 15-Oct-19 100.7 90.5 83.2% 16.8%
SolarCity 1.625% 01-Nov-2019 01-Nov-19 100 30-Oct-19 98.7 30.1 98.8% 0.0%


Conversion Price Resets in The Next 90 Days

Name Next Reset Conversion Price Running Average Multiplier
China YuHua Education 3.000% 16-Jan-2020 18-Sep-19 3.21 3.9 1
GS Engineering & Construction 4.500% 21-Jul-2021 21-Oct-19 32664 34377.5 1.25
No Va Land Investment 5.500% 27-Apr-2023 + TAP 27-Oct-19 71000 58740 1

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

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