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Actionable Convertible Events

08 January 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
09-Jan-19 dividend AT&T / Liberty Media 2.250% 30-Sep-2046 T goes ex USD 0.51 per share
09-Jan-19 dividend AT&T_CHTR /CenterPoint Energy 2.000% 15-Sep-2029 T goes ex USD 0.51 per share
14-Jan-19 takeover TESARO 3.000% 01-Oct-2021 Expected closing date for the Glaxosmithkline plc takeover
15-Jan-19 Maturity Vector Group 2.500% (7.500% min) 15-Jan-2019 Maturity date
15-Jan-19 Maturity Ares Capital 4.375% 15-Jan-2019 Maturity date
30-Jan-19 dividend Prospect Capital 4.750% 15-Apr-2020 PSEC goes ex USD 0.06 per share
30-Jan-19 dividend Prospect Capital 4.950% 15-Jul-2022 PSEC goes ex USD 0.06 per share
01-Feb-19 Maturity NRG Yield (Clearway Energy) 3.500% 01-Feb-2019 Maturity date
01-Feb-19 Maturity KB Home 1.375% 01-Feb-2019 Maturity date
01-Feb-19 Maturity Hess Corp 8.000% 01-Feb-2019 PEPS Mandatory conversion
15-Feb-19 dividend Bunge 4.875% Perp Pfd BG goes ex USD 0.5 per share
15-Feb-19 Maturity Akamai Technologies 0.000% 15-Feb-2019 Maturity date
20-Feb-19 dividend CenterPoint Energy 7.000% 01-Sep-2021 PEPS B CNP goes ex USD 0.2875 per share
01-Mar-19 Maturity Tesla Motors 0.250% 01-Mar-2019 Maturity date
15-Mar-19 Maturity Vipshop Holdings 1.500% 15-Mar-2019 Maturity date
Date Event Name Comment
09-Jan-19 dividend Iberdrola / ACS 1.625% 27-Mar-2019 Iberdrola goes ex EUR 0.151 per share
09-Jan-19 dividend Iberdrola 0.000% 11-Nov-2022 Iberdrola goes ex EUR 0.151 per share
14-Jan-19 dividend Sacyr Vallehermoso 4.000% 08-May-2019 Sacyr goes ex-div
15-Jan-19 dividend Kering / Artemis 0.000% 31-Mar-2023 Kering goes ex EUR 3.5 per share
21-Jan-19 dividend Snam 0.000% 20-Mar-2022 Snam goes ex EUR 0.0905 per share
29-Jan-19 dividend Wereldhave 1.000% 22-May-2019 Wereldhave goes ex EUR 0.63 per share
30-Jan-19 Maturity Golden Ocean 3.070% 30-Jan-2019 Maturity date
30-Jan-19 Put Steinhoff 4.000% 30-Jan-2021 Next Put Date. Needed to have given notice by 16-Dec-18.
31-Jan-19 dividend Siemens 1.650% 16-Aug-2019 B+W (exch) Siemens goes ex EUR 3.8 per share
11-Feb-19 consolidation Redefine International 1.500% 16-Sep-2021 Redefine goes ex 1 for 5 stock consolidation
14-Feb-19 dividend BP 1.000% 28-Apr-2023 BP goes ex-div
25-Feb-19 Maturity Vodafone 2.000% 25-Feb-2019 Mandatory conversion
05-Mar-19 Last conv Covivio (Fonciere des Regions) 0.875% 01-Apr-2019 Last conversion date prior to maturity
07-Mar-19 Last conv Iberdrola / ACS 1.625% 27-Mar-2019 Last conversion date prior to maturity
12-Mar-19 Last conv Qiagen 0.375% 19-Mar-2019 Last conversion date prior to maturity
18-Mar-19 dividend STMicroelectronics 0.000% 03-July-2022 STM goes ex USD 0.06 per share
18-Mar-19 dividend STMicroelectronics 0.250% 03-July-2024 STM goes ex USD 0.06 per share
19-Mar-19 dividend Total 0.500% 02-Dec-2022 Total goes ex EUR 0.64 per share
19-Mar-19 Maturity Qiagen 0.375% 19-Mar-2019 Maturity date; conversion rights expire 12-Mar-19
21-Mar-19 Reset SMCP / European TopSoho 4.000% 21-Sep-2021 Next reset date
27-Mar-19 Maturity Iberdrola / ACS 1.625% 27-Mar-2019 Maturity date; conversion rights expire 07-Mar-19
28-Mar-19 dividend Ebro Foods / Damm 1.000% 01-Dec-2023 Ebro Foods goes ex EUR 0.19 per share
01-Apr-19 Maturity SAS 3.625% 01-Apr-2019 Maturity date
01-Apr-19 Maturity Covivio (Fonciere des Regions) 0.875% 01-Apr-2019 Maturity date; conversion rights expire 05-Mar-19
Date Event Name Comment
25-Jan-19 Maturity Indorama 0.000% 25-Jan-2019 Maturity date
27-Jan-19 Maturity Country Garden Holdings 0.000% 27-Jan-2019 Maturity date
29-Jan-19 Put China Railway Construction 0.000% 29-Jan-2021 Next Put Date. Appears unlikely with Parity at 112.3.
29-Jan-19 Put Nipro Corp 0.000% 29-Jan-2021 Next Put Date. Appears unlikely with Parity at 91.9.
31-Jan-19 Reset Sanei Architecture Planning 0.000% 30-Nov-2022 Next reset date
05-Feb-19 Put CRRC 0.000% 05-Feb-2021 Next Put Date.
10-Feb-19 Maturity Future Land 2.25% 10-Feb-2019 Maturity date
11-Feb-19 Maturity Powerlong Real Estate 0.000% 11-Feb-2019 Maturity date
26-Feb-19 dividend DCM Holdings 0.000% 21-Dec-2020 DCM goes ex JPY 13 per share
26-Feb-19 dividend Takashimaya 0.000% 06-Dec-2028 Takashimaya goes ex JPY 12 per share
26-Feb-19 dividend Takashimaya 0.000% 11-Dec-2020 Takashimaya goes ex JPY 12 per share
01-Mar-19 Maturity Asics 0.000% 01-Mar-2019 Maturity date
10-Mar-19 Put Ennoconn 0.000% 10-Mar-2022 FX-linked $-settled Next Put Date. Subsequent put in '21
12-Mar-19 Reset Chugoku Electric Power 0.000% 25-Mar-2020 Next reset date
13-Mar-19 Maturity GS Yuasa Corp 0.000% 13-Mar-2019 Maturity date
27-Mar-19 dividend MIRAIT 0.000% 30-Dec-2021 MIRAIT goes ex JPY 20 per share
27-Mar-19 dividend Shimizu Corp 0.000% 16-Oct-2020 Shimizu goes ex JPY 6 per share
27-Mar-19 dividend Shimizu Corp 0.000% 16-Oct-2020 Shimizu goes ex JPY 7 per share
27-Mar-19 dividend Kandenko 0.000% 31-Mar-2021 Kandenko goes ex JPY 13 per share
27-Mar-19 dividend Nippon Flour Mills 0.000% 20-Jun-2025 Nippon Flour goes ex JPY 15 per share
27-Mar-19 dividend Ezaki Glico 0.000% 30-Jan-2024 Glico goes ex JPY 30 per share
27-Mar-19 dividend Edion 0.000% 19-Jun-2025 Edion goes ex JPY 14 per share
27-Mar-19 dividend Iida Group 0.000% 18-Jun-2020 Iida goes ex JPY 31 per share
27-Mar-19 dividend Teijin 0.000% 10-Dec-2021 Teijin goes ex JPY 10 per share
27-Mar-19 dividend Teijin 0.000% 10-Dec-2021 Teijin goes ex JPY 30 per share
27-Mar-19 dividend Toray 0.000% 30-Aug-2019 Toray Ind goes ex JPY 8 per share
27-Mar-19 dividend Toray 0.000% 31-Aug-2021 Toray Ind goes ex JPY 8 per share
27-Mar-19 dividend Daio Paper Corp 0.000% 17-Sep-2020 Daio Paper goes ex JPY 5.5 per share
27-Mar-19 dividend Mitsubishi Chemical 0.000% 29-Mar-2024 Mitsubishi Chemical goes ex JPY 20 per share
27-Mar-19 dividend Mitsubishi Chemical 0.000% 30-Mar-2022 Mitsubishi Chemical goes ex JPY 20 per share
27-Mar-19 dividend Terumo Corp 0.000% 06-Dec-2021 Terumo goes ex JPY 27 per share
27-Mar-19 dividend Towa Pharmaceutical 0.000% 22-Jul-2022 Towa goes ex JPY 47.5 per share
27-Mar-19 dividend Kansai Paint Co Ltd 0.000% 17-Jun-2019 Kansai Paint goes ex JPY 14 per share
27-Mar-19 dividend Kansai Paint Co Ltd 0.000% 17-Jun-2022 Kansai Paint goes ex JPY 14 per share
27-Mar-19 dividend ResortTrust 0.000% 01-Dec-2021 ResortTrust goes ex JPY 23 per share
27-Mar-19 dividend Digital Garage 0.000% 14-Sep-2023 Digital Garage goes ex JPY 28 per share
27-Mar-19 dividend Cosmo Energy Holdings 0.000% 05-Dec-2022 Cosmo Energy goes ex JPY 50 per share
27-Mar-19 dividend Sumitomo Metal Mining 0.000% 15-Mar-2023 Sumitomo Metal goes ex JPY 38 per share
27-Mar-19 dividend LIXIL 0.000% 04-Mar-2020 LIXIL goes ex JPY 35 per share
27-Mar-19 dividend LIXIL 0.000% 04-Mar-2022 LIXIL goes ex JPY 35 per share
27-Mar-19 dividend Sankyo Co Ltd 0.000% 23-Jul-2020 Sankyo goes ex JPY 75 per share
27-Mar-19 dividend Minebea Mitsumi 0.000% 03-Aug-2022 Minebea Mitsumi goes ex JPY 14 per share
27-Mar-19 dividend GS Yuasa Corp 0.000% 13-Mar-2019 GS Yuasa goes ex JPY 35 per share
27-Mar-19 dividend Mebuki Financial Group 0.000% 24-Apr-2019 Mebuki Financial goes ex JPY 5.5 per share
27-Mar-19 dividend Medipal Holdings 0.000% 07-Oct-2022 Medipal Holdings goes ex JPY 18 per share
27-Mar-19 dividend Screen Holdings 0.000% 10-Jun-2022 Screen Holdings goes ex JPY 155 per share
27-Mar-19 dividend Screen Holdings 0.000% 11-Jun-2025 Screen Holdings goes ex JPY 155 per share
27-Mar-19 dividend Toppan Printing 0.000% 19-Dec-2019 Toppan goes ex JPY 20 per share
27-Mar-19 dividend Nipro Corp 0.000% 29-Jan-2021 Nipro goes ex JPY 13 per share
27-Mar-19 dividend Iwatani Corp 0.000% 22-Oct-2020 Iwatani goes ex JPY 55 per share
27-Mar-19 dividend Toho Holdings 0.000% 23-Jun-2023 Toho goes ex JPY 15 per share
27-Mar-19 dividend The Gunma Bank Ltd 0.000% 11-Oct-2019 Gunma Bank goes ex JPY 7 per share
27-Mar-19 dividend Shizuoka Bank Libor-50bps 25-Jan-2023 Shizuoka Bank goes ex JPY 11 per share
27-Mar-19 dividend Shiga Bank 0.000% 23-Jun-2020 Shiga Bank goes ex JPY 22.5 per share
27-Mar-19 dividend Yamaguchi Financial Group LIBOR-50bp 26-Mar-2020 Yamaguchi goes ex JPY 11 per share
27-Mar-19 dividend AEON Financial Service 0.000% 13-Sept-2019 AEON goes ex JPY 39 per share
27-Mar-19 dividend T&D holdings Inc 0.000% 05-Jun-2020 TD Holdings goes ex JPY 20 per share
27-Mar-19 dividend Relo Group 0.000% 22-Mar-2021 Relo Group goes ex JPY 25 per share
27-Mar-19 dividend Keihan Holdings 0.000% 30-Mar-2021 Keihan goes ex JPY 17.5 per share
27-Mar-19 dividend Nagoya Railroad 0.000% 11-Dec-2024 Nagoya Rail goes ex JPY 27.5 per share
27-Mar-19 dividend Mitsui OSK Lines 0.000% 24-Apr-2020 Mitsui OSK goes ex JPY 20 per share
27-Mar-19 dividend ANA 0.000% 16-Sep-2022 ANA HOLDINGS goes ex JPY 70 per share
27-Mar-19 dividend ANA 0.000% 19-Sep-2024 ANA HOLDINGS goes ex JPY 70 per share
27-Mar-19 dividend Tohoku Electric Power 0.000% 03-Dec-2020 Tohoku Electric goes ex JPY 20 per share
27-Mar-19 dividend Kyushu Electric Power 0.000% 31-Mar-2020 Kyushu Electric goes ex JPY 15 per share
27-Mar-19 dividend Kyushu Electric Power 0.000% 31-Mar-2022 Kyushu Electric goes ex JPY 15 per share
27-Mar-19 dividend Kyoritsu Maintenance 0.000% 31-Mar-2021 Kyoritsu goes ex JPY 23 per share
27-Mar-19 dividend Japan Airport Terminal 0.000% 04-Mar-2022 Japan Airport goes ex JPY 21 per share
27-Mar-19 dividend Japan Airport Terminal 0.000% 06-Mar-2020 Japan Airport goes ex JPY 21 per share
27-Mar-19 dividend Yamada Denki 0.000% 28-Jun-2019 Yamada Denki goes ex JPY 13 per share
28-Mar-19 Maturity ASM Pacific Technology 2.000% 28-Mar-2019 Maturity date
02-Apr-19 Put Johnson Electric 1.000% 02-Apr-2021 Next Put Date.

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
Guangdong Shenglu Telecom Tech 0.500% step-up 17-Jul-2024 28-Jan-19 02-Feb-19 130 130.1 15 out of 30 trading days No; 1 out of 1 Parity currently above trigger
Unicharm Corp 0.000% 25-Sep-2020 08-Jan-19 07-Feb-19 06-Feb-19 130 145.9 30 consecutive trading days 30 out of 30 Issuer can give min notice immediately
Welltower (Health Care REIT) 6.500% Perp Pfd I 05-Feb-19 12-Feb-19 130 61.1 20 out of 30 trading days No Parity within 10% of trigger
Post Holdings 2.500% Perp Pfd C 11-Jan-19 15-Feb-19 22-Jan-19 150 173.9 20 out of 30 trading days 30 out of 30 Trigger satisfied
Von Roll Holding AG 1.000% 11-Apr-2022 01-Feb-19 03-Mar-19 130 132.5 20 out of 30 trading days No; 2 out of 2 Parity currently above trigger
Iberdrola / ACS 1.625% 27-Mar-2019 05-Feb-19 07-Mar-19 130 118.4 20 out of 30 trading days No Parity within 10% of trigger
Cheniere Energy 4.250% 15-Mar-2045 05-Feb-19 07-Mar-19 130 45.2 20 out of 30 trading days No Parity currently above trigger
DCM Holdings 0.000% 21-Dec-2020 05-Feb-19 07-Mar-19 120 118.5 20T out of 20 calendar No Parity <5% from trigger
Euronet Worldwide 1.500% 01-Oct-2044 08-Jan-19 12-Mar-19 22-Jan-19 130 140.6 20 out of 30 trading days 30 out of 30 Issuer can give min notice immediately
Fluidigm 2.750% 01-Feb-2034 (Exch) 05-Feb-19 19-Mar-19 110 111.1 20 out of 30 trading days No Parity currently above trigger

*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
Avic Electromechanical Systems 0.200% step-up 27-Aug-2024 14-Jan-19 23-Feb-19 28-Feb-19 130 97.8 15 out of 30 trading days Low probability; parity too low
Evonik / RAG-Stiftung 0.000% 18-Feb-2021 21-Jan-19 11-Mar-19 10-May-19 130 68.7 20 out of 30 trading days Low probability; parity too low
Tutor Perini 2.875% 15-Jun-2021 25-Jan-19 11-Mar-19 15-Jun-19 130 57.0 20 out of 30 trading days Low probability; parity too low
Kakao (former Loen Exchangeable) 0.000% 11-May-2021 $-settled 28-Jan-19 12-Mar-19 11-May-19 130 80.2 20 out of 30 trading days Low probability; parity too low
LG Chem 0.000% 16-Apr-2021 EUR 04-Feb-19 17-Mar-19 16-Apr-19 130 65.8 20 out of 30 trading days Low probability; parity too low
LG Chem 0.000% 16-Apr-2021 USD 04-Feb-19 17-Mar-19 16-Apr-19 130 71.0 20 out of 30 trading days Low probability; parity too low
Neopost 3.375% step-up Perp 13-Feb-19 10-Apr-19 09-Jul-19 130 32.3 20-day average Low probability; parity too low
Kansai Paint Co Ltd 0.000% 17-Jun-2022 19-Feb-19 18-Apr-19 17-Jun-19 130 63.5 20 consecutive trading days Low probability; parity too low
Kyushu Electric Power 0.000% 31-Mar-2020 04-Mar-19 29-Apr-19 28-Jun-19 120 94.0 20 consecutive trading days Low probability; parity too low
Chugoku Electric Power 0.000% 24-Jan-2020 05-Mar-19 02-May-19 01-Jul-19 130 101.2 20 consecutive trading days Low probability; parity too low
China National Chemical Eng 0.900% 24-Apr-2023 11-Mar-19 20-Apr-19 25-Apr-19 130 71.7 15 out of 30 trading days Low probability; parity too low
Covestro / Bayer 0.050% 15-Jun-2020 18-Mar-19 06-May-19 05-Jul-19 130 56.2 20 out of 30 trading days Low probability; parity too low
AVIC Jonhon Optronic 0.200% step-up 05-Nov-2024 25-Mar-19 04-May-19 09-May-19 130 89.1 15 out of 30 trading days Low probability; parity too low
Sunshine 100 6.500% 11-Aug-2021 25-Mar-19 13-May-19 11-Aug-19 130 100.1 20 out of 30 trading days Low probability; parity too low
Airbus 0.000% 01-Jul-2022 29-Mar-19 17-May-19 16-Jul-19 130 83.9 20 out of 30 trading days Low probability; parity too low
Jiangsu Zhangjigang Rural Comm Bank 0.400% step-up 12-Nov-2024 01-Apr-19 11-May-19 16-May-19 130 98.3 15 out of 30 trading days Low probability; parity too low
Tongkun 0.300% step-up 19-Nov-2024 08-Apr-19 18-May-19 23-May-19 130 79.6 15 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
Mebuki Financial Group 0.000% 24-Apr-2019 25-Mar-19 100.0 97.9 55.0 78.5 99.2 Hard callable in the next 90 days
Yamada Denki 0.000% 28-Jun-2019 31-Dec-18 100.0 103.4 101.7 2.1 103.1 Hard callable
Micron Technology 3.000% 15-Nov-2043 (Exch) G 20-Nov-18 83.1 118.5 116.6 1.8 116.1 19-Nov-18 Hard callable
Iwatani Corp 0.000% 22-Oct-2020 22-Oct-18 100.0 104.6 100.3 4.7 102.4 Hard callable
Daio Paper Corp 0.000% 17-Sep-2020 15-Sep-17 100.0 109.4 90.6 21.0 100.0 13-Sep-18 Hard callable
iStar Financial 4.500% Perp Pfd 15-Mar-18 50.0 43.7 37.0 18.8 45.7 Hard callable
PT Bumi Resources 6.000% 11-Dec-2024 11-Dec-17 100.0 11.3 819.4 104.2 Hard callable
Vodafone 2.000% 25-Feb-2019 06-Apr-16 0.0 87.4 0.2 87.6 Hard callable
Cincinnati Bell 6.750% Perp Pfd 01-Apr-08 50.0 36.8 2.5 1392.5 37.2 31-Mar-02 Hard callable
El Paso Energy Capital Trust I 4.750% 31-Mar-2028 Pfd 31-Mar-08 50.0 43.8 37.1 19.1 49.7 Hard callable
Teva Pharmaceuticals 0.250% 01-Feb-2026 01-Feb-08 100.0 91.5 44.4 106.5 94.1 Hard callable
Motorola/Liberty Interactive 3.500% 15-Jan-2031 15-Jan-06 54.0 63.9 61.1 5.3 61.2 Hard callable
Sprint_CTL/Liberty Interactive 3.750% 15-Feb-2030 PHONES 15-Feb-04 95.9 66.5 2.4 2713.7 70.2 Hard callable
Sprint_CTL/Liberty Interactive 4.000% 15-Nov-2029 PHONES 15-Nov-03 92.8 67.7 3.3 2004.8 71.0 Hard callable
Sprint_CTL/Comcast 2.000% 15-Oct-2029 ZONES 15-Oct-02 100.0 53.9 9.6 472.8 65.6 Hard callable
AT&T_CHTR /CenterPoint Energy 2.000% 15-Sep-2029 15-Sep-02 7.9 39.9 38.4 5.1 38.2 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
SBI Holdings 0.000% 14-Sep-2020 10 16.8 3350.0 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 10.0 50.0 Callable; principal amount outstanding <= trigger threshold
Beijing Enterprises / Shine Power 0.000% 28-Jul-2019 5 3.7 158.0 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
Adidas 0.250% 14-Jun-2019 15 6.0 30.0 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
China Railway Construction 0.000% 29-Jan-2021 29-Jan-19 100.0 103.0 112.3 -7.9 117.9 30C 30-Dec-18 0.0%
Nipro Corp 0.000% 29-Jan-2021 29-Jan-19 100.0 110.6 91.9 25.7 107.1 28-Jan-19 0.0%
Steinhoff 4.000% 30-Jan-2021 30-Jan-19 100.0 86.7 2.8 3041.4 99.8 45C 16-Dec-18 99.5%
CRRC 0.000% 05-Feb-2021 05-Feb-19 100.0 99.8 85.3 17.5 101.2 04-Feb-19 40.5%
Ennoconn 0.000% 10-Mar-2022 FX-linked $-settled 10-Mar-19 102.5 110.8 55.2 101.4 103.9 09-Mar-19 98.7% Subsequent put in '21
Johnson Electric 1.000% 02-Apr-2021 02-Apr-19 109.3 110.0 42.8 157.9 109.8 01-Apr-19 0.0%

Issues Maturing in The Next 90 Days

Name Maturity Redemption Last Conversion Date Fair Value Parity Redemption Probability Conversion Probability
Vector Group 2.500% (7.500% min) 15-Jan-2019 15-Jan-19 100 14-Jan-19 99.9 76.5 99.9% 0.0%
Ares Capital 4.375% 15-Jan-2019 15-Jan-19 100 14-Jan-19 100.0 80.6 100.0% 0.0%
Indorama 0.000% 25-Jan-2019 25-Jan-19 100 18-Jan-19 99.8 82.0 99.9% 0.0%
Country Garden Holdings 0.000% 27-Jan-2019 27-Jan-19 100.75 14-Jan-19 100.6 50.3 99.9% 0.0%
Golden Ocean 3.070% 30-Jan-2019 30-Jan-19 100 16-Jan-19 98.7 8.0 98.7% 0.0%
NRG Yield (Clearway Energy) 3.500% 01-Feb-2019 01-Feb-19 100 30-Jan-19 100.0 71.1 100.0% 0.0%
KB Home 1.375% 01-Feb-2019 01-Feb-19 100 31-Jan-19 100.0 76.7 99.7% 0.0%
Hess Corp 8.000% 01-Feb-2019 PEPS 01-Feb-19 0 01-Feb-19 53.9 52.2 0.0% 100.0%
Future Land 2.25% 10-Feb-2019 10-Feb-19 100 03-Feb-19 99.9 54.6 99.8% 0.0%
Powerlong Real Estate 0.000% 11-Feb-2019 11-Feb-19 102.77 04-Feb-19 102.4 62.7 99.7% 0.0%
Akamai Technologies 0.000% 15-Feb-2019 15-Feb-19 100 13-Feb-19 99.7 68.4 99.9% 0.0%
Vodafone 2.000% 25-Feb-2019 25-Feb-19 100 25-Feb-19 87.6 87.4 0.0% 100.0%
Asics 0.000% 01-Mar-2019 01-Mar-19 100 15-Feb-19 100.0 54.1 100.0% 0.0%
Tesla Motors 0.250% 01-Mar-2019 01-Mar-19 100 27-Feb-19 102.3 93.1 69.0% 30.5%
GS Yuasa Corp 0.000% 13-Mar-2019 13-Mar-19 100 27-Feb-19 100.0 53.8 100.0% 0.0%
Vipshop Holdings 1.500% 15-Mar-2019 15-Mar-19 100 13-Mar-19 99.1 29.4 99.2% 0.0%
Qiagen 0.375% 19-Mar-2019 19-Mar-19 100 12-Mar-19 124.2 124.3 0.4% 99.6%
Iberdrola / ACS 1.625% 27-Mar-2019 27-Mar-19 100 07-Mar-19 118.3 118.4 0.0% 100.0%
ASM Pacific Technology 2.000% 28-Mar-2019 28-Mar-19 100 18-Mar-19 96.9 78.0 92.8% 3.8%
SAS 3.625% 01-Apr-2019 01-Apr-19 100 11-Mar-19 102.9 95.0 72.3% 27.3%
Covivio (Fonciere des Regions) 0.875% 01-Apr-2019 01-Apr-19 100 05-Mar-19 95.5 95.7 3.8% 96.1%

Conversion Price Resets in The Next 90 Days

Name Next Reset Conversion Price Running Average Multiplier Reset Probability
Sanei Architecture Planning 0.000% 30-Nov-2022 31-Jan-19 3000 1481.5 1 99.9%
Chugoku Electric Power 0.000% 25-Mar-2020 12-Mar-19 1993 1445 1 100.0%
SMCP / European TopSoho 4.000% 21-Sep-2021 21-Mar-19 26.7588 13.5883 1.2 96.8%

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

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