Handbook of Corporate Equity Derivatives and Equity Capital Markets.
Juan. Ramirez
Bok Engelsk 2011 · Electronic books.
| Omfang | 1 online resource (446 pages)
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| Utgave | 1st ed.
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| Opplysninger | Intro -- Handbook of Corporate Equity Derivatives and Equity Capital Markets -- Contents -- Preface -- About the Author -- 1 Main Strategic Equity Derivative Instruments -- 1.1 Equity Forwards -- 1.1.1 Equity Forwards -- 1.1.2 Example of a Cash-settled Equity Forward on a Stock -- 1.1.3 Example of a Physically Settled Equity Forward on a Stock -- 1.1.4 Calculating the Forward Price of a Stock -- 1.2 Equity Swaps -- 1.2.1 Total Return Equity Swaps -- 1.2.2 Price Return Equity Swaps -- 1.2.3 Case Study: Physically Settled Total Return Equity Swap on Deutsche Telekom -- 1.2.4 Case Study: Cash-settled Total Return Equity Swap on Deutsche Telekom -- 1.2.5 Determination of the Initial Price -- 1.2.6 Determination of the Settlement Price -- 1.2.7 Equity Notional Resets -- 1.2.8 Case Study: Total Return Equity Swap on EuroStoxx 50 -- 1.2.9 Compo Equity Swaps -- 1.2.10 Quanto Equity Swaps -- 1.2.11 Uses of Equity Swaps -- 1.3 Stock Lending and Borrowing -- 1.3.1 Stock Lending and Borrowing -- 1.3.2 Stock Lending/Borrowing Transaction Flows -- 1.3.3 Counterparty Credit Risk -- 1.3.4 Advantages of Stock Lending and Borrowing -- 1.3.5 Drawbacks of Stock Lending and Borrowing -- 1.4 Call and Put Options -- 1.4.1 Call Options -- 1.4.2 Put Options -- 1.4.3 European vs. American Style -- 1.4.4 Time Value vs. Intrinsic Value -- 1.4.5 In, At or Out-of-the-money -- 1.4.6 Variables that Influence an Option Price -- 1.4.7 Historical Volatility vs. Implied Volatility -- 1.4.8 Put-Call Parity -- 1.4.9 Options' Sensitivities, the "Greeks" -- 1.4.10 Delta Hedging -- 1.4.11 Offsetting Dividend Risk -- 1.4.12 Adjustments to Option Terms Due to Other Corporate Actions -- 1.4.13 Volatility Smile -- 1.4.14 Implied Volatility Term Structure -- 1.4.15 Composite and Quanto Options -- 1.5 Dividend Swaps -- 1.5.1 Dividend Swaps -- 1.5.2 Applications of Dividend Swaps.. - 1.5.3 Risks -- 1.5.4 Main Dates in a Dividend Distribution -- 1.5.5 Case Study: Single-stock Dividend Swap -- 1.5.6 Case Study: Index Dividend Swap -- 1.5.7 Pricing Implied Dividends -- 1.6 Variance Swaps and Volatility Swaps -- 1.6.1 Variance Swaps Product Description -- 1.6.2 Calculation of the Realized Volatility and the Realized Variance -- 1.6.3 Volatility Swaps Product Description -- 1.6.4 Volatility Swaps vs. Variance Swaps -- 1.6.5 Applications of Variance and Volatility Swaps -- 2 Equity Capital Markets Products -- 2.1 Main Equity Capital Markets Products -- 2.1.1 Capital Increase Products -- 2.1.2 Secondary Placement Products -- 2.1.3 Equity-linked Products -- 2.2 Initial Public Offerings -- 2.2.1 Product Description -- 2.2.2 Benefits of Going Public -- 2.2.3 Drawbacks of Going Public -- 2.2.4 The IPO Process -- 2.2.5 Phase 1: Preparation of the Company -- 2.2.6 Phase 2: Preparation of the Offering -- 2.2.7 Phase 3: Marketing of the Offering -- 2.2.8 Phase 4: Placement of the Offering -- 2.2.9 Key Success Factors Affecting an IPO -- 2.2.10 Key Risk Factors Affecting an IPO -- 2.2.11 Case Study: Visa's IPO -- 2.3 Case Study: Google's Dutch Auction IPO -- 2.4 Rights Issues (or Rights Offerings) -- 2.4.1 Product Description -- 2.4.2 Main Definitions of a Rights Issue -- 2.4.3 Advantages and Weaknesses of a Rights Issue -- 2.4.4 Rights Offerings Success Factors -- 2.4.5 Calculation of the TERP -- 2.4.6 Case Study: ING's EUR 7.5 billion Rights Issue -- 2.5 Rights Issues of Convertible Bonds -- 2.5.1 Case Study: Banco Popolare Rights Issue of a Convertible Bond -- 2.6 Accelerated Book-Buildings -- 2.6.1 Product Description -- 2.6.2 Advantages and Weaknesses of an ABB -- 2.6.3 Estimating the Discount -- 2.6.4 Case Study: IPIC's Disposal of 11.8% of Barclays -- 2.7 At the Market Offerings -- 2.7.1 Product Description.. - 2.7.2 Case Study: US Treasury Placement of Citigroup Shares -- 3 Convertible Bonds and Mandatory Convertible Bonds -- 3.1 Introduction to Convertible Bonds -- 3.1.1 What are Convertible Bonds? -- 3.1.2 Convertible vs. Exchangeable Bonds - Exchange Property -- 3.2 Who Buys Convertible Bonds? -- 3.3 Convertible Bonds: The Issuer Perspective -- 3.4 Case Study: Infineon's Convertible Bond -- 3.4.1 Main Terms of Infineon's Convertible Bond -- 3.4.2 Conversion Price, Ratio, Premium and Lockout Period -- 3.4.3 Hard No Call Period, Hard Call and Soft Call Options -- 3.4.4 Put Rights -- 3.4.5 Additional Clauses: Cash Option, Cash Top-up, Lock-up Period, Tax Call -- 3.4.6 Value of a Convertible Bond at Maturity -- 3.4.7 Value of a Convertible Bond during its Life -- 3.5 Delta Share Repurchase Strategy -- 3.6 Mandatory Convertible Bonds -- 3.7 Rationale for Issuing Mandatory Convertibles -- 3.8 Rationale for Investing in Mandatory Convertibles -- 3.9 Fixed Parity Mandatory Convertibles -- 3.9.1 Case Study: Banco Santander's Fixed Parity Mandatory Convertible -- 3.10 Variable Parity Mandatory Convertibles -- 3.11 Dividend Enhanced Convertible Securities -- 3.11.1 Conversion Mechanics of a DECS -- 3.11.2 Anatomy of a DECS -- 3.11.3 Embedded Derivatives in a DECS -- 3.11.4 Pricing a DECS -- 3.12 Case Study: UBS's DECS -- 3.13 Special Clauses in Convertibles -- 3.13.1 Dividend Protection Clauses -- 3.13.2 Coupon Deferral Clauses -- 3.13.3 Call Option Make-whole Clauses -- 3.13.4 Change-of-control Make-whole Clauses -- 3.13.5 Clean-up Call Clauses -- 3.13.6 Net Share Settlement Clauses -- 3.14 Contingent Convertibles: FRESHES, CASHES and ECNS -- 3.14.1 Case Study: Fortis's FRESH Instrument -- 3.14.2 Case Study: Unicredit's CASHES Instrument -- 3.14.3 Case Study: Lloyds ECN -- 3.14.4 Case Study: Rabobank's SCN.. - 4 Strategic Equity Transactions around Convertible/Exchangeable Bonds -- 4.1 Issuing an Exchangeable with a Third-party Guarantee -- 4.1.1 Case Study: Controlinveste's Exchangeable Bonds on Portugal Telecom -- 4.1.2 Transaction Overview -- 4.1.3 Dividend Swap and Transaction Flows during the First Four Years -- 4.1.4 Transaction Flows in Case of Exchanges or at Maturity -- 4.1.5 Exchange Property Pledge and other Security Mechanisms -- 4.1.6 Attractiveness of the Transaction to the Issuer and to BCP -- 4.2 Issuing a Convertible Through a Third Party -- 4.2.1 Case Study: Novartis LEPOs and Put Options with Deutsche Bank -- 4.2.2 Transaction Overview -- 4.2.3 Deutsche Bank's Exposure to Novartis's Stock Price -- 4.2.4 Effect of Deutsche Bank's Zero-coupon Convertibles on the Exchange Price -- 4.2.5 Attractiveness of Deutsche Bank's Zero-coupon Exchangeables to Investors -- 4.2.6 Advantages to Novartis and Relevance of a Call Right -- 4.3 Crystallizing a Gain in a Convertible Investment Through Warrants -- 4.3.1 Case Study: Richemont Warrants Issue on Back of Convertible Preference Shares -- 4.3.2 Warrants' Terms -- 4.3.3 Analysis of R& -- R's Position -- 4.3.4 Main Benefits to Richemont of the Warrants Issue -- 4.3.5 Effect on BAT's Stock Price of the Warrants Issue -- 4.4 Monetizing a Stake with an Exchangeable Plus a Put -- 4.4.1 Case Study: Deutsche Bank's Exchangeable into Brisa -- 4.4.2 Transaction Overview -- 4.4.3 Analysis of Deutsche Bank's Overall Position -- 4.5 Increasing Likelihood of Conversion with a Call Spread -- 4.5.1 Case Study: Chartered Semiconductor's Call Spread with Goldman Sachs -- 4.5.2 Goldman Sachs's Overall Position -- 4.5.3 CSM's Overall Position -- 4.5.4 Attractiveness of the Transaction to CSM -- 4.5.5 Additional Remarks -- 4.6 Decreasing Likelihood of Conversion with a Call Spread.. - 4.6.1 Case Study: Microsoft's Convertible Plus Call Spread -- 4.7 Double Issuance of Exchangeable Bonds -- 4.7.1 Case Study: ABC's Double Exchangeable -- 4.8 Buying Back Conversion Rights -- 4.8.1 Case Study: Cap Gemini's Repurchase of Conversion Right from Soci´et´e G´en erale -- 4.9 Buying Back Convertible/Exchangeable Bonds -- 4.9.1 Case Study: TUI's Convertible Bond -- 4.10 Pre-IPO Convertible Bonds -- 5 Hedging and Yield Enhancing Strategic Stakes -- 5.1 Hedging a Strategic Stake -- 5.1.1 Hedging with a Put Option -- 5.1.2 Hedging with a Put Spread -- 5.1.3 Hedging with a Collar -- 5.1.4 Hedging with a Put Spread Collar -- 5.1.5 Hedging with a Fly Put Spread -- 5.1.6 Hedging with a Knock-out Put -- 5.1.7 Summary of Main Hedging Strategies -- 5.1.8 Hedging with Ladder Puts -- 5.1.9 Hedging with Variable Premium and Variable Expiry Timer Puts -- 5.1.10 Hedging with Pay-later Puts -- 5.2 Yield Enhancement of a Strategic Stake -- 5.2.1 Lending the Stock -- 5.2.2 Selling Part of the Upside with a Call -- 5.2.3 Monetization of Dividend Optionality -- 5.2.4 Reduction of Dividend Withholding Taxes with a Stock Lending Strategy -- 5.2.5 Reduction of Dividend Withholding Taxes with a Converse Strategy -- 6 Disposal of Strategic Stakes -- 6.1 Most Common Disposal Strategies -- 6.1.1 Case Study Assumptions -- 6.1.2 Market Dribbling Out or Gradual Sale -- 6.2 Deterministic Disposal Strategies -- 6.2.1 ABB - Block Trade -- 6.2.2 Mandatory Exchangeable Bond -- 6.2.3 Indirect Issue of an Exchangeable Bond -- 6.3 Enhanced Disposal Strategies -- 6.3.1 Direct Issue of an Exchangeable Bond -- 6.3.2 Sale of a Call Option -- 6.3.3 One-speed Range Accrual -- 6.3.4 Double-speed Range Accrual -- 6.3.5 Double-speed Range Accrual with Final Call -- 6.3.6 Double-speed Range Accrual with Deduction -- 6.3.7 Double-speed Range Accrual with Knock-out.. - 6.4 Derecognition Strategies.. - Equity strategies are closely guarded secrets and as such, there is very little written about how investors and corporate can utilise equity vehicles as part of their growth strategies. In this much-needed book, industry expert Juan Ramiraz guides readers through the whole range of equity derivative instruments, showing how they can be applied to a range of equity capital market situations, including hedging, yield enhancement and disposal of strategic stakes, mergers and acquisitions, stock options plan hedging, equity financings, share buybacks and other transactions on treasury shares, bank regulatory capital arbitrage and tax driven situations. The book includes case studies to highlight how equity derivative strategies have been used in real-life situations.
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| ISBN | 9781119978558
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