Purchase and sale criteria for convertibles

Purchase criteria

Balanced

  • Price at par (100%) or repayment +
    5%–10%
  • Delta (price participation) min. 25%
    or for busted CV yield to maturity of
    min. 8%
     

Floor (net)

  • In the investment grade 90%–95%
  • In the non-investment area 80%

 
Premiums

  • must be in a sensible ratio to the maturity and volatility of the underlying security

 

Maturity

  • Target duration 5 years
    (handled fl exibly)

 
Debtor quality (rating)

  • Good diversifi cation is desired, optimum ½ AAA-BBB-, ½ NON-investment grade
  • Non-investment grade CVs must display a high price increase potential

 
Currency

  • Reference currency €
  • Foreign currency percentage
    with any hedging
 

Sale criteria


Delta (share participation)
Underlying security falls so drastically that no more Delta exists.
 

Debtor quality
Rating worsens so much that the interest payment or repayment of the loan may be under threat.
 

Substitution
New converter with better parameters
replaces a previous one.

 

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