Commodities, Derivatives and Structured Products

Equity Derivatives - Part 2 (2022)


This eCourse consists of three modules on convertibles. Module 1 provides a broad overview of the key features and cost-benefits of convertible bonds and their main-sub-types, and outlines the main mathematical terminology used with such instruments.

Module 2 describes the regulatory background to contingent convertibles (CoCos) and outlines the key features and structures of these instruments.

Module 3 looks at the pricing of convertible securities, with a particular focus on the lower bound on the convertible price, and the “moneyness” of the embedded call.


On completion of this course, you will be able to:

- Define the key benefits and costs/risks of convertibles for issuers and investors, and list the key types of convertible bond available
- Identify the key features of convertible securities
- Define the main mathematical terms used with convertibles
- Compare contingent convertible and traditional convertible bonds
- Define the key features of CoCos, including the trigger point and loss absorption mechanism
- Recall the regulatory background to the development of the CoCo space
- Identify the key factors affecting the prices of convertibles
- Calculate the lower bound on a convertible’s price
- Estimate the fair value of a convertible bond
- Recognise the importance of other convertible pricing issues, such as issuer calls and investor puts, and measures of option sensitivity

Content Highlight

Module 1: Convertibles - An Introduction
Topic 1: Overview of Convertibles
Topic 2: Features of Convertibles
Topic 3: Mathematics of Convertibles

Module 2: Contingent Convertibles (CoCos)
Topic 1: Overview of CoCos
Topic 2: CoCo Structures
Topic 3: Regulatory Issues

Module 3: Convertibles - Valuation
Topic 1: Pricing Factors
Topic 2: Bounds to Convertible Value
Topic 3: Valuing the Embedded Call Option
Topic 4: Other Convertible Pricing Issues

Administrative Details

Relevant Subject
Type 1 - Dealing in securities
Type 4 - Advising on securities
SFC:2.00, PWMA:2.00
All Member: HKD640
Chinese Securities Association of Hong Kong (HKCSA): HKD670
Non-Member: HKD960
Staff of Corporate Member: HKD640