Index
ABB with backstops
see also accelerated book-buildings
ABBs see accelerated book-buildings
ABC double exchangeable case study
ABC restructuring of call on own shares case study
accelerated book-buildings (ABBs)
see also ABB with backstops; block trades
advantages
definition
German disposal of Fraport with JP Morgan collaboration case study
IPIC disposal of Barclays stock case study
terms
types
weaknesses
accelerated stock repurchase programs (ASRs), share buybacks
acceleration events see early termination events
accounting considerations
see also IAS …; IFRS …; US GAAP …
acquisition prices, M&As
acquisition/sale price of shares, initial prices
actual days, equity swaps
additional Tier 1 capital
see also Basel III; Tier 1 …
calculations
components
deductions
definition
inclusion criteria
minimum requirements
Tier 2 capital
additivity, variance swaps
administrative agent fees, revolving margin loan facilities
ADTVs
advisors, IPOs
affiliates
affirmative covenants, equity financings
‘aftermarket’ trading, IPOs
AGMs see annual general meetings
Agnelli family equity swap with Merrill Lynch case study
all dividends, dividends per basket calculations
Allen & Co.
Allianz
allocation of shares, IPOs
American-style options
analyst presentations, IPOs
‘anchor marketing’ category, pre-marketing of the IPO offering
annual general meetings (AGMs)
annualization factor
antitrust authorities, M&As
arbitrage
articles of association
ASF see available stable funding
Asian call purchases
ASRs see accelerated stock repurchase programs
asset managers, equity swaps
‘at the market’ offerings (ATMs), definition
at-the-money options
see also intrinsic value …
ATMs see ‘at the market’ offerings
auditors
automatic exercise term (auto options)
available stable funding (ASF)
balance sheets
Banco Popolare convertible bond rights issue case study
Banco Santander
Bank of America
Bank of Italy (BoI)
Bank of New York (BoNY)
bank regulatory capital
see also Basel …; capital buffers; Tier …
capital instruments failing capital eligibility criteria
capital ratios
case studies
Commerzbank capital structure enhancement with Credit Suisse case study
components
concepts
EU Capital Requirements Directive
Federal Reserve System
FSA
hybrid instruments
leverage ratios
liquidity coverage ratios
minority interests
net stable funding ratios
risk-weighted assets
terminology
banking book operations
bankruptcy petitions
banks
see also global coordinators; syndicates
banking/trading-book operations
financial crisis from 2007
regulating bodies
Barclays
barrier options
Basel Accords
Basel I
Basel II
see also bank regulatory capital; Pillar …; risk-weighted assets
Basel III
see also additional Tier 1 capital; bank regulatory capital
capital conservation buffers
countercyclical buffers
deductions from Tier 1 capital
deferred tax assets
defined benefit pension funds
definition
hybrid instruments
implementation timescale
leverage ratios
liquidity coverage ratios
mandatory convertibles and contingent capital instruments
minority interests
net stable funding ratios
transitional arrangements
unconsolidated financial companies
baskets of stocks
BAT
BBVA
BCP, Controlinveste exchangeable bonds on Portugal Telecom case study
Bear Stearns
bearish views
beneficiaries, equity-based compensation plans
best-effort execution basis, VWAP-linked repurchase programs
Black-Scholes options pricing model
blackout periods
block trades
see also accelerated book-buildings
BNL, Unipol takeover of BNL and call/put combination with Deutsche Bank
BNP Paribas
boards of directors
bonds
see also convertible …; exchangeable …
bonds collateralized by equity stakes
definition
early termination events
bonus issues
book-building IPO process
bookrunners, IPOs
borrowing fees
bought deals see block trades
breakeven prices, options
bridge loans, M&As
Brisa
British Land plc
Brownian motion
bullish views
butterfly put spreads see fly put spreads
buybacks of conversion rights, Cap Gemini case study
buybacks of convertibles/exchangeables
calculation agents, equity financings
call options
see also collars; ‘Greeks’ (sensitivities); options …
ABBs
call/put deltas
covered call writing
definition
disposal of strategic stakes
enhanced disposal of strategic stakes
equity-based compensation plans
examples
exchangeable bonds
German disposal of Fraport with JP Morgan collaboration case study
hedging
M&As
make-whole clauses
payoffs
put-call parity
share buybacks
strategic stakes
terms
time value and intrinsic value
Unipol takeover of BNL and call/put combination with Deutsche Bank
call periods, convertible bonds
call rights
call spreads
Cap Gemini
capital adequacy requirements
capital buffers
see also capital conservation …; countercyclical …
capital conservation buffers
capital guaranteed equity-linked products
capital increase products
see also accelerated book-buildings; equity capital market products; hybrid instruments; initial public offerings; rights issues
capital instruments failing capital eligibility criteria, bank regulatory capital
capital market products see equity capital market products
capital ratios
see also bank regulatory capital; Basel …; leverage …; liquidity …; net stable funding …; risk-weighted assets; Tier 1 …
Capital Requirements Directive (CRD)
see also Basel III
capital returns to shareholders
see also share buybacks
capital-allocation decisions
capped VWAP execution basis, VWAP-linked repurchase programs
cash collateral agents
cash flow hedge reserves, Tier
cash margin accounts, equity financings
cash option terms, convertible bonds
cash settlement amounts, prepaid forwards plus equity swaps
cash top-ups, convertible bonds
cash-settled equity forwards
see also equity forwards
cash-settled equity swaps
see also equity swaps
cash-settled options
see also options
CASHES
CDSs see credit default swaps
change-of-control make-whole clauses, convertible bonds
Citigroup
clean-up call clauses, convertible bonds
close periods see blackout periods
closing prices, settlement prices of equity swaps
co-managers, IPO syndicates
CoCos see contingent convertibles
collared financing, equity financings
collars
see also call options; put options
definition
collateral
Commerzbank capital structure enhancement with Credit Suisse case study
commitment fees, revolving margin loan facilities
common stock
see also convertible bonds; equity …; Tier 1 capital
communication agencies, IPOs
company lifecycles, equity capital market products
compensation amounts, offsetting dividend risks
compo equity swaps
composite options
concentrated stock positions see strategic stakes
conference calls, IPO roadshows
confirmation agreements
CONSOB
consolidated balance sheets, minority interests
contingent convertibles (CoCos)
see also CASHES; convertible bonds; ECNs; FRESHs; SCNs
Controlinveste exchangeable bonds on Portugal Telecom case study
converse transactions
conversion prices
conversion ratios
conversion rights, Cap Gemini case study
convertible arbitrage, definition
convertible bonds
see also CASHES; contingent convertibles; ECNs; equity-linked products; FRESHs; mandatory …
advantages
Banco Popolare rights issue case study
Basel III
buybacks of conversion rights
buybacks of convertibles/exchangeables
buyer perspectives
call option make-whole clauses
call rights
call spreads
Cap Gemini repurchase of conversion rights case study
cash option terms
cash top-ups
change-of-control make-whole clauses
clean-up call clauses
concepts
conversion premiums
coupon deferral clauses
coupons
covenants
credit spreads
CSM call spread with Goldman Sachs case study
definition
delta
dilution considerations
disadvantages
dividend protection clauses
dividend swaps
equity swaps
exchangeable bonds
fund types
Gileads’ share repurchase program financed with convertible bonds case study
hedge funds
implied volatility
Infineon case study
issuer perspectives
likelihoods of conversion
liquidity
make-whole clauses
Microsoft convertible plus call spread case study
net share settlement clauses
Novartis LEPOs and put options with Deutsche Bank case study
pre-IPO convertible bonds
put rights
reverse convertibles
Richemont warrants issue on back of convertible preference shares case study
rights issues
share buybacks
soft call term
special clauses
strategic equity transactions
takeover make-whole clauses
tax calls
taxes
terms
third-party issues
TUI buyback convertible case study
types
valuations
voting rights
warrants
zero-coupon convertibles
convertible preference shares
convexity
Corporacion Dermoestetica’s public offer to acquire own shares case study
corporate actions
see also bonus issues; dividends; rights issues; stock splits
corporate governance
correlation trading, variance/volatility swaps
cost of carry, equity swaps
countercyclical buffers
counterparty credit risk
coupon deferral clauses, convertible bonds
coupons
see also interest payments
covenants
covered call writing, yield enhancement of strategic stakes
credit conversion factors (CCFs)
credit default swaps (CDSs)
see also credit events
credit derivatives
credit enhancement tools, equity financings
credit events
see also credit default swaps
credit ratings
credit risk
see also bank regulatory capital; haircut uses
definition
credit spreads, convertible bonds
Credit Suisse
CSFB
see also Credit Suisse
CSM call spread with Goldman Sachs case study
cum-rights price, definition
currencies
current ratios
custodian banks
dates in dividend distributions
day count fractions
debt capital markets
see also bonds
debt-to-equity ratios
declaration dates
declared cash dividends
declared cash equivalent dividends
DECS see dividend enhanced convertible securities
dedicated convertible funds
deep-in-the-money call purchases, share buybacks
default events
deferred tax assets (DTAs)
defined benefit pension funds
delta
see also gamma; risk reversals; skew
definition
delta-hedging
see also hedging
definition
delta-neutral hedging
denominations
convertible bonds
exchangeable bonds
depositary banks
derecognition strategies for the disposal of strategic stakes
critique
definition
derivative instruments
see also equity …; forwards; futures …; options; range accruals; swaps
definition
deterministic disposal of strategic stakes
Deutsche Bank
Deutsche Telekom (DTE)
dilution
directional views
disclosure requirements, M&As
discounted cash flows (DCFs), IPO valuations
discounted purchase share plans
discounted VWAP execution basis, VWAP-linked repurchase programs
discounts
dispersion trades
see also correlation …
disposal of strategic stakes
see also strategic stakes
ABBs
call options
cash-settled equity swaps
concepts
definition
derecognition strategies
deterministic disposal strategies
double-speed range accruals
double-speed range accruals with deductions
double-speed range accruals with final call
double-speed range accruals with knock-outs
enhanced disposal strategies
equity swaps
exchangeable bonds
German disposal of Fraport with JP Morgan collaboration case study
gradual sales
indirect issues of exchangeable bonds
market dribble-outs
one-speed range accruals
physically-settled equity swaps
range accruals
distressed convertible valuations
distributed amounts, dividend swaps
diversification
see also portfolios
dividend amount payers, dividend swaps
dividend amount per period, dividend swaps
dividend enhanced convertible securities (DECS)
see also variable parity mandatory convertibles
definition
dividend swaps
see also swaps
definition
exchangeable bonds
index dividend swaps
terms
dividend yields
see also rho
dividends
amounts
capital returns to shareholders
convertible bonds
dates in distributions
elections
equity swaps
equity-based compensation plans
extraordinary (special) dividends
forward price calculations
implied dividends
monetization of dividend optionality
offsetting dividend risks
options
pass-through mechanisms
per basket
per share
periods
protection clauses
rights issues
risk
scrip dividends
stock lending/borrowing transactions
threshold mechanisms
double issuance of exchangeable bonds
double-speed range accruals
Dragui, Mario
drawn amounts, LTV
DTAs see deferred tax assets
due diligence
Dutch auctions, definition
dynamic hedging
early termination events, equity financings
early unwind
earnings per share (EPS)
EBITDA
ECM team see equity capital markets (ECM) team
ECNs
effective dates
EGMs see extraordinary general meetings
eligible collateral, revolving margin loan facilities
eligible shareholders see qualifying shareholders
embedded options
see also convertible bonds
employee stock options plans (ESOPs)
see also stock options plans
accounting entries
definition
terms
employees, stock options plans
enhanced disposal of strategic stakes
definition
double-speed range accruals
exchangeable bonds
one-speed range accruals
EPS see earnings per share
equity amount payers, equity swaps
equity amount receivers, equity swaps
equity amounts
see also settlement amounts
equity capital market products
see also accelerated book-buildings; capital increase products; hybrid instruments; initial public offerings; rights issues
company lifecycles
overview
types
equity capital markets (ECM) team
equity derivative instruments
see also forwards; futures …; options; swaps
concepts
equity financings
accounting entries
bonds collateralized by equity stakes
case studies
CDSs
collared financing
collateral
concepts
covenants
credit enhancement tools
default events
definition
early termination events
equity swaps
LTV
margin loans
margining
parties
prepaid forwards plus equity swaps
put financing
recourse/non-recourse types
repos
sale plus equity swaps
stock lending/borrowing transactions
equity forwards
see also cash-settled …; physically-settled …
concepts
definition
examples
share buybacks
terms
types
US GAAP rules
equity funds, convertible bonds
equity income funds, convertible bonds
equity notional amounts
equity plus share plans
equity swaps
see also cash-settled …; physically-settled …; price return …; swaps; total return …
Agnelli family equity swap with Merrill Lynch case study
asset managers
compo equity swaps
concepts
confirmation agreements
convertible bonds
definition
derecognition strategies for the disposal of strategic stakes
disposal of strategic stakes
diversification
equity financings
equity-based compensation plans
examples
hedging
initial prices
M&As
Perry’s equity swaps with Bear Stearns and Goldman Sachs case study
prepaid forwards plus equity swaps
quanto equity swaps
sale plus equity swaps
settlement methods
stock indexes
terms
transaction flows
uses
equity-based compensation plans
see also stock options plans
accounting entries
call options
case studies
definition
equity swaps
fair values
hedging
HSBC share performance awards
IFRS accounting
risks
taxes
terminology
terms
treasury shares
types
equity-linked products
see also convertible bonds; mandatory convertibles
equity-story part of the analyst presentation, IPOs
Ernst & Young
escrow accounts, equity financings
escrow agents, bonds collateralized by equity stakes
escrow agreements, bonds collateralized by equity stakes
Eurex
Euribor
Euronext
European Union (EU)
European-style options
see also options
definition
Eurostoxx 50 index
EV comparables, IPO valuations
ex-dividend dates
ex-rights date, definition
exchangeable bonds
ABBs
ABC double exchangeable case study
buybacks of convertibles/exchangeables
call options
Controlinveste exchangeable bonds on Portugal Telecom case study
definition
deterministic disposal of strategic stakes
Deutsche Bank exchangeable into Brisa case study
disposal of strategic stakes
dividend swaps
double issuance
enhanced disposal of strategic stakes
exchange property
German disposal of Fraport with JP Morgan collaboration case study
maturity
Novartis LEPOs and put options with Deutsche Bank case study
premiums
put options
regulators
security mechanisms
strategic equity transactions
terms
third-party guarantees
transaction flows
zero-coupon exchangeables
exercise of options
see also American …; European …
exercise periods, equity-based compensation plans
exercise prices, equity-based compensation plans
existing shares, rights issues
Exor
expected life terms, equity-based compensation plans
expected losses, Tier 1 capital deductions
expiration dates
see also theta
definition
‘exposure’ see restated balance sheet assets
extraordinary general meetings (EGMs)
extraordinary (special) dividends
fair values
Fazio, Antonio
Federal Reserve System
fees
IPOs
revolving margin loan facilities
rights issues
stock lending/borrowing transactions
Fiat
fiduciary banks
final exchange parts, equity swaps
final offering structures, IPOs
financial advisors, IPOs
financial covenants, equity financings
financial crisis from 2007
Financial Services Authority (FSA)
financing considerations
see also debt capital …; equity capital …; equity financings
financing repayment amounts, forward price calculations
Fiorina, Carly
Fitch
fixed amount payers, dividend swaps
fixed amount per period, dividend swaps
fixed amounts
fixed parity mandatory convertibles
fixed strike, dividend swaps
floating amounts
fly put spreads
follow-on capital raising
see also accelerated book-buildings; convertible bonds; equity capital market products; rights issues
foreign currencies see currencies
forfeiture terms, equity-based compensation plans
Fortis Bank
Fortis FRESH instrument case study
forward prices
forwards
see also equity …; variance swaps
Fraport
FRESHs
FSA see Financial Services Authority
FTSE 100 index
fund managers
see also hedge …
futures exchanges
FX risk
gain-on-sale related to securitization transactions, Tier 1 capital deductions
gamma
see also delta
gamma-hedging
geometric Brownian motion
German disposal of Fraport with JP Morgan collaboration case study
Gileads’ share repurchase program financed with convertible bonds case study
global coordinators
see also banks
Global Master Securities Lending Agreements (GMSLA)
GMSLA see Global Master Securities Lending Agreements
going concerns, definition
‘going public’ process
see also initial public offerings
definition
Gold International case study
Goldman Sachs
gone concerns
see also Tier 2 capital
definition
goodwill
see also intangible assets
Google’s Dutch auction IPO case study
grace/cure periods, early termination events
gradual sales, deterministic disposal of strategic stakes
grant dates, equity-based compensation plans
the ‘Greeks’ (sensitivities)
see also delta; gamma; rho; theta; vega
‘greenshoe’ (overallotment) option, IPOs
gross dividends
gross spread
see also fees; initial public offerings
group presentations, IPO roadshows
guaranteed borrow maturities
guaranteed execution basis
guarantees
haircut uses
see also credit risk
stock lending/borrowing transactions
Hang Seng index
hard call term, convertible bonds
hard no call term, convertible bonds
hedge funds
hedging
see also delta-hedging
automatic exercise term (auto options)
call options
collars
dividend swaps
equity swaps
equity-based compensation plans
fly put spreads
HSBC share performance awards
knock-out puts
ladder puts
pay-later puts
put options
put spread collars
put spreads
stock options plans
strategic stakes
summary of strategies
timer call options
timer puts
variance/volatility swaps
Hewlett Packard
high coupon convertibles
high yield funds, convertible bonds
highly liquid assets, liquidity coverage ratios
historical volatility
hostile takeovers
see also mergers and acquisitions
defenses
HSBC
hybrid instruments, bank regulatory capital
IAS 12 Income Taxes
IAS 19 Employee Benefits
IAS 39 Financial Instruments: Recognition and Measurement
IBM
IFIL
IFRS accounting
implied dividends
implied volatility
see also options; skew; timer puts; vega; volatility smiles
definition
in-the-money options
see also intrinsic value …
incentive fees, IPOs
inception steps, dividend elections
income and expenditure accounts
indentures, bonds collateralized by equity stakes
indexes see stock indexes
indirect issues of exchangeable bonds, deterministic disposal of strategic stakes
Infineon convertible bond case study
ING rights issues case study
initial LTV, equity financings
initial prices, equity swaps
initial public offerings (IPOs)
advisors
‘aftermarket’ trading
allocation of shares
analyst presentations
benefits
book-building IPO process
concepts
definition
drawbacks
due diligence
Dutch auctions
equity-story part of the analyst presentation
fees
financial advisors
global coordinators
Google’s Dutch auction IPO case study
‘greenshoe’ (overallotment) option
investor relations teams
lock-up periods
marketing-the-offering phase
methods
offer prices
offering structure
phases
placement-of-the-offering phase
pre-IPO convertible bonds
preparation-of-the-company phase
preparation-of-the-offering phase
product description
project structure
prospectuses
‘red herrings’
risk factors
roadshows
size of tranches
success factors
syndicates
timescales
underwriters
valuations
Visa Inc. case study
insider information
see also blackout periods
institutional investors
intangible assets
see also goodwill
Tier 1 capital deductions
interest carry
interest flows
equity swaps
stock lending/borrowing transactions
interest payments
see also coupons
default events
revolving margin loan facilities
interest rates
see also rho
equity swaps
forward price calculations
options pricing models
risk
interim exchange parts, equity swaps
Internal Capital Adequacy Assessment Process (ICAAP)
internal ratings-based approach (IRB)
International Swaps and Derivatives Association (ISDA)
intrinsic value of an option
see also at-the-money …; in-the-money …; out-of-the-money …
definition
investment banks, indirect issues of exchangeable bonds
investor relations teams, IPOs
investors
ABBs
convertible bonds
IPOs
profiles
IPE
IPIC disposal of Barclays stock ABB case study
IPOs see initial public offerings
IRB see internal ratings-based approach
ISDA see International Swaps and Derivatives Association
issue dates
issue prices
convertible bonds
exchangeable bonds
ISVAP
joint/co-lead-managers
JP Morgan
knock-out barriers
knock-out calls
knock-out puts
KPMG
ladder puts, hedging
Laxey stock lending case study
LBOs see leveraged buy-outs
LCRs see liquidity coverage ratios
legal advisors, IPOs
Lehman Brothers
lending fees, stock lending/borrowing transactions
LEPOs
letters of credit
leverage
leverage ratios
leverage share savings plans
leveraged buy-outs (LBOs)
see also private equity
Libor
likelihoods of conversion, convertible bonds
liquidation procedures
liquidity
bank regulatory capital
convertible bonds
financial covenants
share buybacks
liquidity coverage ratios (LCRs)
listed companies, M&As
Lloyds
Lloyds ECN case study
loan to value (LTV), equity financings
lock-out periods, convertible bonds
lock-up periods
lognormal returns, volatility calculations
Lombard loans see margin loans
long positions
low coupon convertibles
LTV see loan to value
maintenance covenants see financial covenants
make-whole clauses
management fees, IPOs
Mandalay Resort
mandatory convertibles
see also contingent convertibles; convertible bonds; equity-linked products; fixed parity …; variable parity …
advantages
Banco Santander fixed parity case study
bankruptcy petitions
Basel III
buyer perspectives
conversion premiums
definitions
disadvantages
issuer perspectives
subordinated debt
UBS DECS case study
mandatory public offer requirements, M&As
manufactured dividends
margin calls
margin loans, equity financings
margining, equity financings
margins, futures exchanges
mark-to-market values
market abuses, share buybacks
market dribble-outs, deterministic disposal of strategic stakes
market risk
see also Value-at-Risk
definition
market value of secured collateral, LTV
market vesting conditions, equity-based compensation plans
marketing-the-offering IPO phase
Martin, John
Master Agreements
maturities
maturity dates, forward price calculations
Mediobanca
mergers and acquisitions (M&As)
AGMs
Agnelli family equity swap with Merrill Lynch case study
antitrust authorities
arbitrage position enhancements
bridge loans
call options
concepts
defenses
disclosure requirements
equity derivatives
equity swaps
hedge fund merger arbitrage position enhancements
Laxey stock lending case study
listed companies
locked-in acquisition prices
mandatory public offer requirements
Mylan-King merger
Perry’s equity swaps with Bear Stearns and Goldman Sachs case study
pre-offer blocks
proxy contests
put options
qualified holdings
regulators
short-form disclosure statements
stock lending/borrowing transactions
success likelihoods
Telefonica offer to Portugal Telecom case study
transparent disclosure policies
Unipol takeover of BNL and call/put combination with Deutsche Bank
voting rights
Merrill Lynch
MGM
Microsoft
Microsoft convertible plus call spread case study
minority interests
Montalban Partners case study
monetization of dividend optionality
see also scrip dividends
moneyness of options
see also at-the-money …; in-the-money …; intrinsic value …; out-of-the-money …
definitions
Monte Carlo simulations
Moody’s
Morgan Stanley
mortgage servicing rights (MSRs)
MSRs see mortgage servicing rights
Mylan-King merger
negative covenants, equity financings
net dividends, equity swaps
net operating losses (NOLs), deferred tax assets
net share settlement clauses
net stable funding ratios (NSFRs), bank regulatory capital
netting arrangements, restated balance sheet assets
Nikkei 225 index
non-core Tier 1 capital see additional Tier 1 capital
non-counterparty risk, definition
non-market vesting conditions, equity-based compensation plans
non-pre-emptive capital increases, definition
non-recourse equity financings, definition
non-vesting conditions, equity-based compensation plans
notional amounts
Novartis
NSFRs see net stable funding ratios
number of shares
observation days/periods
off-balance sheet transactions
offer prices, IPOs
offering circulars, IPOs
offering structure, IPOs
official index divisor
offsetting dividend risks
Oliveira, Joaquim
OMRs see open market repurchase programs
one-speed range accruals
one-to-one meetings, IPO roadshows
open market repurchase programs (OMRs), share buybacks
open/guaranteed borrow maturities
operational risk
option sensitivities
options 1
see also call …; collars; ‘Greeks’ (sensitivities); put …; stock options …; warrants
automatic exercise term
composite options
concepts
corporate action adjustments
definitions
dividends
embedded options
examples
LEPOs
M&As
Novartis LEPOs and put options with Deutsche Bank case study
offsetting dividend risks
payoffs
premiums
pricing models
quanto options
rights issues
straddles
strike prices
styles
terms
time value and intrinsic value
ordinary shares see common stock
OTC derivatives
see also dividend swaps; variance swaps; volatility swaps
out-of-the-money options
see also intrinsic value …
own credit risk gains and losses on liabilities, Tier
own shares
see also share buybacks
P/E ratios of comparables, IPO valuations
pay-later puts
payment dates, dividends
payoffs
PCRPs see prepaid collared repurchase programs
pension funds, Tier 1 capital deductions
performance vesting conditions, equity-based compensation plans
Perry’s equity swaps with Bear Stearns and Goldman Sachs case study
physically-settled CDSs
see also credit default swaps
physically-settled equity forwards
see also equity forwards
physically-settled equity swaps
see also equity swaps
physically-settled options
see also options
Pillar 1 (Minimum Capital Requirements)
see also Basel …
definition
Pillar 2 (Supervisory Review and Evaluation Process), definition
Pillar 3 (Market Discipline), definition
‘pilot fishing’ category, pre-marketing of the IPO offering
placement-of-the-offering IPO phase
pledge agreements
portfolios
see also diversification
Portugal Telecom
pre-deal research, IPOs
pre-emptive capital increases
see also rights issues
definition
pre-IPO convertible bonds
pre-marketing of the IPO offering
pre-offer blocks, M&As
preference shares
premium payment dates, options
premiums
prepaid collared repurchase programs (PCRPs), share buybacks
prepaid forwards plus equity swaps, equity financings
preparation-of-the-company IPO phase
preparation-of-the-offering IPO phase
present values
price return equity swaps
see also equity swaps
pricing, convertible bonds
principal payments, default events
printers, IPOs
private equity
see also leveraged buy-outs
private sales of put options, share buybacks
probability distributions
profits, Tier 1 capital
project structure, IPOs
prospectuses, IPOs
proxy contests
public offer requirements, M&As
publicly offered put options
publicly offered repurchase programs, share buybacks
put financing, equity financings
put options
see also collars; ‘Greeks’ (sensitivities); options …
call/put deltas
definition
Deutsche Bank exchangeable into Brisa case study
equity financings
examples
exchangeable bonds
hedging
knock-out puts
M&As
Novartis LEPOs and put options with Deutsche Bank case study
payoffs
private sales of put options
publicly offered put options
share buybacks
strategic stakes
Swisscom’s public offer of put options case study
terms
Unipol takeover of BNL and call/put combination with Deutsche Bank
put rights, convertible bonds
put spread collars, definition
put spreads
put-call parity, definition
qualified holdings, definition
qualifying dividends, dividend swaps
qualifying shareholders, rights issues
quanto equity swaps
quanto options
quick ratios
R&R Holdings S.A.
Rabobank SCN case study
range accruals
definition
terms
rating trigger events, equity financings
RDF see required stable funding
realized variance
realized volatility see historical volatility
rebates, timer puts
reciprocal stakes in unconsolidated financial companies, Tier 1 capital deductions
record dates
record share prices, definition
recourse equity financings, definition
‘red herrings’, IPOs
redemption amounts
redemption prices
redemption rights, ECNs
reference entities, CDSs
reference obligations, CDSs
reference prices
regulators
see also bank regulatory capital; Basel …
reinvestment of dividends, equity swaps
relative value views
relevant dividends
repos
see also stock lending/borrowing transactions
definition
rates
voting rights
required stable funding (RSF)
rescue capital raising
see also accelerated book-buildings; convertible bonds; equity capital market products; rights issues
overview
reserves
reshuffled collateral, revolving margin loan facilities
resolutions of AGMs/EGMs
restated balance sheet assets, leverage ratios
retail investors, IPOs
retained earnings
returns, volatility calculations
reverse convertibles
reverse triangular mergers
revolving margin loan facilities, equity financings
rho
see also dividend yields; interest rates
Richemont
rights issues
see also corporate actions
advantages
Banco Popolare convertible bond case study
convertible bonds
definition
disadvantages
dividends
fees
historical price adjustments
ING case study
methods
option terms
product description
risk factors
roadshows
shareholder alternatives
success factors
terms
TERP
timescales
underwriters
rights prices see subscription prices
risk management, bank regulatory capital
risk reversals
see also delta; implied volatility; skew
definition
risk-arbitrage spread trades
risk-averse investors
risk-free interest rates
risk-return profiles, portfolios
risk-weighted assets (RWAs)
see also credit …; market …; non-counterparty …; operational …
accounting considerations
banking/trading-book operations
call options
computations
definition
reduction methods
risks
see also counterparty …; credit …; FX …; interest rate …; market …; operational …
bank regulatory capital
dividend swaps
equity-based compensation plans
IPOs
offsetting dividend risks
rights issues
types
underwriting risks
roadshows
RWAs see risk-weighted assets
S&P 500 index
see also Standard and Poor’s
safe harbour rules, share buybacks
sale plus equity swaps, equity financings
SARs see stock appreciation rights
SCNs
scrip dividends
SEC
secondary placement products
see also accelerated book-buildings; initial public offerings
definition
securities lending/borrowing transactions see stock lending/borrowing transactions
securitization transactions, Tier 1 capital deductions
security mechanisms, exchangeable bonds
selling commissions (concessions), IPOs
sensitivities see ‘Greeks’ (sensitivities)
sensitivity analysis, TERP discounts
service vesting conditions, equity-based compensation plans
settlement amount payment dates, dividend swaps
settlement amounts
see also equity amounts
settlement dates
settlement methods
see also cash …; physically …
settlement prices
settlement terms, CDSs
share buybacks
accelerated stock repurchase programs
Asian call purchases
at-the-money calls
blackout periods
call options
concepts
convertible bonds
Corporacion Dermoestetica’s public offer to acquire own shares case study
deep-in-the-money call purchases
definition
double-speed range accruals
double-speed range accruals with final put
EPS adjustments
equity forwards
Gileads’ share repurchase program financed with convertible bonds case study
Hewlett Packard’s ASR with Merrill Lynch case study
Hewlett Packard’s PCRP with BNP Paribas case study
in-the-money options
liquidity improvements
market abuse and safe harbour rules
one-speed range accruals
open market repurchase programs
own shares
prepaid collared repurchase programs
private sales of put options
publicly offered put options
publicly offered repurchase programs
put options
range accruals
regulators
stockbrokers
Swisscom’s public offer of put options case study
transparency issues
VWAP-linked repurchase programs
share plans
see also equity-based compensation plans
HSBC share performance awards
share-based payments
see also equity-based compensation plans
IFRS accounting definition
shareholders
see also dividend …; voting rights
short positions
shortfall of the stock of provisions to expected losses, Tier 1 capital deductions
skew
see also delta; implied volatility; risk reversals
Societe Generale
soft call term, convertible bonds
special clauses, convertible bonds
special purpose entities (SPEs)
specialized equity derivative products
see also dividend swaps; variance swaps; volatility swaps
speculators
spot prices
stakes in unconsolidated financial companies, Tier 1 capital deductions
standard deviations
see also volatility
Standard and Poor’s (S&P)
see also S&P 500 index
standstill periods, M&As
steering committees, IPOs
stock appreciation rights (SARs)
see also equity-based compensation plans
accounting entries
call options
case studies
definition
equity swaps
hedging strategies
payoffs
risks
terminology
terms
treasury shares
stock indexes
see also Eurostoxx …; FTSE …; Hang Seng …; Nikkei …; S&P …
stock lending/borrowing transactions
see also repo rates
advantages
collateral
concepts
confirmation agreements
counterparty credit risk
definition
dividends
drawbacks
equity financings
haircut uses
interest flows
Laxey stock lending case study
lending fees
M&As
manufactured dividends
open/guaranteed borrow maturities
strategic stakes
tax arbitrage schemes
transaction flows
voting rights
withholding taxes
yield enhancement of strategic stakes
stock markets
see also initial public offerings
stock options plans
see also equity-based compensation plans
accounting entries
call options
case studies
concepts
definition
equity swaps
exercise prices
fair values
hedging
HSBC share performance awards
IFRS accounting
risks
terminology
terms
uses
stock splits
stock surplus component of Tier 1/2 capital
stock trigger events, equity financings
stockbrokers, share buybacks
straddles
strategic equity transactions
see also bank regulatory capital; tax-driven …
strategic stakes
see also disposal …
call options
call spreads
collars
concepts
covered call writing
definition
fly put spreads
German disposal of Fraport with JP Morgan collaboration case study
hedging
knock-out puts
ladder puts
monetization of dividend optionality
pay-later puts
put options
put spread collars
put spreads
stock lending/borrowing transactions
summary of hedging strategies
timer puts
withholding taxes
yield enhancement methods
strategies, share buybacks
strike prices
see also volatility smiles
definition
structuring fees, revolving margin loan facilities
styles of options
see also American …; European …
sub-underwriters, IPOs
subordinated debt
subscription agreements, bonds collateralized by equity stakes
subscription periods, rights issues
subscription prices
subscription rights, rights issues
subsidiaries
sum-of-parts inputs, IPO valuations
swaps
see also cash-settled …; dividend …; equity …; physically-settled …; variance …; volatility …
CDSs
SWIFT confirmations
Swisscom’s public offer of put options case study
syndicates
see also underwriters
systemic risks
takeover make-whole clauses, convertible bonds
takeovers
see also mergers and acquisitions
TARP see Troubled Asset Relief Program
tax-driven strategic equity transactions
arbitrage schemes
stock lending/borrowing transactions
taxes
arbitrage schemes
convertible bonds
credits
deferred tax assets
ECN events
equity swaps
equity-based compensation plans
havens
withholding taxes
Telefonica
term financings, definition
term structure of implied volatility
termination dates
termination events, equity financings
TERP (theoretical ex-rights price)
see also rights issues
theta
see also expiration dates
third-party guarantees, exchangeable bonds
third-party issues, convertible bonds
Thomas Weisel
Tier 1 capital
see also Additional …; bank regulatory capital; Basel …; capital ratios
Basel II 50/50 deductions
calculations
capital instruments failing capital eligibility criteria
Commerzbank capital structure enhancement with Credit Suisse case study
components
deductions
definition
inclusion criteria
leverage ratios
minimum requirements
minority interests
Tier 2 capital
additional inclusions
additional Tier 1 capital
Basel II 50/50 deductions
calculations
capital instruments failing capital eligibility criteria
components
deductions
definition
inclusion criteria
minimum requirements
trigger conditions for hybrid instruments
time value of an option
timer call options, hedging
timer puts
see also implied volatility
timing differences, deferred tax assets
total return equity swaps
see also equity swaps
definition
equity financings
examples
total shareholder returns (TSRs), HSBC share performance awards
TPG-Axon Partners
TPSs see trust preferred securities
trade dates
trade periods, rights issues
trading book operations
trading desks, delta-hedging roles
transaction costs
transitional arrangements, Basel III
transparency issues
treasury shares
see also share buybacks
trigger events, equity financings
Troubled Asset Relief Program (TARP)
trust ESOPs (employee stock ownership plans), definition
trust preferred securities (TPSs)
trustees, bonds collateralized by equity stakes
TSRs see total shareholder returns
TUI buyback convertible case study
UBS
unconsolidated financial companies, Tier 1 capital deductions
underlying assets
underwriters
see also syndicates
Unicredit
Unipol takeover of BNL and call/put combination with Deutsche Bank
United Kingdom
United States (US)
Bancorp
GAAP rules
Treasury placement of Citigroup shares ATM case study
upfront fees, revolving margin loan facilities
use of proceeds
valuation dates, equity swaps
valuation times, equity swaps
valuations
see also options pricing models
Value-at-Risk (VaR)
see also market risk
vanilla options
see also options
definition
variable expiry timer puts
variable parity mandatory convertibles
see also dividend enhanced …
variable premium timer puts
variance strike
variance swaps
see also forwards; swaps; volatility …
vega
see also implied volatility
vesting conditions
Visa Europe
Visa Inc. IPO case study
volatility
see also historical …; implied …; variance …; vega
definitions
volatility smiles
see also implied volatility; strike prices
volatility swaps
see also swaps
volume-weighted average price per share (VWAP)
voting rights
convertible bonds
disposal of strategic stakes
M&As
proxy contests
repos
stock lending/borrowing transactions
strategic stakes
VWAP see volume-weighted average price per share
VWAP-linked repurchase programs
Wachovia
warrants
see also options
definition
Wells Fargo
withholding taxes
reduction methods
stock lending/borrowing transactions
WR Hambrecht
yield enhancement of strategic stakes
yield to maturity
zero-cost collars
zero-coupon convertibles/exchangeables
Index compiled by Terry Halliday