Research Article
Pricing Chinese Convertible Bonds with Dynamic Credit Risk
Table 2
ICBC convertible bond.
| | Convertible bond | ICBC convertible bond |
| | Issue date | 2010.8.31 | | Time horizon | 6 | | Face value | 100 | | Coupon (%) | 0.5, 0.7, 0.9, 1.1, 1.4, 1.8 | | Call value till maturity | 105 | | The first conversion price | 4.2 | | Change of conversion price | 2010.11.26, adjusted to 4.16
2010.12.27, adjusted to 4.15
2011.6.15, adjusted to 3.97
2012.6.14, adjusted to 3.77
2013.6.26, adjusted to 3.53 | | Reset clause | In 30 consecutive trading days, the closing stock price is smaller than 80% of conversion price in 15 trading days. | | Call on condition | In 30 consecutive trading days, the closing stock price is bigger than 130% of conversion price in 15 trading days. | | Call value | Face value plus the accrued interest | | Put on condition | When the use of capital is changed | | Put value | Face value plus the accrued interest |
|
|
