Table 1 Convertible bond examples

From: A simple and precise method for pricing convertible bond with credit risk

Convertible bond Case 1 (a 7-year convertible) Case 2 (a 20-year convertible)
Issuer X company Y company
Principal of bond 100 100
Annual coupon rate 2.625 5.5
Payment frequency Semi-annual Semi-annual
Issuing date 9 June 2010 15 June 2009
Maturity date 15 June 2017 15 June 2029
Conversion price 30.288 13.9387
Currency USD USD
Day count 30/360 30/360
Business day convention Following Following
Put price 100 at 20 June 2014
  1. Note: We hide the issuer names according to the security policy of the investment bank, but everything else is authentic. In the market, either a conversion price or a conversion ratio is given for a convertible bond, where conversion ratio=(face value of the convertible bond)/(conversion price).