Global convertible security issuance has surged in the wake of the COVID-19 outbreak as companies rush to raise cash to see them through the economic impact. This has resulted in an increase in demand for fair valuation requirement for convertible instruments. However, determination of fair value of convertible instruments can be a challenging task. Multiple provisions and attributes of the underlying security need to be considered and modeled. Join Mark Zyla, Rajesh C. Khairajani, and Faisal Lakhani for a discussion about the convertible securities market in the context of the current economic environment, along with practical demonstrations of the use of Black-Scholes-Morton, binomial lattice, and Monte Carlo models as they apply to convertible debt instrument valuation. See examples of both for initial calibration at the transaction date and for fair value measurements of subsequent period(s). Valuation practitioners, accountants, investors, and attorneys will gain technical expertise as well as current perspective on market conditions from this must-attend webinar.

• Overview of convertible debt instruments

• Types of instruments commonly issued

• Overview of convertible debt instruments market

• Financial reporting fair value considerations

• Overview of recent valuation guidance

• Overview and rationale of commonly used valuation methodologies (DCF/BSM/binomial/Monte Carlo)

• Case Study 1: Valuation of simple convertible instrument

• Methodology: BSM and DCF

• Steps (initial calibration and subsequent measurement)

• Practical illustration

• Case Study 2: Valuation of simple convertible instrument

• Methodology: binomial model

• Steps (initial calibration and subsequent measurement)

• Practical illustration

• Case Study 3: Valuation of detachable warrants

• Methodology: Monte Carlo simulation for full ratchet down round

 

• Practical illustration

• Define and identify convertible debt instruments

• Describe different features of convertible debt instruments

• Understand the valuation methodologies for convertible debt instruments

• Perform the valuation of convertible debt instruments (ideally)