Recent Transactions
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Warrants
US$242 Million
Calculation Agent
Warrants
€116 Million
Calculation Agent
Warrants
€59 Million
Calculation Agent
Warrants
€245 Million
Calculation Agent
Non-Dilutive Convertible Bond
€400 Million
Calculation Agent
Non-Dilutive Convertible Bond
€400 Million
Calculation Agent
Bond with Warrants
€345.2 Million
Calculation Agent
Warrants
US$557 Million
Calculation Agent
Warrants
US$90 Million
Calculation Agent
Virtual Profit Participation Rights
€123 Million
VPPN Agent and Calculation Agent
Warrants
€198 Million
Calculation Agent
Convertible Bond + Warrants
US$14.8 Million
Calculation Agent
SPAC Warrants
US$225 Million
Independent Valuer
Warrants
US$241 Million
Calculation Agent
Non-Dilutive Convertible Bond
€450 Million
Calculation Agent
SPAC Warrants
US$225 Million
Calculation Agent
Convertible Bond + Warrants
US$25.2 Million
Calculation Agent
Non-Dilutive Convertible Bond
€375 Million
Calculation Agent
Non-Dilutive Mandatory Convertible
£1.72 Billion
Independent Advisor
SPAC Warrants
US$180 Million
Independent Valuer
Warrants
US$624 Million
Calculation Agent
Warrants
€150 Million
Calculation Agent
Warrants
€29.9 Million
Calculation Agent
Employee Compensation Plans
LTIP Performance Testing (Ongoing)
Independent Financial Advisor
Bond with Warrants
€330 Million
Calculation Agent
Non-Dilutive Exchangeable Bond
€200 Million
Independent Advisor
Non-Dilutive Mandatory Convertible
£3.44 Billion
Calculation Agent
Non-Dilutive Exchangeable Bond
€200 Million
Independent Advisor
Non-Dilutive Convertible Bond
€500 Million
Calculation Agent
Non-Dilutive Convertible Bond
US$500 Million
Calculation Agent
Warrants
£3.6 Million
Calculation Agent
Non-Dilutive Convertible Bond
US$500 Million
Calculation Agent
Non-Dilutive Convertible Bond
US$500 Million
Calculation Agent
Warrants
€1.56 Million
Independent Valuer
Non-Dilutive Convertible Bond
US$600 Million
Calculation Agent
Non-Dilutive Exchangeable Bond
€375 Million
Calculation Agent
Non-Dilutive Convertible Bond
US$500 Million
Calculation Agent
Bond with Warrants
€225 Million
Calculation Agent
Employee Compensation Plans
£607 Million
Financial Advisor
Non-Dilutive Bond with Warrants
US$600 Million
Calculation Agent
Non-Dilutive Convertible Bond
US$450 Million
Calculation Agent
Options
€48 Million
Valuation Advisor
Non-Dilutive Convertible Bond
US$500 Million
Calculation Agent
Warrants
€182 Million
Calculation Agent
Non-Dilutive Exchangeable Bond
€200 Million
Calculation Agent
Non-Dilutive Convertible Bond
US$450 Million
Calculation Agent
Non-Dilutive Convertible Bond
£400 Million
Calculation Agent
Non-Dilutive Convertible Bond
€400 Million
Calculation Agent
Non-Dilutive Convertible Bond
€600 Million
Calculation Agent
Non-Dilutive Mandatory Convertible
£2.88 Billion
Calculation Agent
Non-Dilutive Convertible Bond
US$600 Million
Calculation Agent
Non-Dilutive Convertible Bond
€275 Million
Calculation Agent
Non-Dilutive Convertible Bond
US$1.2 Billion
Calculation Agent
Bond with Warrants
US$500 Million
Calculation Agent
Non-Dilutive Convertible Bond
£600 Million
Calculation Agent
Collar with financing
US$445 Million
Independent Financial Advisor
Collar with financing
US$575 Million
Independent Advisor
Convertible Bond
€450 Million
Independent Financial Advisor
Interest Rate Hedging
US$300 Million
Independent Financial Advisor
Employee Compensation Plans
Size Undisclosed
Independent Valuer
Foreign exchange hedging
Size Undisclosed
Independent Financial Advisor
CALCULATION AGENCY FOR EQUITY DERIVATIVES
The Calculation Agent is appointed to perform the calculations required pursuant to the terms and conditions of the transaction. For most equity derivatives this will be performed by a bank or exchange which is a counterparty to the transaction, but in cases where no bank is involved, a third party expert may be appointed to perform the role.
- If appointed pre-issuance (which is the way we are asked by issuers to operate most of the time), ConvEx can also test the relevant provisions setting out those calculations to ensure these will operate as intended and provide support in drafting of the transaction documentation – and will be named in such documentation as the party formally responsible for performing such calculations (which are formal and binding on all concerned parties).
- If appointed post-issuance, ConvEx can still support the issuer without being named in the transaction documentation) in dealing with calculations under their transaction, operating with (and providing guidance on) the documentation as drafted.
- In some cases we are not formally named as calculation agent on the equity derivative, but are in such a role for a related transaction (such as a non-dilutive convertible bond). In this case we support the parties in co-ordinating the adjustments between the convertible bond and the hedge transaction, despite having no formal role on the derivative.
WHEN APPOINTED AS CALCULATION AGENT PRE-ISSUANCE, CONVEX DOES THE FOLLOWING:
BEFORE ISSUANCE
see moreDuring the life
see moreON EXERCISE
see more- We undertake a detailed review the operability of the calculations set out in the terms and conditions and, if requested to do so, provide comments (to the banks and law firms working on the transaction) to ensure that the calculations will be able to be performed:
- as intended and on the basis of clearly observable inputs, removing as much as possible any drafting ambiguity (and the associated risk of a dispute later on); and
- on a timely and accurate basis when they are needed during the life of the transaction.
- We can also assist the parties working on the transaction in identifying potential issues, for example scenarios in which a calculation might not produce the expected result, for example as a result of the interplay between multiple sections of the documentation.
- Because of our extensive experience we are normally able to find solutions from precedent transactions to help manage these issues, or otherwise can help to craft language that will solve the identified issues.
- Using public corporate actions data, we monitor (where possible) for corporate actions and other events which might trigger the need for a calculation to be performed under the documentation for the equity derivative and notify the parties as early as possible.
- We take formal responsibility for performing all formulaic calculations required to be made in accordance with terms and conditions, while also:
- consulting with the parties, including providing them with preliminary or illustrative calculations for their internal review
- performing the final, formal calculations and notifying all relevant parties (counterparties, trustee, agent, etc.)
- We can perform further calculation simulations as may be requested by the parties in preparation for the final calculations
- We review the relevant notices to the market/counterparties prior to publication, and assist (where relevant) with publication
- We can coordinate with the key information providers, to ensure that the instrument is updated in their systems following any calculations, supporting the issuer by minimising investor queries
- We assist our clients in dealing with investor queries, either directly or with their Investor Relations team
- We are typically responsible for performing all settlement calculations when the transactions are settled.
- This can include “vanilla” (i.e. share-settled) exercise settlement calculations (as well as more complex settlement calculations, such as net-share or cash settlement).
- Calculations are normally produced on a holder-by-holder basis, with a unique determination for each holder depending on the number of instruments they submit for exercise.
- We coordinate with the trustee/agent and the clearing systems (in each case as applicable) to ensure timely communication and delivery of the shares and/or cash.
- We also support the parties in answering queries from agents, clearing systems, and investors relating to settlement calculations.
- We take formal responsibility for performing all formulaic calculations required to be made in accordance with terms and conditions, while also ensuring the issuer understands what we are doing.
WHEN APPOINTED AS CALCULATION AGENT POST-ISSUANCE, CONVEX DOES THE FOLLOWING:
WHEN WE ARE APPOINTED
see moreDuring the life
see moreON EXERCISE
see more- We undertake a detailed review of the operability of the calculations set out in the terms and conditions, to ensure that we will be able to perform them on a timely and accurate basis when they are needed during the life of the transaction.
- If the parties so wish, we can also undertake a detailed review of all previous calculations (if any) performed prior to our appointment
- If we identify any areas of uncertainty or potential issues, we make note of these so that we can be aware in the event they arise later in the life of the transaction.
- Because of our extensive experience in performing calculations on equity-linked instruments, we are normally able to find solutions to help the parties manage any issues that arise.
- Using public corporate actions data, we monitor (where possible) for corporate actions and other events which might trigger the need for a calculation to be performed under the transaction documentation and notify the parties as early as possible.
- Because the documentation does not give us formal responsibility for calculations, we support the parties in ensuring the calculations are made accurately and on a timely basis, so they can be confident in the results. We also:
- provide our clients with preliminary or illustrative calculations for their internal review
- share final, formal calculations and notifying all relevant parties (trustee, agent, etc.)
- We can perform further calculation simulations as may be requested by issuer in preparation for the final calculations
- We review the draft notices to the market prior to publication, and assist (where relevant) with publication
- We can coordinate with the key information providers, to ensure that the instrument is updated in their systems following any calculations, supporting the issuer by minimising investor queries
- We assist our clients in dealing with investor queries, either directly or with their Investor Relations team
- We support the parties in performing all settlement calculations when the transactions are settled.
- This can include “vanilla” (i.e. share-settled) exercise settlement calculations (as well as more complex settlement calculations, such as net-share or cash settlement).
- Calculations are normally produced on a holder-by-holder basis, with a unique determination for each holder depending on the number of instruments they submit for exercise.
- We coordinate with the trustee/agent and the clearing systems (in each case as applicable) to ensure timely communication and delivery of the shares and/or cash to investors.
- We also support the issuer in answering queries from agents, clearing systems, and investors relating to settlement calculations.
- We ensure that at all times the issuer understands, and is confident in the results of, the determinations we perform as Calculation Agent in accordance with terms and conditions (for which the issuer remains formally responsible, because the documentation does not give us formal responsibility).
INDEPENDENT EXPERT OPINIONS FOR EQUITY DERIVATIVES
Many derivatives include reference to an independent expert third party to be appointed in future to make certain determinations. Alternatively, such third party may be appointed to support one of the parties’ management team or board in a decision it is required to take, or to clarify some uncertainty (or settle a dispute). This might be referred to as an “Independent Advisor”, “Independent Expert”, “Independent Financial Advisor”, “Independent Investment Bank”, or several other names.
The need for an independent expert typically arises in the event of a calculation or other determination which is not set out formulaically in the terms and conditions of the instrument (including any complex determination which might have been seen as unlikely from the start, and as such no party was hired in advance to perform it), or in the event of multiple events triggering an adjustment to the exercise price occurring simultaneously, or more generally in the event of uncertainty (or a dispute) as to how a calculation should be performed.
Our extensive experience and knowledge of equity-linked transaction documentation allows us to consider the formulaic provisions, but also to put them into a market context (including any applicable precedents) to assist in clarifying the original intent to arrive at a fair solution. We provide written opinions for the issuer’s reliance.
VALUATION FOR EQUITY DERIVATIVES
Certain equity derivatives may require the counterparty to mark to market the instrument in their accounts over time, based on market movements.
When we provide valuations for our issuer clients, we approach these with a detailed understanding of the transaction documentation as well as trading of the instrument in the secondary market. As a result, our valuations are both technically accurate and reflect market levels for the instrument, rather than simply technical valuations based on unrelated market data.