Value the bonds as a combination of bond and options

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Reference no: EM132180000

The proposed structure of the bonds is given in Exhibit 9 of the case.

The first five years of the bond are fairly straight-forward. After 5 years the bonds can be converted into a variable number of shares.

This breaks down to the equivalent of long position of 43.5 call options with a strike of 100 and a short position of 22.43 call options with a strike of 149.39. The bonds pay LIBOR - .25, which is less than Wells Fargo would have paid to issue non-convertible floating-rate debt.

Question - Value the bonds as a combination of (bond + options)

Attachment:- wells fargo.rar

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In the given assignment we were given with the data of the company regarding the purchase value of stock and the method to determine the conversion rate since the stock was convertible in shares of the company. Also, we were given that the entity has certain long and short positions in options of the same company. We were required to determine the fair value of the bonds and the options undertaken by the entity. the value of the deal were to be calculated as a sum of bond value and option value. We have therefore calculated the net fair value of options and bond after five years in the excel taking interest rate of libor-0.25% that is 1%.

Reference no: EM132180000

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inf2180000

12/20/2018 2:21:08 AM

Value the bonds as a combination of (bond + options) Based on the case and excel as attachment. So, First, they need to value the bond and value the options separately, then add it up to get the total value in the end. Could you send me a brief summary about the solution ? 31098038_1Wells Sheet.xlsx Amazing work. All the solution were made in professional manner and professor was highly impressed by speaker notes written by expert.

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