With Citibank Taipei as lead manager, Chunghwa Picture Tubes CPT has offered investors an enormously cheap volatility play.
Priced at the tight end of indicative terms, the deal has a five-year final maturity and zero coupon with a par redemption structure. The conversion premium has been set at 12.2% to the stock's NT$40.2 close Thursday, against an indicative range of 7% to 13%, with a two-year call subject to a 130% hurdle and two-year put at 109% to yield 4.4%. There is also an annual re-fix subject to an 80% floor.
The underlying valuation comprises a bond floor of 94.5%, theoretical value of 120% and implied volatility of 18%. This is...
