Читать книгу Predatory Trading and Crowded Exits - James Clunie - Страница 22

Examples of cross market anomalies abound. A notable case involves the issuance on 31 October, 2008 by the British bank, Barclays plc, of £4.3 billion of new mandatory convertible notes (MCNs) in an effort to raise additional tier-one capital during the economic slowdown that year. The MCNs were issued at more than a 22% price discount to the ordinary shares and yet offered a higher yield and a fixed conversion price (subject to adjustment clauses for any future equity issuance below the MCN conversion price). The discount offered by the MCNs created a clear arbitrage opportunity against the equities of the firm.

There was also good liquidity in Barclays’ ordinary shares – the third panel of Figure 1.1 below shows that there was elevated trading volume in the ordinary shares on the day of issuance of the MCNs, with approximately £200 million traded. On 31 October, the firm’s ordinary shares initially rose sharply in price, from 205.25p to 217p as the market absorbed the early-morning announcement of the issuance. Only then did they start to fall as expected, ending the day down at 172.59p.