CALL SPREAD UNWIND
Call spread unwinds, which can be triggered either by corporate actions or liability management transactions (e.g. convertible exchange or buyback), are deeply complex transactions.
Call spread unwinds require intimate knowledge of market inputs (e.g. volatility, skew, funding), bank hedging practices, and ISDA documentation. Clients need to be well informed because the bank counterparty, as calculation agent, can exercise broad discretion in calculating the unwind amount.
Given the complexity associated with these transactions and the fact that the negotiations are with the trading desk at a bank, it is especially important for clients to have experts on their side of the table. We have 100+ years of collective experience with call spread unwinds across sectors. What further differentiates us from other advisors is our proprietary software. We have developed tools that allow us to mirror the positions banking trading teams have and provide our clients with an understanding of fair value, which is vital in these negotiations.
We act as an extension of your company’s deal team to assist in all aspects of the transaction from start to finish:
- Existing Documentation Review
- Call Spread Value Analysis
- Accounting Implications
- Tax Consequences
- Bank Negotiation
- Unwind Agreement Review