2024 CFA Level I Exam: CFA Discussion Topic: CB portfolio delta

Author	Topic: CB portfolio delta
meriwether @2004-08-26 13:08:17	Dear all, I need help. How do I calculate the delta of a convertible bond portfolio? We have around 50 holdings. Premium is 35%. 60% trade at the bond floor - delta small, 10-15% in the money - delta >.5. Do I estimate the delta for each holding and find a weighted average? Or extrapolate from the portfolio premium? Thanks for your help.
djdisco @2004-08-28 16:59:16	plug the port into bloomberg, it will do it for you..

Author

Topic: CB portfolio delta

meriwether
@2004-08-26 13:08:17

Dear all,

I need help. How do I calculate the delta of a convertible bond portfolio?

We have around 50 holdings. Premium is 35%. 60% trade at the bond floor - delta small, 10-15% in the money - delta >.5.

Do I estimate the delta for each holding and find a weighted average? Or extrapolate from the portfolio premium?

Thanks for your help.

djdisco
@2004-08-28 16:59:16

plug the port into bloomberg, it will do it for you..

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I am happy to say that I passed! Your study notes certainly helped prepare me for what was the most difficult exam I had ever taken.