Look at the prices of the following:NABHA (NAB, 1.25% above...

Look at the prices of the following:
NABHA (NAB, 1.25% above BBSW, perpetual)
PCAPA (CBA Perls 3, 1.05% above, "step-up" in April 2016)
CBAPA (CBA Perls 5, 3.4% above, conversion Oct 2014)
CBAPB (CBA Perls 4, 1.05% above, conversion Oct 2012)
WBCPA (Westpacs 2.4% above, conversion Sep 2013)
Whilst there are some minor differences... the only REALLY important one for someone who is learning, is that the CBA Perls have a 'face value' of $200, and ANZ's will, and Westpacs does, and NAB's have a 'face value' of $100.

Also look at ANZPB. THese are ANZ's currently CPS. They pay 2.5% above, conversion Jun 2014 with a 2.5% discount (so, if you hold ANZPB on 16th June 2014, you will get $102.5 of ANZ shares (VWAP).

None of those 'behave' like the ordinary shares (ASX:ANZ, CBA, etc).

If ANZ drops because people think ANZ is more risky and maybe will go into 'receivership'... then the convertible preference shares will obviously be priced for higher risk... But, no matter what, realistically, whats the chance of ANZ going bust?

If ANZ goes up to $50 tomorrow ... then the Convertible Preference SHares (CPS) won't be seen to be very risky... and so may trade slightly higher... but, with the amount of risk the market has priced in for ANZ (VERY LITTLE)... it shouldn't affect the price very much at all. If there is, say, a risk factor of 0.05%... and then you reduce it to 0.01%.. whats the effect on price :P?)

If ANZ then rises 15% each year till 2016.... to be $133 in 2016.... then that just means that for every 13,168 CPS you hold, you will get 10000 ANZ shares (remember, 1% discount).

Another example, CBAPA pay 3.4% above the BBSW (currently about 3.95%, look top right http://www.afma.com.au/scripts/nc.dll?AFMAv6:HOMEPAGE ).... if the BBSW shot up to, say, 10% overnight then you would get paid interest at a rate of 10+3.4% = 13.4% per annum, on he 'face value' of CBAPA ($200. So, for every CBAPA you hold, you will get $26.8 in interest each year (broken up into quarters). Ergo, if BBSW ("interest rates"), your return on investment will increase, ergo CBAPA become more valuable. Same principle with these yet to be released ANZ CPS. HOWEVER, note, all the other CPS go up by the same amount, interest deposit rates at the banks go up, etc, etc, etc.... so, people will 'demand' those investments, AS WELL AS CBAPA....

The above example is slightly warped, because, in reality, CBA give you (BBSW+3.4%) * 0.7, to account for tax... but, you get the general jist.