Contingent convertible (CoCo) notes: structure and pricing
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
London
Euromoney Books
2011
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XII, 125 S. Ill., graph. Darst. |
| ISBN: | 9781843747642 |
Internformat
MARC
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| 100 | 1 | |a De Spiegeleer, Jan |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Contingent convertible (CoCo) notes |b structure and pricing |c Jan De Spiegeleer ; Wim Schoutens |
| 264 | 1 | |a London |b Euromoney Books |c 2011 | |
| 300 | |a XII, 125 S. |b Ill., graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
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| 700 | 1 | |a Schoutens, Wim |e Verfasser |4 aut | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-024132032 | ||
Datensatz im Suchindex
| _version_ | 1804147945281421312 |
|---|---|
| adam_text | Contents
Preface
ix
Authors notes and acknowledgements
χ
About the authors
xi
List of symbols
xii
Part
1
CoCo note structure
Introduction
3
Definition
3
Possible trigger
3
Lloyds and
Rabo:
some pioneering work
4
Risk profile
6
Downside risk
6
Limited upside potential
7
Maturity unknown
8
Are CoCos too exotic?
8
Auto-callable
8
Payoff
8
Example
9
Risk profile
11
Are CoCos convertible bonds?
12
Capital structure of a bank: a primer
14
Components
14
Overview
16
Assets
16
Liabilities
18
Tier
1
and Tier
2 19
How hybrid are CoCos?
20
CoCo note case study
20
Driving without CoCos
20
Replacing debt with CoCos
22
Does size matter?
24
A lesson from the past
24
Contents
Quality of the capital structure
26
Basel Committee
26
Basel I
27
Basel II
29
Basel III
30
Going and gone concern
35
CoCo note history
36
Rules, rules and more rules
36
Fortress Europe and the US
36
Central clearing counterparties
37
Living wills
37
Need for more regulatory capital
38
Previous century s solutions
38
Contingent capital in the insurance industry
39
Anatomy of a CoCo
40
Constructing a bank basket
40
Funded and unfunded contingent capital
40
Funded
40
Unfunded
41
Contingent event
41
Conversion in shares
41
Debt write-down
42
Conversion amount
42
Trigger event
42
Market-based trigger
45
Accounting trigger
46
Multi-variate trigger
47
Regulatory trigger
47
Conversion price
48
Regulatory constraints
48
CoCo note variations
49
Write-down/write-up
49
CoCo bonus
49
CoCoCo
50
Sovereign contingent capital
50
Bail-in bonds
51
The Anglo Irish case
51
Fast track debt restructuring
51
Lehman as a case study
52
Basel Committee on bail-in capital
54
Rabobank:
Basel III innovator
55
Tier
1
ratios of the bank basket
56
vi
Contents
Pro and contra 57
Advantages
57
Explicit guarantees
57
Less systemic risk
57
Disadvantages
57
Dilution of existing shareholders
57
A trigger could create more triggers
57
Bond investors
59
No cash injection
59
Topics for debate
60
More stability
60
Trigger
60
Regulatory classification
62
Part
2
Cracking CoCos: pricing and risk
6
Pricing
α
CoCo: introduction
65
7
Pricing
α
CoCo: credit approaches
67
Introduction
67
Looking at the balance sheet
67
Reduced form model
68
Credit spreads
68
Default intensity
69
Credit triangle
69
Extension to CoCos
70
Application on the Lloyds ECNs
-
I
71
Calculating the CoCo spread
71
CoCo rule of thumb
71
Example
74
Application on the Lloyds ECNs
77
Application on the Credit
Suisse BCN
78
8
Pricing a CoCo: equity derivative approaches
80
Barrier options: introduction
80
Introduction
80
Definitions
82
Barrier arithmetic
82
Barrier options: pricing
83
Black and Scholes formula
84
Down-and-in call and put
86
Pricing binary barrier options
88
vu
Contents
Pricing
CoCos: derivatives
framework
89
Zero coupon CoCo
90
Adding coupons to the CoCo model
93
Modelling a market trigger
93
Modelling accounting triggers
100
9
Dynamics
109
Introduction
109
Equity sensitivity
(Δ)
109
10
CoCos in the market
113
Introduction
1 13
Rating Agencies
113
Bond Indices
115
Issuers
116
Investors
117
Retail investors
117
Insurance companies
1 17
Hedge funds
117
Investment funds
117
Regulators
118
Bank for International Settlements (BIS)
118
Financial Stability Board (FSB)
1 18
United States
118
United Kingdom
119
Switzerland
119
Bibliography
122
vin
|
| any_adam_object | 1 |
| author | De Spiegeleer, Jan Schoutens, Wim |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.632044 |
| dewey-search | 332.632044 |
| dewey-sort | 3332.632044 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV039113370 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T23:59:18Z |
| institution | BVB |
| isbn | 9781843747642 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-024132032 |
| oclc_num | 733938717 |
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| owner | DE-703 DE-91G DE-BY-TUM DE-11 |
| owner_facet | DE-703 DE-91G DE-BY-TUM DE-11 |
| physical | XII, 125 S. Ill., graph. Darst. |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | Euromoney Books |
| record_format | marc |
| spelling | De Spiegeleer, Jan Verfasser aut Contingent convertible (CoCo) notes structure and pricing Jan De Spiegeleer ; Wim Schoutens London Euromoney Books 2011 XII, 125 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wandelschuldverschreibung (DE-588)4189054-1 gnd rswk-swf Wandelschuldverschreibung (DE-588)4189054-1 s DE-604 Schoutens, Wim Verfasser aut Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024132032&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | De Spiegeleer, Jan Schoutens, Wim Contingent convertible (CoCo) notes structure and pricing Wandelschuldverschreibung (DE-588)4189054-1 gnd |
| subject_GND | (DE-588)4189054-1 |
| title | Contingent convertible (CoCo) notes structure and pricing |
| title_auth | Contingent convertible (CoCo) notes structure and pricing |
| title_exact_search | Contingent convertible (CoCo) notes structure and pricing |
| title_full | Contingent convertible (CoCo) notes structure and pricing Jan De Spiegeleer ; Wim Schoutens |
| title_fullStr | Contingent convertible (CoCo) notes structure and pricing Jan De Spiegeleer ; Wim Schoutens |
| title_full_unstemmed | Contingent convertible (CoCo) notes structure and pricing Jan De Spiegeleer ; Wim Schoutens |
| title_short | Contingent convertible (CoCo) notes |
| title_sort | contingent convertible coco notes structure and pricing |
| title_sub | structure and pricing |
| topic | Wandelschuldverschreibung (DE-588)4189054-1 gnd |
| topic_facet | Wandelschuldverschreibung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024132032&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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