CoCos and their cousins – regulatory capital securities in a changing environment
One of the results of the financial crisis was a deep and profound reform of bank capital securities in the Basel III framework. With the aim to create a global level playing field and securities that provide loss absorption capacity in troubled times, a new chapter in the evolution of hybrid capital has been opened.
In his lecture, Gerald will provide an overview of global structural trends, market drivers and the respective regulatory framework. Key areas will be Additional Tier 1, Tier 2 Cocos, "plain" Tier 2 as well as the EU bail-in regime. Second part of this CFA lecture will be a presentation from Bloomberg providing insights into the analysis of CoCos. Ulrich Stoof will cover tools for market screening to identify investment opportunities as well as for pricing of existing and structuring of new convertibles. Further focus will be on how to manage risk and performance for convertible bond portfolios.