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Contingent Convertibles: Issuing, Pricing and Investing

London Financial Studies
En Frankfurt am Main (Alemania)

3.190 
IVA exento

Información importante

  • Short course
  • Frankfurt am main (Alemania)
  • Duración:
    2 Days
  • Cuándo:
    A elegir
Descripción

As a consequence of the financial crisis, banks are forced to increase their capital levels. A possible solution to this problem is the issuance of contingent convertibles. A contingent convertible (CoCo) is a debt instrument that converts into the equity of the issuing bank or suffers a write down of the face value upon the appearance of a trigger event.

Due to such loss absorption capacity, CoCos hence automatically provide a strengthening of the capital structure of the bank in case of distress. Indeed, for conversion CoCos, equity is injected on the very moment the bank is failing to meet the minimum regulatory capital requirements or when it is heading towards a situation of financial distress. For write down CoCos, the liabilities of the bank are reduced by the write down value. Since 2009, several CoCos have been issued by a variety of issuers and the total market size approaching the USD 100bn.

This course provides participants with comprehensive and detailed methods to analysis coco bonds and contingent capital in general. Particular emphasis is placed on being able to understand structuring, pricing and regulatory aspects .

Información importante
¿Qué objetivos tiene esta formación?

¿Esta formación es para mí?

Portfolio Managers (Fixed Income + Equity)
Central Bankers
Financial Analysts
Risk managers
Derivative Traders
Regulators
Compliance
Middle Office
CFOs working at a bank

Requisitos: Numerate background (basic) Basic knowledge of fixed income and equity products Basic knowledge of Microsoft Excel

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
A elegir
Frankfurt am Main
Hessen, Alemania
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¿Qué aprendes en este curso?

Market
Accounting
Financial
Equity
Financial Training
Financial Crisis
Investing
Contingent Convertibles
CoCos Analogies
CoCo Bonuses
CoCos Market
Capital instruments
Derivative Traders
Trigger event

Temario

Day One

What are CoCos?
  • Basic intro to the concept of contingent capital
  • History and key events
  • The life of a CoCo
  • Contingent Capital vs Bail in
  • Pro's and Cons of CoCos
CoCo Triggers
  • Accounting, regulatory and market based triggers
  • Write down/write up CoCos
  • CoCos Analogies
Regulatory Aspects
  • Changes in the regulatory landscape
  • CoCos as new capital instruments
  • CoCos in the light of Basel III, CRD4 and other regulatory proposals
  • CoCo Bonuses
Day Two

The CoCos Market
  • Examples of recent issues
  • CoCo performance
  • CoCo investors
Quantitative Aspects of CoCos
  • Rule of Thumb pricing; the CoCo triangle
  • Equity derivative based methods
  • Case Studies
  • Advanced models
Dynamics of CoCos
  • Hedging CoCos
  • The Death spiral effect
  • Determining the right issue size
  • Case studies
  • Death spiral effect solutions