Contingent Convertibles [CoCos]:A Potent Instrument for Financial Reform
George von Furstenberg
in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.
Abstract:
Contingent Convertibles (CoCos) represent debt that is subject to being converted automatically into common equity under pre-specified terms of conversion if the chosen regulatory capital ratio falls to a level triggering conversion. CoCos are that subspecies of contingent capital that references regulatory (Basel III) concepts in its triggers. From 2014, trigger points are set by common equity (Common Equity Tier 1 [CET1]) in percent of risk-weighted assets [RWA] or of more complicated measures of total exposure to a variety of risks, particularly credit risk. This is the first comprehensive book on CoCos, an innovative instrument that has attracted growing attention since it was first issued in 2009.
Keywords: Contingent Convertibles; CoCos; Financial Reform; Financial Crisis; Risk Management; Bank Capital; Financial Services; Fixed-Income Securities; Basel III (search for similar items in EconPapers)
Date: 2014
ISBN: 9789814619899
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Citations: View citations in EconPapers (2)
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https://www.worldscientific.com/worldscibooks/10.1142/9300 (text/html)
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Chapters in this book:
- Ch 1 Introduction , pp 3-12
- George von Furstenberg
- Ch 2 Overview of Basel III Implementation Most Relevant for Cocos , pp 13-37
- George von Furstenberg
- Ch 3 Cocos and the Struggle to Preserve Going-Concern Value , pp 38-48
- George von Furstenberg
- Ch 4 The Treatment of TBTF Financial Institutions in the Last Crisis , pp 49-58
- George von Furstenberg
- Ch 5 Strategic Policy Objectives in Privatizing the TBTF Backstop , pp 59-68
- George von Furstenberg
- Ch 6 High-Trigger Cocos Compared with Other Bailinable Debt , pp 71-76
- George von Furstenberg
- Ch 7 Self-Insurance with Cocos Compared to Common Equity , pp 77-84
- George von Furstenberg
- Ch 8 Automatic Cocos Conversion vs. Voluntary Restructuring , pp 85-91
- George von Furstenberg
- Ch 9 Reasons for Having Cocos Liabilities on the Balance Sheet , pp 92-100
- George von Furstenberg
- Ch 10 Determining Conversion Price and Risk Premium in Cocos , pp 103-119
- George von Furstenberg
- Ch 11 Write-Down-Only Cocos , pp 120-126
- George von Furstenberg
- Ch 12 Actual or Prospective Recovery Rates from Converting Cocos , pp 127-135
- George von Furstenberg
- Ch 13 Government Capital Injections and Bailout Cocos , pp 136-144
- George von Furstenberg
- Ch 14 Misuses of Cocos in Government-Led Recapitalizations of Banks , pp 145-155
- George von Furstenberg
- Ch 15 The Tax Treatment of the Interest Paid on Cocos , pp 159-169
- George von Furstenberg
- Ch 16 Major Credit Rating Agencies' Approaches to Rating Cocos , pp 170-188
- George von Furstenberg
- Ch 17 Regulatory Requirements at Cross-Purposes , pp 189-240
- George von Furstenberg
- Ch 18 Conclusions and Recommendations for Cocos Design and Evaluations , pp 241-251
- George von Furstenberg
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